Cem Karsan - Insider’s Guide to Volatility Hedges
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- Опубліковано 25 лип 2024
- Episode 24: Cem Karsan - Insider’s Guide to Volatility Hedges
In this episode, we talk with Cem Karsan, CIO and Founder of Kai Volatility Advisors (formerly Aegea).
After his successful trading career, Cem decided to leverage his volatility arbitrage expertise by improving upon many of the flawed strategies he had witnessed during his tenure as a market maker. To that end, Kai Volatility Advisors has created a non-correlated and scalable investment vehicle that takes advantage of the structural mispricing inherent in option indices worldwide, while offering the superior transparency and liquidity that today’s investors demand.
We talk about Cem’s experience as a market maker and how that affects how he thinks about trade flows. We dive into the 3 components to his strategy: 30 day skew, dispersion, and VVIX. We also discuss how dealer hedging can affect Vanna and Charm, which can pin the index or exacerbate moves depending on their hedge positioning.
I hope you enjoy Cem’s insights as much as I did...
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Disclaimer:
Futures and options trading involves a substantial risk of loss. You should therefore carefully consider whether such trading is appropriate for you in light of your financial condition. Unless distinctly noted otherwise, the data and graphs included herein are intended to be mere examples and exhibits of the topic discussed, are for educational and illustrative purposes only, and do not represent trading in actual accounts. Opinions expressed are that of the author. The mention of specific asset class performance (i.e. S&P +3.2%, -4.6%) is based on the noted source index (i.e. S&P 500 Index, etc.), and investors should take care to understand that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history.
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This video provides information regarding a commodity pool known as The Mutiny Fund LLC (the “Fund”), which is managed and operated by Attain Portfolio Advisors LLC and Black Pearl Management LLC (the “Manager”). TaylorPearson.Me is a registered DBA of Black Pearl Management, LLC. Investments in the Fund are only available to Accredited Investors as defined in Rule 501 of Regulation D of The Securities Act of 1933. This content is being provided for information and discussion purposes only and is qualified in its entirety by the information included in the Fund’s offering documents and supplements (collectively, the “Memorandum”) described herein. Any offer or solicitation of the Fund may be made only by delivery of the Memorandum. Before making any investment in the Fund, you should thoroughly review the Memorandum with your professional advisor(s) to determine whether an investment in the Fund is suitable for you in light of your investment objectives and financial situation. The Memorandum contains important information concerning risk factors, including a more comprehensive description of the risks and other material aspects of an investment in the Fund, and should be read carefully before any decision to invest is made.
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The ultimate goal in trading is to understand everything this guy says and be able to apply it :)
I absolutely disagree
Your brain is fucking huge Jammy appreciate you sharing this knowledge as always much love man thank you!
A fantastic set of questions and I really liked the order they were put in. Thank you both!
Cem keeps saying "You know", but do I really know? 🤔
Great conversation! thank you for taking the time Cem & Jason. this one is 3x viewing at least to digest all the astute mkt color. thanks!
best finance channel, really thank you very much for this content, we are very grateful.
THOUGHTFUL QUESTIONS - INFORMED ANSWERS - WHAT MORE COULD A PERSON WANT IN AN INTERVIEW
simply brilliant from both sides.
respect! for naming the company after your son.
Great conversation. I learned a lot. Thanks!
Thank you.. Teşekkürler Cem Bey...
Amazing video
Top notch stuff Cem
Priceless.
This stuff is gold....
Cem is obviously very intelligent, but it's difficult for the retail investor/trader to parse anything actionable here.
Exactly my thoughts
Perhaps because this is extremely dense quantitative finance. This is the other side of your retail trades and the reason why you will eventually stop rolling heads and hand over your capital. Don’t fight against the pros, invest in them instead.
He mentioned couple times about "xiv"? in his interviews, what is it? Thanks!
Does skew differential always correlate with volume diffeeential ?
awesome
What position is long skew? selling skew? but long vol at the same time? Some sort of ratio or calendar?
Is the idea with the dispersion trade to be long stock name into earning or just hoping for some sort of vol spike while shorting the index vol? And would this have been good to do in the 2017-2018 market with low vol?
what is riding up the curve? I get backwardation. Is it selling short-term and buying long? and riding the wave down?
1256 contracts I assume this is US only.
How can I learn more about flow? And I assume it is but how is it different to volumn?
Examples of "long skew" positions in SPX would be naked long puts, or risk-reversals where you're long puts and short calls.
This is because, for SPX, the IVs of the puts tend to trade at a premium to those of the calls. For other products, the reverse might be true.
How can he know where the dealers are positioned
Lots of words to say absolutely nothing...
Huh?