Volatility drag. Not trying to be a shill but I wrote a blog post about the mathematics of volatility drag if anyone is interested: https://smabie.github.io/po

Volatility drag. Not trying to be a shill but I wrote a blog post about the mathematics of volatility drag if anyone is interested: https://smabie.github.io/posts/2019/10/04/vol.html https://smabie.github.io/posts/2019/10/04/vol.html It involves deriving “perfect” leverage ratios and talks about some other interesting (imho!) stuff.