The Derivative Convex (CONVX) to the Core with Certeza’s Brett Nelson
In this episode, we sit down again with one of the OGs of VIX futures trading & options, Brett Nelson, CEO of Certeza Asset Management, and discuss their new mutual fund — Convex Core and how it relates to their Macro Vega hedge fund strategy. Join us to hear how the mutual fund aims to participate when the market is up, exploit opportunities when things get bumpy, and then protect heavily when the market is down. Brett explains why Convex Core isn't just an overlay strategy and how utilizing changes in Vega & Gamma can help protect you in a rough market. We talk about the Geometric Loss Problem, Certeza's three regimes of Volatility, their equity component, dialing through options, looking for the mathematical structure in the market, the rebalancing premium, and the importance of educating Advisors/Investors on volatility as an asset class. Finally, we ask Brett's opinions on some well-known relative value or Volatility arbitrage trades, asking when they work and when they don’t. And rounding things out is a discussion on the two new VIX ETF products coming out, and Brett’s thoughts on Delta Hedging Market Makers, just how critical "flow" is, and what the next disruption event could look like.
Chapters:
00:00-02:46= Intro
02:47-06:04= Covid = A Missed VIXportunity
06:05-025:02= A Flawed Mentality & The 3 Regimes of Volatility
25:03-38:09= Masquerading As an Equity Strat & the Rebalancing Premium
38:10-48:21 = What Works? What Doesn’t in Vol Arb trading
48:21-54:39= VIX ETFs: Good, Bad, or Ugly?
54:40-01:11:55= Delta Hedging Market Makers: A Game within Games
Check out our previous episode with Brett here: Seeking (VIX) Certainty with Certeza's Brett Nelson
Follow along with Brett on Twitter @CertezaAM
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