Sometimes when everybody is on the same side of the boat it can be prudent to look for opportunities to take the other side of the trade in a cheap way. Even if it’s not your core belief or against what you think is most likely to happen, having cheap hedges and cheap skew is not a bad thing. Gold and US Treasuries gamma was cheap to very cheap for most of 2019, but now the risk/reward doesn’t look very good now that everyone is broadly in consensus that having safe-haven exposure is a good thing. The last few months were one of those rare opportunities where cheap gamma and a big move leads to large gains that don’t happen often. Now the gamma skew on the long bonds is very high on the calls. Example UB price = 192’00 - UB Dec ’19 220 Call = 35/64 - UB Dec ’19 165 Put = 1/64 The strikes are roughly equidistant from each In other words, you pay 35x more for the ~15% OTM calls than ~15% OTM puts. And that divergence steepens in a non-linear way the further you get OTM. You see the same thing, but to a lesser extent, on ZB. Another exampleFor 12.5% OTM on Dec ’19 GC (gold) you pay 6x-7x as much for the calls as you do the puts. - Dec gold is priced at $1510. - Dec ’19 GC 1750 Call = $500 per unit - Dec ’19 GC 1400 Put = $500 per unit The call is 16% OTM while the put is 7%-8% OTM. They are the same price with the consensus skewed toward a bullish gold market. (Note: Gold is a structurally contango market as a durable commodity that requires costs to store it.) Here's the type of implied volatility skew you see on Dec '19 gold: Takeaway Even if it’s something you don’t believe in, sometimes the crowding becomes so great on one side that it makes sense to do the opposite in terms of risk/reward. Hedges are valuable, too, and can allow you to effectively buy collateral you can put to work elsewhere. You get some cheap gamma or cheap protection, and free up capital to put to use elsewhere.