Alpha Exchange

Dean Curnutt
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Jun 27, 2024 • 17min

Cuban’s Collar is Jensen’s Alpha

Jensen Huang, owner of NVDA shares, discusses Mark Cuban's well-timed collar trade on Yahoo and its wealth accumulation impact. The podcast explores collar trades, Mark Cuban's investment strategy, and Jensen Huang's wealth management opportunities through options trading and hedging strategies.
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8 snips
Jun 20, 2024 • 16min

Correlation, Crowding and Convexity

Exploring the dispersion trade, pricing of vol and correlation, and the potential risks during risk-off episodes. Analyzing stock correlation levels, volatility, and market risk. Understanding market volatility events, risk-off conditions, and challenges in volatile markets. Exploring market dynamics, policy responses, and the importance of equity index insurance amid uncertain macroeconomic factors.
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Jun 18, 2024 • 49min

Garrett DeSimone, Head of Quantitative Research at OptionMetrics

Garrett DeSimone, Head of Quantitative Research at OptionMetrics, discusses his dissertation on event risk premia in single stocks and the implications for option pricing. They delve into the impact of macro events on options trading, the challenges of pricing options accurately, and the evolving nature of option markets. They also explore hedging strategies in a low VIX environment, portfolio scaling using implied downside volatility, and developing a model for calculating implied dividends in the options market.
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Jun 13, 2024 • 14min

There’s No Crying in Correlation

Explore the world of correlation in financial markets with cautionary tales and discussions on stock and bond market movements. Analyze historical trends, portfolio diversification, and market pricing. Discover how price action impacts distributions, implied correlation, and market diversification. Question the sustainability of the stock market's sensitivity to idiosyncratic events over macro factors.
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Jun 5, 2024 • 14min

The Zeroes…A Cross Asset Sequel

With option prices in the doldrums, your host provides some thoughts on why and in the process reflects on the skinny levels of risk premia a decade ago. I finish with some cautionary observations around what might go wrong. I hope you enjoy this short pod!
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Jun 3, 2024 • 53min

Raghuram Rajan, Professor of Finance, Chicago Booth, and Former Head of Reserve Bank of India

Raghuram Rajan, former head of Reserve Bank of India, discusses unintended consequences of monetary policy, asymmetry during crises, distortions from forward guidance, and Fed's impact on emerging economies. Also dives into his recent book 'Breaking the Mold' and India's transition towards a service-based economy.
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May 28, 2024 • 41min

Harry Markopolos, "The Man Who Knew"

Corporate Fraud is an unfortunate, costly and seemingly never-ending aspect of the world of business. In the best case, fraud is prevented or, at least caught before harm is done. All too often, however, these cases of deception lead to large financial losses, impacting the lives of many - shareholders, individuals and certainly those that are courageous whistleblowers.A little more than 15 years after the unwind of the Madoff Ponzi scheme, I invited Harry Markopolos back to the Alpha Exchange. Harry is often simply referred to as “the Man Who Knew”. He chased Madoff for years, serving up a comprehensive slew of evidence to the SEC that was mind boggling in its degree of logic, rigor and scope. Our conversation looks back on the lessons of this Ponzi scheme and also zooms out to consider other examples of corporate fraud including Theranos and FTX. Throughout our discussion I seek to gather Harry’s insights on the commonalities in these cases, how to detect them and also, importantly, how to prevent fraud. He points to a few areas of progress on the enforcement front but makes a strong case that the penalties associated with being caught need to be considerably larger.I hope you enjoy this episode of the Alpha Exchange, my conversation with Harry Markopolos.
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May 14, 2024 • 1h 3min

Kris Kumar, CIO, Goose Hollow Capital

Kris Kumar, CIO of Goose Hollow Capital, discusses the impact of Fed policy on the economy, the shift from tech to energy sectors, valuations in fixed income and equities, and implications on S&P correlation and rate volatility.
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Apr 17, 2024 • 57min

Jerry Peters, Managing Partner, Smithbrook, LLC

Jerry Peters, Managing Partner of Smithbrook, LLC, shares insights on risk-managed equity solutions, option overlay strategies, and maximizing after-tax returns through tax-loss harvesting. He discusses the benefits of using index put options to offset portfolio losses, the concept of 'rebalancing bonus', and the importance of managing downside risk to enhance long term returns.
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Apr 8, 2024 • 54min

Mandy Xu, Head of Derivatives Market Intelligence, Cboe Global Markets

Mandy Xu, Head of Derivatives Market Intelligence at Cboe Global Markets, discusses product innovation in options trading, the GME short squeeze, option pricing dynamics, mechanical flows, growth of option income funds, and the debate on ODTE risks in the market.

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