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