EWY volatility expansion trade (32% IV to 58% IV) resulted in ~383% return; author bullish on predicting South Korea index volatility increase due to memory concentration.
Volatility arbitrage play on Korean index with memory sector concentration (SK Hynix/Samsung). Thesis proved correct with massive options payoff. Supply chain concentration thesis.
$EWY 32% IV into 58% IV expansion trade. Into underlying SK Hynix / Samsung increase way ITM. Was such a goated call? (~383% return) Had way too many great ideas this year… Still super proud of predicting South Korea index volatility increase due to memory concentration https://t.co/Kjur1bdKp7
| Horizon | Raw move | vs SPY |
|---|---|---|
| 1 day | -3.0% | -1.5% |
| 1 week | +11.9% | +10.1% |
| 1 month | +0.4% | -1.6% |
| 3 months | — | — |
| 6 months | — | — |