Mutiny Investing Podcast 18. Mike Green
Oct 20, 2020
Formerly running Thiel Macro, Mike Green from Logica discusses monetizing options, market history, and Fed seminars. He shares insights on passive investing, long volatility challenges, gamma scalping, and historical market dynamics. The conversation also explores the Federal Reserve's influence, options market dynamics, and the Princess Bride analogy.
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Passive Investing Creates Market Fragility
- Passive investing has made markets fragile: inflows amplify moves and reduce upside elasticity.
- That fragility creates mispriced option forwards which Logica exploits with asymmetric option structures.
Structure Straddles For Expectancy Not Lottery Wins
- Use straddles split into up-capture (single-stock calls) and down-capture (index puts) to add value.
- Favor in-the-money, higher-expectancy options and time-splitting to lower carry and keep positive expectancy.
Make Long-Vol Viable By Reducing Carry
- Aim to lower the cost of long-vol carry toward zero by buying options and managing inventory proactively.
- Build a portfolio that can make money most months so clients won't abandon protection before tail events.