While it’s long been a practice to trade volatility in single name stocks around an event like earnings, with the ability to see the distinct amount of volatility priced into the earnings move – event vol around macro level events has been a less talked about trade. There’s many reasons for that, chief among them […]
Category: VIX
26
Oct
2020
15
Oct
2020
Vol Curves and Vanna Charm with Cem Karsan
Today’s pod is all about word play playing into alternative investment. How does Jam Croissant relate to Cem Karsan? What about Vanna Charm and options definitions? Or the forever popular “there’s no such thing as a free lunch” evolving to “nothing is ever risk free”? To get together the definitions, explanations, and educated facts on […]
05
Oct
2020
Just how crazy was September for VIX Traders?
Oil going negative. The Swiss Franc de-pegging from the US Dollar. The Dow losing 1000 points in 36 minutes in the flash crash. These were all outlier events there in plain sight, reported ad nauseum in the financial press. But the largest front month VIX index loss during a down month in the S&P 500 […]
24
Sep
2020
Sequencing, Skew, and (Option) Strikes with Hari Krishnan
We’re joined by option guru and author of ‘The Second Leg Down’ in this episode to talk through the real-time test of market crashes and volatility dynamics we’ve witnessed since February. Is our guest’s theory on volatility sequencing proving its worth in this environment of bigger VIX spikes, oil going negative, and retail trader flow? […]
21
Sep
2020
Nowhere to run… Nowhere to hide
September has been rather nasty (so far) not just in equities, but across the various asset classes purporting to provide diversification from such down turns. After today’s sell off, the S&P 500 is down around -9% for the month. Gold is off about -3%, Commodities down about -5%, and bonds and TIPS are likewise slightly […]
15
Sep
2020
Election Volatility is Here and Most Intense Than Ever
October is a historically volatile month (see Oct 08, Oct 87), and the VIX tends to peak in the month, “jumping to [a level of] more than 21… on average over the past 30 years” (CNBC), where we even get the so called October effect or Mark Twain effect. And this October is a particularly […]
10
Sep
2020
Market Up/Vol Up, Market Down/Vol Down…WTF Episode
So – what’s happening in the wide world of volatility? The market moved to new all time highs and the VIX actually went UP. The market then mini-crashed lower and VIX barely budged? WTF indeed? Is it Robinhood traders? It is market makers? Is it sustainable? To break it down we’re doing another of our […]
05
Aug
2020
Just a Spoonful of (Beta) Sugar
Our own Jeff Malec relayed a story on a recent podcast (if you haven’t checked our The Derivative yet…get on over there) about telling his 10 year old son that “we’ve been in drawdown your whole life”. He was referring to managed futures, of course, and this rather un-even, lumpy, lots of flat/red bars chart […]
23
Jul
2020
Seeking (VIX) Certainty with Certeza’s Brett Nelson
In a #ThrowbackThursday of sorts, we’re bringing you an episode recorded pre-pandemic where we hit the road and traveled to Utah to interview the brain behind Certeza Asset Management, Founder and CIO – Brett Nelson. Brett is another guest deserving of the moniker VIXpert – having been trading the VIX since it first entered the […]
14
Jul
2020
Seeking Options Expertise
There was an interesting back and forth between our own Jeff Malec and Sean Brown of YCharts on a recent episode of ‘The Derivative’, talking what the responsibilities of a FinTech software platform are in terms of balancing nice looking GUIs and gamifying investing, and the responsibility to make sure that the users actually know […]
