In today’s episode, Jason Buck is joined by Stefan Wintner of DUNN Capital, to discuss volatility as an asset class, the evolution of the VIX from its inception until now, some of the mechanics behind the VIX, the relationship between the VIX and the S&P 500, some thoughts on ‘volatility relative-value’ trading, the reliability of the VVIX, building and running models during different market environments, thoughts on kurtosis and skew, and volatility as a necessary component for a large Trend Following firm.

-----

50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In this episode, we discuss:

Volatility as an asset class of its own
The journey of the VIX from its early days until now
Analysing the relationship between the VIX and the S&P 500
What’s known as volatility relative-value trading
The usefulness of the VVIX
Operating models during different market and economic environments
Kurtosis and skew
The need for Volatility strategies as part of a diversified investment portfolio

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.

Follow Jason on Twitter.

-----

Episode TimeStamps:

00:00 - Intro

02:05 - Why should somebody add volatility strategies into their portfolio?

04:48 - Do you consider Volatility to be an asset class of its own?

05:58 - What was it like during the early days of the VIX market?

08:28 - What is the VIX, and what is the calculation that goes into the VIX?

14:07 - Tell us a little bit about the relationship between the VIX and S&P 500

19:37 - How does volatility risk premium relate to other datasets you use?

25:03 - What is ‘volatility relative-value’ trading?

27:37 - How do you think about the ratio that you combine between the S&P 500 & the VIX?

30:31 - Is it true that if you see a spike in the VIX, you’ll look to take advantage via the front-month volatility in that spike?

33:29 - Do you think VVIX is a good measure for the volatility of volatility?

35:09 - How do you use options in a creative way in your portfolio?

37:22 - How do you identify and think about possible mispricings in the market?

40:40 - Do you try to track both the normal price and OTC prices?

42:00 - How do you approach building & running volatility models during different market environments?

47:22 - Describe what volatility traders experienced during the ‘volmaggedon’ of February 2018

55:06 - How did you trade through the ‘known risks’ 2020 election?

59:15 - How much can you rely on market history as a predictor for the future?

01:02:49 - Is it true you’re likely to experience long periods of flat to negative performance while waiting for those huge, profitable moves in volatility?

01:06:09 - How do you think about kurtosis and skew, and how they relate to other strategies?

01:08:56 - Do you view what you do as a necessary component of a large Trend Following firm?

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Disclaimer

373: The Patterns of Your Life Repeat Themselves Until You Listen