For risk management, the long US financials position can be replaced with a deep-in-the-money call option (85-cent delta, October 16 $45 strike on XLF, trading around $8.26 with 169 days to expiration) to introduce convexity, preserving upside participation while reducing downside exposure if both legs deteriorate in a risk-off environment.
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Patrick CeresnaEvidence Quote
“deep-in-the-money call option...85-cent delta...October 16th $45 strike...preserving most of the relative performance capture...while embedding a more defensive convex profile if both legs come under pressure”
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MacroVoices #530 Daniel Lacalle: China and The Us Will Decide The Outcome of The Iran War— Macro VoicesCreated: 8/12/2026, 6:10:01 PM
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