The Long & Short of It - Volatility, Dispersion & 0DTE Pricing Dynamics | Will Bartlett, Parallax Volatility Advisers

In this episode of The Long and Short of It, recorded live at Cboe's RMC in Nashville, host interviews Will Bartlett, CEO of Parallax Volatility Advisers. Bartlett, who has 30 years of experience in volatility trading starting as a runner on the Pacific Stock Exchange floor, discusses current market dynamics including an oversupply of volatility driven by the rise of options-embedded ETFs and systematic vol selling strategies. He explains how this has created an unusual environment where implied volatility trades cheaply to realized volatility, reversing the traditional risk premium. The conversation covers dispersion trading strategies, which continue to work despite elevated macro risks due to low realized correlation, though Bartlett warns of potential risks from correlation shocks. They also discuss the growing popularity of short-dated options including zero DTE products, their pricing dynamics throughout the trading day, and how these provide new tools for delta hedging and event-specific trading. Bartlett concludes by expressing optimism about continued growth and innovation in the options business.