The Derivative

We’re back this week bringing you the second half of our Miami event - sharing the open discussion and panel portion that focused on volatility as an asset class. The panel was quite the collective of talent, with Luke Rahbari, CEO of Equity Armor Investments, Zed Francis, CIO and co-founder of Convexitas, Rodrigo Gordillo, president of Resolve Asset Management and Jason Buck, CIO and co-founder of Mutiny Funds. In this packed VOL episode these four stir up an interesting discussion on volatility as an asset class, why we should care about volatility, and why it's necessary to have protection in your portfolios. How volatility comes in waves, and we need to be ready to react to its movements. Defining volatility vs risk, rebalancing your portfolio, offense + defense, low volatility, long volatility, these are just a few topics that are being dissected in this episode and it’s a conversation you don’t want to miss! Chapters: 00:00-01:43 = Intro 01:44-29:23= Volatility as an asset class, Why should we care, offense + defense, the world & diversification 29:24-43:02 = Defining Volatility vs risk, the importance of rebalancing your portfolio, & how volatility performed in 2022 43:03-01:02:08 = Role of players in the market, Options, Liquidity & Overlaying strategies for low Volatility 01:02:09-01:21:47= Key Q&A’s on Volatility Follow along with our panelists on Twitter @RodGordilloP, @jasoncbuck, @convexitas, & @luke_rahbari 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

We're back with a new episode of The Derivative, and this time we're talking all things trend-following, Miami, and volatility with Kevin Davitt from Nasdaq. This episode starts by clarifying some questions about trend-following strategies and sharing some quick thoughts on volatility in 2022. It was a unique year for trend following, with different sectors showing up at different times and overlapping, making for a much smoother experience than we've seen in the past. We also discuss the importance of embracing uncertainty, being proactive, and investing in relationships, as well as the common misconceptions around trend following and managed futures. If you're interested in learning more about trend following, managing volatility, and building relationships in the industry, be sure to give this episode a listen! Chapters: 00:00-01:47 = Intro 01:48-13:32 = Clearing up questions about Trend Following strategies & Quick thoughts on Volatility in 2022 13:33-43:55 = Embrace Uncertainty, Be Proactive & Invest in Relationships with Kevin Davitt Stay tuned for the panel discussion in Part II of this episode next week! Follow along with Kevin on Twitter @kpdavitt13 and check out his recent articles writing for Nasdaq, and for more information on Nasdaq visit nasdaq.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

Despite the market being down substantially this year, bouncing around inside of bear market territory, it's been a bit of a challenging year for long-vol traders. Simply put, the Vol spikes we’ve become accustomed to getting with a down market haven’t materialized as much.  While the retracement of vol on bounces higher in stocks has remained. it's hard not to think, "What is going on?!'  And that's why we're putting Wayne Himelsein, CIO at Logica, in the 'Vol' seat to share what he's witnessed in 2022. In our final episode of 2022, Jeff and Wayne delve into a variety of topics like; the lack of Vol sensitivity, contagion risks, and feedback loops, digging into Logica's straddle strategy, paying for long-term exposure, problems with machine learning, and is there enough data for machines and quants to work with when it comes to volatility? Tune in to see if this new Vol regime is our new normal — SEND IT! Chapters: 00:00-02:23 = Intro 02:24-05:28 = Sunny California from "the bunker" 05:29-27:00 = A difficult year for Long-Vol traders: Lack of sensitivity, contagion risks, feedback loops & is selling Vol protection 27:01-41:00 = Digging into Logica's strategy: Put spreads, Gamma Scalping & protecting what you're trying to protect 41:01-51:22 = Skew vs Distribution of Return: Panic events, debunking the signal & the skew price is lower than it used to be 51:23-01:00:21 = Is there enough data to cipher the VIX? / Problems with machine learning 01:00:22-01:12:03 = Seeking strength in the straddle 01:12:04-01:16:35 = Hottest take: Vol, there is no normal Other Derivative Episodes with Wayne: Wayne Himelsein: The Human Behind the Hedge Fund The Volvengers: Wayne Himelsein (Iron Man) & Mike Green (Captain America) on the derivative Follow along with Wayne on Twitter @WayneHimelsein and check out Logicafunds.com for more information Don't forget to subscribe to The Derivative, and 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

This week on the Derivative we're doing it a little differently sharing our platforms with RCM's Agriculture podcast, The Hedged Edge. The Hedged Edge is back online with a guest who could be it's podcast's most important guest of all time. At a time when inflation is running rampant through the world economy, drought conditions are drying up our rivers, and the global supply of grain is scarce. We are tasked with the question, "what the hell is going on in logistics, and is there any relief in sight?"     To help address these questions and more, Jeff Eizenberg is joined today by a man that needs no introduction to most in the physical commodity sector – Woodson Dunavant with the Dunavant Logistics company based in Memphis, TN. Quick Links from the episode: For more information visit Dunavant.com, follow @Dunavant_LTL on Twitter, and check out their LinkedIn & Facebook. Direct questions for Woodson: woodson.dunavant@dunavant.com Subscribe to The Hedged Edge on your preferred platform, and follow them on Twitter @ag_rcm, LinkedIn, and Facebook. Don't forget to subscribe to The Derivative, and 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

Jeff loves it when he sits across from someone who, like him, has been in the niche-managed futures part of the investment world for their entire career. There’s not all that many of them, and today's guest, Michael Harris(@mikeharris410) fits the bill. Michael's unique backstory began within the Sales and Product Development group at Morgan Stanley Managed Futures in 1997, continued as European trader and eventual President of managed futures behemoth Campbell & Co., overlapped with time on the board of the Managed Funds Association, and continues today where he currently resides as Quest Partner's President. Michael and Jeff talk about quantitatively positioning for long skew via short-term trading strategies and what set Quest apart to make him choose them to build on his impressive career. They also discuss a variety of topics like; the transition from the trading floor to the executive floor, what it was like in the good old days of managed futures, advice for funds that want to join the billion-dollar club, the macro risks in the world today, and so much more. Plus, we put Michael in the hot seat where he gives us his take on Crypto and digital assets — SEND IT! Chapters: 02:50-07:57 = Work/Life balance 07:58-28:31 = Exploring the CTA macro space, Dean Witter's MF dept, John Henry's Model & Algorithmic progression 28:32-34:33 = Campbell & Co, Growing your Billion dollar fund 34:34-47:38 = Portfolio protection, trend following, adding positive skew & short-term strategies 47:39-01:02:12 = Reacting faster & embracing trend with short-term models 01:02:13-01:10:21 = the MFA: Providing education & understanding 01:10:22-01:21:29 = Hottest take: Crypto & digital assets From the episode: Sign up for the Quest indicator book Quest's whitepapers & research Previous Derivative episode with Quest Partner's Nigol Koulajian RCM’s Trend Following Guide Follow Michael on Twitter @mikeharris410 and for more information on Quest Partners visit questpartnersllc.com  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 of 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.

How do all these smart people end up in the crypto space? Versus the hedge fund world or traditional finance, or doctor/lawyer, etc.  And how do investors separate the signal from the noise amongst all the meme stock pumps, Web 3 scams, and crypto deep dives? And is Winter coming, to borrow the Game of Thrones line… We're sitting down with GenZ'er and FinTwit staple Caitlin Cook of the @deadcaitbounce handle, where she's diving into what it’s really like working in Crypto during the current drawdown and what drives her to pump out great content on twitter and her podcasts. Caitlin and Jeff also discuss various topics ranging from women in finance and chicks of Fin Twit, bridging the gap in Crypto education (check out her new podcast, The DeadCaitBounce Experience), GenZer's providing professional content, and so much more! Plus, we wrap up the episode with Caitin's 3 BIG C's; Chicago, Cocktails, and Catchphrases — SEND IT! Chapters: 00:00-01:53 = Intro 01:54-09:33 = Soccer Goals to Finance Careers via Twitter 09:34-29:28 = Chicks of Fintwit, Crypto Education, building bridges & are we now seeing a Crypto winter? 29:29-41:56 = Women in Finance & Bridging the gap in Crypto education with The DeadCaitBounce Experience 41:57-48:10 = GenZ's providing professional content while making it human on Twitter 48:11-56:47= Chicago, Cocktails & #Getoutside 56:48-01:00:39 = Hottest take From the episode: The DeadCaitBounce Experience: https://dcbe.podbean.com/ Follow along with Caitlin on Twitter @DeadCaitBounce and @DCBExperience Don't forget to subscribe to The Derivative, and 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

Cover the kid’s ears… because we’re going back to our WTF format to ask what the actual Fingazi is going over in the UK with the bank of England raising rates, then buying a bunch of Gilts to save their pensions. The headlines say it’s some new-fangled LDI concept which led these pensions into trouble. But our guest this week, Zed Francis of Convexitas, says not so fast… the LDI actually is fine – and it was the reach for yield and adding some longer duration via derivatives which likely caused most of the problems. Zed used to work at Legal & General – which sounds like a UK pub to us, but had a solutions group which created some of these LDI frameworks, so Zed’s in contact with some of the guys on the front lines during this shake-out. US pensions also use an LDI framework…is it coming for them too? What are the main differences between US and UK? Is duration the same as volatility in these cases? Are these pensions sort of short gamma? And of course, while we had him, why is some stuff (gamma) working in the Vol space when a lot of popular VIX/Vega based models aren’t.  SEND IT! Chapters: 00:00-02:37 = Intro 02:38-17:20 = Pension Differences US vs UK 17:21-34:15 = Where does the risk show up, Duration & waterfall events 34:16-43:57 = Leverage: Keeping the drawer closed 43:58-55:42 = Where do Derivatives come in & how to plug the hole 55:43-01:02:02 = Struggles in Vol Strategies 01:02:03-01:11:09 = How Vol has changed Follow along with Convexitas on Twitter @convexitas and for more information visit their website at convexitas.com Don't forget to subscribe to The Derivative, and 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

How do you create a new futures contract?  You need an exchange. And you need something that changes in price, like a commodity market – or a financial index. This week we're diving deep into crafting an index with T3 Index's founder and CEO, Simon Ho. Simon is no stranger to the vol space, and he has worked in the options industry for over 20 years in trading, product innovation, and risk management roles. In this episode, Simon and Jeff touch base on the various unique index products at T3, like YLD Vol, ETH Vol, and the VIX competitor SPIKES.  They talk through just how SPIKES differs from the VIX, the unusual behavior currently playing out in stock index volatility, the futures, options and ETFs based on SPIKES, and so much more. Plus, Simon gives his hottest takes. Will you be tuning in? SEND IT! Chapters: 00:00-02:05 = Intro 02:06-11:05 = A robust background to crafting a robust index 11:06-15:53 = Helping hedge funds generate alpha & Tail risk events 15:54-25:38 = It's Coke - Here's Pepsi: Improving on VIX with SPIKES 25:39-35:37 = The unusual behavior of the current state of volatility 35:38-43:41 = T3 Index, MIAX & skew indexes 43:42-55:03 = SPIKES stress test, the creation of the VOL index & Hottest take Show Notes: Follow along with Simon on Twitter @t3index and for more information on T3 Index visit t3index.com and check out MIAX at miaxoptions.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

Otherworldly forces can affect the market and hurt it just as much. Hurricane Ian continues to bring surges, winds, and flooding to Florida, and we have our own hurricane swirling around the set. That's right, we're bringing two forces together this week in a mashup of two previous pods with Hurricane Hunter Dr. Jeff Masters and Re-Insurance pro Chris Mckeown. We're revisiting what Dr. Jeff has to say on hurricanes and how you can track them, and we're also talking catastrophe bonds with Chris McKeown. You'll want to add this special episode to your playlist to learn more about; building weather models, the financial impacts of a storm, fat tails outside of financial markets… yes they are there too (let's just say it's a complex system), off-loading risk via reinsurance, CAT bonds, structural issues in an upside market, and so much more — SEND IT! Chapters: 00:00-01:58 = Intro 01:59-20:41 =  Hurricane Hunting, “The Final Flight”, & Weather Underground 20:42-32:10 = Building Weather Models w/ 15km Global Grids 32:11-46:47 = Storm Financial Impacts, Catastrophe Bonds & Fat Tails ( It’s a complex system) 46:48-50:57 = Favorite Hurricane 50:58-51:22 = *** break *** 51:23-01:06:00 = Off-loading Risk via Reinsurance, Capital Deployment & Investor portfolio protection 01:06:01-01:13:14 = Cat Bonds & Structural Issues in an Upside Down Market From the episode: Check out Dr. Jeff Masters on Yale Climate Connections blog Eye on the Storm, follow him on Twitter @DrJeffMasters, and visit wunderground.com Visit VantageRisk.com for more information on Re-Insurance, Chris McKeown and his team 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

We have a little saying over here on The Derivative, The More, The Merrier, and on this week's episode of The Derivative, we're not chatting with one guest, but THREE! Class may no longer be in session, but we are taking a trip down the SIG/Susquehanna memory lane and having our own class reunion with Kris Abdelmessih, Michael Steiner, and Tina Lindstrom. If you're interested in learning how big trading firms find and teach their traders, hold on to your seat because these three give you the answer key! Kris, Tina, and Michael are in session with Jeff and discussing competing with peers, finding an option’s fair value, making markets, and being in the game of trading, educating kids with board games, and of course Steiner’s new trading board game: Stock Slam! Discover how the game works and how you can join up with these three in NYC for a live session in this three-of-a-kind episode — SEND IT! Chapters: 00:00-2:06 = Intro 02:07-21:10 = Competing with peers & if you are teachable? 21:11-35:18 = Options, WhenTech, Fair value & Being in the game 35:19-46:09 = Are board games for fun or for learning? 46:10-57:38 = Stock Slam: Bridging to real-world concepts 57:39-01:16:24 = The components of the game & meet up in NYC 01:16:25-01:20:10 = Last thoughts From the episode: NYC meet-up application for StockSlam Sessions   Check out Moontower Weekly by Kris Abdelmessih Follow Kris on Twitter @KrisAbdelmessih and Tina on Twitter @moreproteinbars 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