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Welcome to the Systematic Investor Series.

Welcome and welcome back to this week's edition of the systematic investor series with Harry Kristnan and I, Neil's Castlelarsen, where each week we take the polls of the global markets

through the lens of a rules-based investor.

Harry, it is wonderful to have you back on the show.

It's been a while since we last had you on.

How are you doing? I've missed you, Neels. Let me start with that. And I'm very happy to be back,

and I'm sure we'll have lots to discuss. Absolutely. Now, we are going to be talking about a

slightly different topic, I think, this week, courtesy of you.

And mainly because you've had a real deep dive into a different asset class compared to what most people will know you for, namely volatility.

But before we dive into all of that, what I always am curious about is kind of what you're keeping an eye on at the moment, nothing related to what we're going to be talking about today, but what you find interesting going on in the world, in the markets right now.

Somewhat surprisingly, I've been very interested in zero-data expiration options recently.

People used to contact me about them, because I'd written quite extensively about weekly

options in the second leg down book that I wrote in 2017.

But then I kind of lost interest because the prices of the stuff that I was buying for protection

seemed to be going up, at least in equity land.

And the good reasons for that, a lot of portfolio managers who trade volatility has an asset class, you know, who do

relative value trades and so on, have strict limits that they have to adhere to at the end of the day.

And these zero-day-to-expiration tools were great for blocking out risk. And what I started to see,

and I'm sure many others know this, is a strangely

shaped term structure of volatility where very short-dated protection was quite expensive.

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