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Volatility

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In this episode, we discuss:

  • How different types of bonds are valuated
  • The pattern in how many times the FED tends to move rates, once they begin
  • Why Rate cycles are getting shorter (in time)
  • Why Alex believes that the FED should not raise rates before reducing their balance sheet
  • Alex playbook for the Ukrainian crisis: Oil could collapse to $40 and Rates could go back to zero
  • How your performance can end up defining who you are (if you are not careful)
  • The synchronization of the central banks and how the future might look for the global financial market

Follow Niels on Twitter, LinkedIn or YouTube.

Follow Hari on Twitter.

Follow Alex on Twitter.

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

00:00 – Intro
02:42 – Introduction to Alex and his background
07:20 – How Alex think about bonds
16:37 – Have bonds become more important since 2008?
18:15 – Making decisions as a trader, and handling victories and defeats
28:01 – Why did Alex go into dividend futures?
33:41 – What Alex would have done if the FED had not stepped in during the Covid crisis
35:40 – How managers can feel that their performance defines who they are
41:27 – The synchronization of central banks and how it affects rates
48:59 – What’s going to happen with the FED going forward?
54:05 – Rounding off and overview of Alex’s books
59:38 – Thank you for listening

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In this episode, we discuss:

  • How market behaviour is often intertwined
  • Why Cem chose to manage outside capital
  • The thinking behind institutional market moves
  • How the global pandemic affected markets
  • Dealer flows
  • Feedback loops
  • Delta hedging

Follow Niels on Twitter, LinkedIn or YouTube.

Follow Hari on Twitter.

Follow Cem on Twitter.

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

00:00 – Intro
02:17 – Cem’s background and current work
19:18 – The decision to manage outside money
24:06 – The trades that institutions like to make
30:22 – Feedback loops within markets
34:17 – The dynamic between futures and options
51:15 – Using Econophysics to find hedging methods
53:40 – Building various volatility models and research using toy models
57:05 – Approaches to Delta hedging
01:00:11 – Changes to qualitative features of overnight indices
01:03:12 – Investment products on the VIX and effects on the S&P 500
01:10:09 – The feedback loop between inflation, deflation and central bank rate policies
01:20:01 – Whether or not there is an asymmetry between deflation and inflation risk

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In this episode, we discuss:

  • How quantum physics relates to financial markets
  • The mechanics behind price impacts
  • David’s new book, coming out soon
  • The magical characteristics of money
  • The power and unpredictability of sentiment
  • Weather and how it relates to financial markets
  • Central bank money creation and how effective it can be
  • Cognitive interference

Follow Niels on Twitter, LinkedIn or YouTube.

Follow Hari on Twitter.

Follow David on Twitter.

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

00:00 – Intro
02:54 – Conclusions from David's research you’ve done on weather forecasting?
04:33 – Is the notion of the economic system as being something that’s mechanistic and can be controlled flawed, and if so, how?
07:12 – Do you look at different economic models and aggregate the data?
12:46 – Is there a way to limit the momentum effects of passive investing on the markets?
17:41 – Can you explain how quantum physics relates to financial markets?
23:15 – Can you give a couple of examples of cognitive interference?
28:00 – Regarding the biggest stocks in the S&P 500, is it true that if one stock is 10 times bigger than another stock, and it gets 10 times the dollar allocation, that the price impacts will be the same?
42:28 – Can you talk about your new book, and what the title means?
45:24 -Does Modern Monetary Theory relate to the quantum physics analogy of something being created from nothing?
52:30 – Do you believe that money creation by central banks is unsustainable?
57:28 – Would you say that your work implies that minor tweaks to the framework are inadequate when it comes to the economy and investing?

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In this episode, we discuss:

  • The extent to which news drives price action
  • How to look at ever-changing market dynamics, such as correlations
  • Jean-Philippe Bouchaud’s journey into finance
  • The reliability of the Bloomberg terminal
  • Dimensional analysis
  • The inelastic market hypothesis
  • Standing out in the Systematic Investor space
  • Volatility strategies and if they have any connection to high-frequency data

Follow Niels on Twitter, LinkedIn or YouTube.

Follow Hari on Twitter.

Follow Jean-Philippe on LinkedIn.

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

00:00 – Intro
02:38 – What area of physics did you work in, and how did you come into finance?
05:04 – Can you elaborate the paper you worked on, where you where you investigated the endogeneity of large price moves?
15:24 – How timely do you consider the Bloomberg feed to be? Is it quick enough?
19:18 – How do we stitch together the two ideas of micro market data
28:20 – Do you the believe in the research that is carried out using dimensional analysis?
32:58 – Do you think that the inelastic market hypothesis was driven by flows into passive vehicles?
37:13 – Regarding the biggest stocks in the S&P 500, is it true that if one stock is 10 times bigger than another stock, and it gets 10 times the dollar allocation, that the price impacts will be the same?
40:13 – Can you tell us about your journey so far with CFM?
50:21 – Do you still do Trend Following, and if so, how do you do it different from a standard Trend Follower?
52:08 – If you kill the beta in a Trend Following program, do you lose the convexity?
52:38 – What’s the relation between volatility and higher-frequency momentum systems, in your view?

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In this episode, we discuss:

  • How to improve on the traditional 60/40 portfolio
  • Dave’s concept of ‘participate and protect’
  • The importance of compounding
  • Dave’s ‘always good weather’ portfolio
  • Long-volatility Bitcoin strategies
  • Value investing in the volatility space
  • Methods for taking profits
  • Sizing portfolio allocations

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

Follow Hari on Twitter.

Follow Dave on LinkedIn.

Check out our Systematic Investor series here, and our Global Macro series here.

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.

Top Traders Unplugged wins award for ‘Best Trading Podcast’ and features among the ‘Top 20 Best Investing Podcasts in 2020’ by The Investors Podcast 🏆

Episode TimeStamps:

00:00 – Intro
02:01 – How did you end up in the long-volatility sector?
04:55 – How options used to be considered as a redundant trading method
07:53 – Do you have any idea why the Bitcoin skew is so high and flat?
08:56 – What does it mean when you say you consider yourself a value-buyer of volatility?
10:15 – Do you have any notion how to mix the various positions you warehouse?
15:46 – How do you source good ideas, and has living in Singapore given you an edge for this?
27:12 – Can you talk about the Taliban’s use of the ‘Sandpile Theory’?
33:13 – Are there more opportunities for you globally now, then there used to be?
40:51 – What are your mechanisms for taking profits?
47:19 – What’s your view on paying for convexity in your positions?
51:13 – Do you engage in skew trades? 
52:41 – How do you think about low-vol?
55:49 – How do you size allocations to your long-vol strategy?
01:01:49 – Closing thoughts from Dave?

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In this episode, we discuss:

  • A behind the scenes look at running a volatility fund
  • How to use Twitter as an investor
  • Bringing value to clients as a volatility trader
  • Hedging via ETFs
  • Market flows
  • Options
  • Implied volatility
  • Finding a good work & life balance

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

Follow Hari on Twitter.

Follow Benn on Twitter.

Check out our Systematic Investor series here, and our Global Macro series here.

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.

Top Traders Unplugged wins award for ‘Best Trading Podcast’ and features among the ‘Top 20 Best Investing Podcasts in 2020’ by The Investors Podcast 🏆

Episode TimeStamps:

00:00 – Intro
02:20 – How did you end up running a Volatility fund?
06:39 – Why did you join a Vol fund instead of a Global Macro fund?
09:30 – What do you gain from being on Twitter?
11:50 – Explain some of the methods behind how you serve your clients
16:19 – What are some of the weaknesses of hedging via ETF products?
19:44 – Do you find a lot of value in monitoring the flows into various markets?
23:34 – Why is it people are so eager to sell shorter-dated options?
26:17 – How do you counter the argument that it’s a good idea to write calls against short positions?
30:05 – What are some of the issues with looking at implied volatility versus realised volatility?
33:13 – What challenges do you face as a Volatility pro, when it comes to the extreme moves up and down?
37:37 – What do you do when you expect large volatility but the direction is unknown?
40:30 – How would you react if you knew that there was a huge amount of open interest, 5% down in the S&P, with a few weeks to go?
42:52 – Do you have any thoughts on the recent dislocation between the VIX and the S&P 500?
46:04 – What are the changes in dispersion dynamics and implied correlations that you’ve noticed over the years?
55:03 – Is it fair to say that if you’re long enough Volatility, and there’s a large enough systemic shock, then you’re going to make money?
56:48 – Do you have anything to say about the 10-year note futures options surface? Are there persistent  distortions there?
59:25 – If you see a distortion in the skew, how do you approach it?
01:02:56 – Balancing family life and managing a fund
01:05:12 – The recent legitimisation of working from home

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In this episode, we discuss:

  • How to profit from large stock market selloffs
  • Some of Zed Francis’s unique approaches to volatility trading
  • Profiting from institutional volatility traders
  • When to apply a discretionary approach
  • The VIX ETF
  • Helping clients to be cash efficient in their portfolios
  • The need for liquidity during sharp market moves

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

Follow Jason on Twitter.

Check out our Systematic Investor series here, and our Global Macro series here.

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.

Top Traders Unplugged wins award for ‘Best Trading Podcast’ and features among the ‘Top 20 Best Investing Podcasts in 2020’ by The Investors Podcast 🏆

Episode TimeStamps:

00:00 – Intro
01:41 – Why should somebody add volatility or tail-risk strategies into their portfolio?
03:10 – Seeking a negative correlation to equities
06:16 – Can you explain what you call your ‘3 trading levers’?
08:11 – Can you breakdown your approach to combining ‘long gamma’ and ‘short Vega’?
13:40 – Do you aim to profit off institutional volatility sellers?
15:16 – Tell us about the short-vega side of your approach?
28:34 – The problems with some common long-volatility strategies?
36:24 – How do you think about the ratio between your long-gamma trades and your short-Vega trades?
38:02 – Do you want to explain your ‘Price is Right’ gameshow analogy for long gamma strategies?
40:57 – Do you think that a discretionary approach is always needed at times?
50:27 – How do you adjust if volatility persists longer-term?
55:36 – What are your thoughts on the VIX?
57:50 – How to help clients to achieve capital efficient accounts?
59:37 – How do you maintain capital efficient overlays and also maintain liquidity for rebalancing during a selloff?
01:04:18 – Does being a volatility expert give you a deeper insight into the global macro landscape?

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In this episode, we discuss:

  • Volatility as an asset class of its own
  • The journey of the VIX from its early days until now
  • Analysing the relationship between the VIX and the S&P 500
  • Why we should be invested in volatility strategies
  • Improving over time but not over-tinkering
  • How much markets may have changed in recent years
  • The average duration of volatility trades
  • Recent data versus long-term data
  • Shorter-term Trend Following
  • The benefits of cash-efficiency within intraday models

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

Follow Jason on Twitter.

Check out our Systematic Investor series here, and our Global Macro series here.

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.

Top Traders Unplugged wins award for ‘Best Trading Podcast’ and features among the ‘Top 20 Best Investing Podcasts in 2020’ by The Investors Podcast 🏆

Episode TimeStamps:

00:00 – Intro
02:09 – Why should somebody add volatility strategies into their portfolio?
04:09 – How do you overcome the problem of getting better but not wanting to tinker too much?
11:03 – How has recent market behaviour affected your approach to volatility trading?
22:05 – What is the average duration of your long volatility trades?
28:02 – How do you weight recent data versus long-term data?
31:07 – How do you look at trading intra-day VIX contracts?
37:39 – What gave you the confidence to be able to execute short-term Trend Following?
48:58 – How do you approach momentum trading?
56:16 – Why do you take some of the long-sided trades during equity selloffs?
01:01:38 – Tell us about the mean-reverting products you deal with?
01:07:52 – Talk to us about the cash efficiency of intraday strategies

by

In this episode, we discuss:

  • Volatility as an asset class of its own
  • The journey of the VIX from its early days until now
  • Analysing the relationship between the VIX and the S&P 500
  • What’s known as volatility relative-value trading
  • The usefulness of the VVIX
  • Operating models during different market and economic environments
  • Kurtosis and skew
  • The need for Volatility strategies as part of a diversified investment portfolio

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

Follow Jason on Twitter.

Check out our Systematic Investor series here, and our Global Macro series here.

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.

Top Traders Unplugged wins award for ‘Best Trading Podcast’ and features among the ‘Top 20 Best Investing Podcasts in 2020’ by The Investors Podcast 🏆

Episode TimeStamps:

00:00 – Intro
02:05 – Why should somebody add volatility strategies into their portfolio?
04:48 – Do you consider Volatility to be an asset class of its own?
05:58 – What was it like during the early days of the VIX market?
08:28 – What is the VIX, and what is the calculation that goes into the VIX?
14:07 – Tell us a little bit about the relationship between the VIX and S&P 500
19:37 – How does volatility risk premium relate to other datasets you use?
25:03 – What is ‘volatility relative-value’ trading?
27:37 – How do you think about the ratio that you combine between the S&P 500 & the VIX?
30:31 – Is it true that if you see a spike in the VIX, you’ll look to take advantage via the front-month  volatility in that spike?
33:29 – Do you think VVIX is a good measure for the volatility of volatility?
35:09 – How do you use options in a creative way in your portfolio?
37:22 – How do you identify and think about possible mispricings in the market?
40:40 – Do you try to track both the normal price and OTC prices?
42:00 – How do you approach building & running volatility models during different market environments?
47:22 – Describe what volatility traders experienced during the ‘volmaggedon’ of February 2018
55:06 – How did you trade through the ‘known risks’ 2020 election?
59:15 – How much can you rely on market history as a predictor for the future?
01:02:49 – Is it true you’re likely to experience long periods of flat to negative performance while waiting for those huge, profitable moves in volatility?
01:06:09 – How do you think about kurtosis and skew, and how they relate to other strategies?
01:08:56 – Do you view what you do as a necessary component of a large Trend Following firm?

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In this episode, we discuss:

  • Ensemble investing and its benefits
  • Whether market volatility can be predicted ahead of time
  • The ways in which the markets can catch investors off-guard
  • ‘Dialling’ into and out of strategies
  • How Noel’s experience in prop trading and pit trading has helped him today
  • Finding the balance between judgement calls and algorithmic signals
  • Noel’s VIX and bonds pairs trade
  • Assessing the current real value of an asset
  • How to approach investing during a ‘stagflationary’ environment

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

Follow Jason on Twitter.

Follow Noel on Linkedin.

Check out our Systematic Investor series here, and our Global Macro series here.

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.

Top Traders Unplugged wins award for ‘Best Trading Podcast’ and features among the ‘Top 20 Best Investing Podcasts in 2020’ by The Investors Podcast 🏆

Episode TimeStamps:

00:00 – Intro
02:06 – Why should somebody add volatility strategies into their portfolio?
03:20 – Do you think that volatility is quite predictable around benign market periods?
04:12 – How do you apply your prop trading background to volatility strategies in general?
05:13 – Did the days of pit trading leaving a big impression on you?
06:28 – Why use ensembles?
07:33 – How do you allocate between strategies during different macro environments?
09:37 – How do you balance judgement calls versus algorithmic calls?
11:38 – How do you think about the timing of adding and removing volatility protection?
15:01 – Where did you come with the idea to pairs trade VIX and bonds?
19:28 – Is there a volatility risk premium?
21:14 – Tell us a little more about your ‘vol-arb’ strategy?
26:28 – How are you determining if something is cheap or overpriced?
27:53 – Do you put more weight on liquidity flow data as opposed to other fundamental data?
30:32 – Can you describe your ‘dispersion’ strategy and elaborate on dispersion trades for those who haven’t heard them?
34:30 – Can you describe your ‘dispersion’ strategy and elaborate on dispersion trades for those who haven’t heard them?
39:33 – How do you think about past, present and future volatility?
41:46 – How do you approach correlations across different timeframes?
43:24 – Dispersion trades seem to go in and out of fashion, do you feel that your strategies run dispersion trades when they’re popular only?
46:38 – Do you dial into and out of strategies rather than switching allocations?
48:11 – Tell us more about the ‘bond vol-arb’ strategy
51:01 – Tell us more about the ‘macro-bats’ strategy
57:42 – What do you think will happen if markets enter a stagflationary environment?
01:03:39 – How would you combine your ensemble investments into a wider portfolio?

by

Today Jason Buck is joined by Hari Krishnan in the first of our series on Volatility, where we discuss the benefits of adding volatility strategies to your portfolio, why it can pay to avoid hedging when the crowd is already doing so, explaining the ‘Put slingshot', how markets are different today from decades ago, protection against tail-risk, the psychology behind large markets sell-offs, and some thoughts on the effects of leverage on the markets.

In this episode, we discuss:

  • The benefits of tail-risk hedges / adding volatility hedges to your portfolio
  • The importance of avoiding group think (in hedging)
  • Some thoughts on what is known as the ‘Put slingshot’
  • The new nature of stock market movements
  • The repricing of risk during fast downturns
  • Tail-risk protection versus Trend Following
  • How tail-risk protection can complement an existing allocation to Trend Following
  • Some of the psychology and mechanisms behind large and sharp market moves
  • How positioning and leverage end up creating challenging markets to trade in

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

Follow Jason on Twitter.

Follow Hari on Twitter.

Check out our Systematic Investor series here, and our Global Macro series here.

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.

Top Traders Unplugged wins award for ‘Best Trading Podcast’ and features among the ‘Top 20 Best Investing Podcasts in 2020’ by The Investors Podcast 🏆

Episode TimeStamps:

00:00 – Intro
02:59 – Why should somebody include volatility or tail risk into their portfolio?
04:35 – Do you think rolling option puts is a good hedging strategy?
07:47 – The tradeoffs between near-term and long-term option pricing
09:03 – Can you explain the differences between ‘Gamma’ and ‘Vega’ options profiles?
10:15 – What are your thoughts on rolling options?
15:05 – How do you think about the timing of adding and removing volatility protection?
18:27 – In your book you mention the ‘Sombrero Trade’, can you describe what this is?
21:54 – How risk becomes repriced during sharp selloffs
25:04 – Does tail-risk protection help long-term Trend Followers?
25:04 – Are you looking out for inflection points such as in March 2020, where everybody ran for the exits at the same time?
43:15 – What are your thoughts on the huge amounts of passive inflows to the markets and the in-elasticity it creates?
49:08 – What about the those who say the Federal Reserve (the ‘Fed put’) is the ultimate protection and therefore no other protection is needed?
54:10 – How do you think about those funds who use ‘vol targeting’?
01:01:12 – How do you think about ETFs when it comes to ‘whales’ positioning?