The Quant / Financial Engineering Podcast

Stock Options Perspective with Garrett DeSimone, PhD

Sep 13, 2023

Garrett DeSimone, Head of Quant Research at OptionMetrics, discusses various aspects of the Option environment including OptionMetrics, out of the money put, fat tails, long-dated options, and perspectives on the market. The discussion also touches on tail risk hedging, analytical tools for options-based research, and the use of Python and C++ in their work.

22:54

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Episode guests

Garrett DeSimone

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Episode notes

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Quick takeaways

Option Metrics identified elevated downside skew and abnormal volume in regional banks, indicating worries about crash risk and potential bank failures similar to those observed during the 2008 financial crisis.

Tail risk hedging with long-dated out-of-the-money puts is challenging and often leads to average losses in most years, due to the substantial insurance premium and the difficulty of accurately timing the monetization of hedges, although it may still have a place in portfolios for rare convex payoffs.

Deep dives

Introduction and Background

Garrett DeSimone, the head of Quant Research at Option Metrics, introduces himself and his role at the company. He highlights that Option Metrics is a data and analytics provider, specializing in exchange-listed options data and analytics for institutional customers. DeSimone's educational background includes a PhD from the University of Delaware, where he conducted research using Option Metrics data. The company has a blog where they share interesting observations in the options market and write academic-style white papers.

Introduction

3min

Regional Banking Sector Jitters and the Similarities to 2008

10min

Discussion on Products and Analytical Tools for Options-Based Research

2min

Views on Long-Dated Out of the Money Put Options and Tail Risk Hedging

5min

Perspective on Market, Options Metrics, and Machine Learning

4min

Professor Zoro speaks with Garrettt DeSimone about Options. Various aspects of the Option environment are discussed including OptionMetrics, Out of the money put, Fat tales, Long Dated Options, Taleb Nassim, Blogs by Garrett Garret is Head of Quant Research at OptionMetrics https://www.linkedin.com/in/garrett-desimone-ph-d-4ab7ba68/ https://www.reuters.com/business/media-telecom/bearish-traders-swarm-amc-options-stock-conversion-plan-faces-doubts-2023-07-28/ OptionMetrics https://optionmetrics.com https://www.businesswire.com/news/home/20230621930348/en/OptionMetrics-Makes-US-Dividend-Forecast-Data-Available-to-Academic-Researchers https://www.barchart.com/story/news/19307336/oil-stocks-amidst-current-macroeconomic-risks Patrick Zoro https://www.linkedin.com/in/patrick-z-08bb5b5a/ Lehigh Master in Financial Engineeringhttps://business.lehigh.edu/academics/graduate/masters-programs/ms-financial-engineering

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