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Short volatility trade

Any position that profits from calm and decay — selling options, shorting volatility futures, or holding inverse volatility products.

The family includes covered-calls, iron-condors, cash-secured-puts, short strangles and inverse volatility ETPs. Superficially different, they share one profile: small frequent gains funded by the variance-risk-premium, and rare losses that are much larger than any individual gain.

The failure mode is always the same and always about sizing. A book that earns 2% a month and loses 40% in a bad week needs years of wins to recover one loss, so the only real question is how much of the account can be exposed when the tail arrives, not how attractive the monthly income looks.

Example: a trader sells XYZ strangles for $1.50 a month against $3,000 of buying-power-reduction per lot. Eleven months earn $16,500. Month twelve gaps 20% overnight and costs $22,000. The strategy was profitable on paper and unprofitable in the account.

Related: short-premium, variance-risk-premium, long-volatility-trade, volmageddon

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