This episode of The Derivative discusses the current state of Volatility – and how to use those measurements in diversifying investment strategies with Jeremie Holdom and Colin Suvak of LongTail Alpha, an investment firm focused on tail risk hedging. The guests share insights into their work, analyzing volatility across asset classes and constructing customized hedging solutions for institutional investors.
Jeff, Jeremie, and Colin do something a little bit different in this pod – walking through several graphics and charts to discuss notable stats and trends in implied and realized
volatility pricing in not just equities, but across various asset classes including energies, Gold, interest rates, and more. Check the episode out on YouTube if you're wanting to see their beautiful charts. They also explore topics like the influx of options selling and its implications. They dive into topics like interest rate movements, inflation effects, fixed income-equity correlation shifts, and how these influence positioning across strategies like tail hedging and trend following.
Learn about Longtail's customized approach to constructing hedging solutions around tail hedging costs and frameworks like generalized optionality and how the firm evaluates basis risk. This discussion also covers challenges measuring counterparty risk and the interplay between explicit and implicit hedging strategies. Sit back and look at how professionals interpret shifting market dynamics and construct diversified portfolios using alternative risk mitigation approaches. SEND IT!
Chapters:
00:00-02:24=Intro
02:25-08:40= Cal vs Can
cost of living & backgrounds among the tails
08:41-18:11= Generalized optionality & Risk mitigation – Long vol, the core of basis risk
18:12-24:25= Diversifying strategies, hedging Nasdaq, customized approach, & tail risk hedging
24:26-37:24= Keeping tabs on all type of Vol – why does it matter? Basis risk across all asset classes
37:25-51:32= Implied vs realized Volatility, Volatility skew & short-term vol
51:33-01:00:44= The Vol selling influx / 0DTE
01:00:45-01:15:27= The shake out & blending all pieces together
From the episode:
Taming the tails with LongTail Alpha’s Vineer Bhansali on The Derivative
LongTail Alpha Whitepaper: Option Total Return and Active Option Portfolio Management
Follow along with LongTail Alpha on Twitter with Vineer Bhansali @longtailalpha , on LinkedIn with Jeremie Holdom & Colin Suvak & also check out there website for more information: LongTailAlpha.com
Don't forget to subscribe to The Derivative, follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.
Disclaimer: This podcast is provided for informational purposes only and should not be relied upon as legal, business, or tax advice. All opinions expressed by podcast participants are solely their own opinions and do not necessarily reflect the opinions of RCM Alternatives, their affiliates, or companies featured. Due to industry regulations, participants on this podcast are instructed not to make specific trade recommendations, nor reference past or potential profits. And listeners are reminded that managed futures, commodity trading, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors. For more information, visit www.rcmalternatives.com/disclaimer
The Derivative