From the book Hedge
Fund Market Wizards:
“The advantage of CDS was that it was a cheaper way of doing
the trade. One problem with buying equity puts is that equity volatility tends
to be very expensive. Who is the natural seller of equity puts? No one. Who is
the natural buyer of equity puts? Everyone. The world is long equities, and
people like owning insurance, so there is an excess of natural buyers for
equity puts. That is why equity option prices are structurally expensive.”