Quantcast – a Risk.net Cutting Edge podcast
Lorenzo Ravagli, 09/07/2024
Jul 12, 2024
JP Morgan quant Lorenzo Ravagli discusses a unified framework for trading the volatility skew premium, exploring strategies in the FX market, client interactions in hedge funds, and principles applicable across asset classes.
44:45
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Quick takeaways
- Ravagli suggests a unified framework for trading volatility skew premium in FX markets.
- Balancing exposure and frequent delta hedging is key to efficiently harvesting the skew premium.
Deep dives
Exploring Various Trading Strategies in FX Market
Lorenzo Ravalli, the head of European FX Bowl Strategy at JP Morgan, discusses his role and innovative trading strategies in the FX market. His position involves a mix of discretionary trading in the volatility market and systematic strategies. By leveraging technical innovations and broader messaging, he aims to create trading strategies that cater to a wider audience. Clients can implement strategies internally or opt for index products offered by JP Morgan.
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