Long Volatility (trend following) white paper (PDF) by Anders Kulp, Daniel Djupsjöbacka, Martin Estlander.
Excerpt: The buyer of an option straddle pays the implied volatility to get exposure to realized volatility during the lifetime of the option straddle. Fung and Hsieh (1997b) found that the return of trend following strategies show option like characteristics, because the returns tend to be large and positive during the best and worst performing months of the world equity markets.
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