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 Jason 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 email@example.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 🏆
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?