Pat Hennessy

Pat Hennessy trades volatility at IPS Strategic Capital and has published widely-read research on variance risk premium harvesting, VIX term structure dynamics, and systematic options strategies. His work is known for combining rigorous empirical analysis with practical trading applications, particularly around implied versus realized volatility relationships and the extraction of consistent risk premia from options markets. Hennessy's research on volatility targeting and portfolio construction has been circulated extensively among institutional volatility desks and quantitative hedge funds. His empirical work on the variance risk premium — documenting the persistent tendency of implied volatility to exceed realized volatility across multiple asset classes — has provided quantitative traders with a robust theoretical and empirical foundation for systematic volatility selling strategies, including careful analysis of the tail risks that make such strategies dangerous during market stress events.