VOL06: Finding True Value in the World of Volatility ft. Benn Eifert
Top Traders Unplugged
The S&P Term Structure and the Structure of the Markets
Don't you find a lot of value in seeing the flows or the structural biases that go through various markets? I know you've talked about this at great length, you know, about the reasons why there is a steep term structure on average in the S&P. These are all related to the ETF content you made and maybe you can dive into that.
On today’s episode, Hari Krishnan is joined today by Benn Eifert, to discuss running a volatility fund, the benefits that Benn gets from using Twitter, how to effectively serve clients as a volatility trader, the drawbacks of hedging via ETFs, monitoring market flows, the popularity of short-dated options, implied volatility versus realised volatility, how correlations change over time, balancing family-life with managing a fund, and the new normalisation of working from home.
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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
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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
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