Mrs. Watanabe meets European insurance companies

Since the early 2000’s the name ‘Mrs. Watanabe’ has been used to describe yield seeking Japanese retail investors, who were forced to increase their offshore investment risk taking in response to ultra-low interest rates back home.

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Strange behaviour in option markets

Finance text books, reams of academic research and practitioner experience all point to the existence of a “volatility risk premium” (VRP), which is a foundational principal of option selling strategies.

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