In this episode, we talk with Cem Karsan, CIO and Founder of Kai Volatility Advisors (formerly Aegea).  After his successful trading career, Cem decided to leverage his volatility arbitrage expertise by improving upon many of the flawed strategies he had witnessed during his tenure as a market maker. To that end, Kai Volatility Advisors has created a non-correlated and scalable investment vehicle that takes advantage of the structural mispricing inherent in option indices worldwide, while offering the superior transparency and liquidity that today’s investors demand.

We talk about Cem’s experience as a market maker and how that affects how he thinks about trade flows.  We dive into the 3 components to his strategy: 30 day skew, dispersion, and VVIX.  We also discuss how dealer hedging can affect Vanna and Charm, which can pin the index or exacerbate moves depending on their hedge positioning.

I hope you enjoy Cem’s insights as much as I did...