50 Charts showing the Current State of Volatility, with Jeremie Holdom and Colin Suvak of LongTail A

This episode of The Derivative discusses the current state of Volatility - and how to use those measurements in diversifying investment strategies with Jeremie Holdom and Colin Suvak of LongTail Alpha, an investment firm focused on tail risk hedging. The guests share insights into their work, analyzing volatility across asset classes and constructing customized hedging solutions for institutional investors.
Jeff, Jeremie, and Colin do something a little bit different in this pod - walking through several graphics and charts to discuss notable stats and trends in implied and realized volatility pricing in not just equities, but across various asset classes including energies, Gold, interest rates, and more. Check the episode out on RUclips if you're wanting to see their beautiful charts. They also explore topics like the influx of options selling and its implications. They dive into topics like interest rate movements, inflation effects, fixed income-equity correlation shifts, and how these influence positioning across strategies like tail hedging and trend following.
Learn about Longtail's customized approach to constructing hedging solutions around tail hedging costs and frameworks like generalized optionality and how the firm evaluates basis risk. This discussion also covers challenges measuring counterparty risk and the interplay between explicit and implicit hedging strategies. Sit back and look at how professionals interpret shifting market dynamics and construct diversified portfolios using alternative risk mitigation approaches. SEND IT!
Chapters:
00:00-01:54=Intro
01:55-08:07= Cal vs Can cost of living & backgrounds among the tails
08:08-17:21= Generalized optionality & Risk mitigation - Long vol, the core of basis risk
17:22-23:47= Diversifying strategies, hedging Nasdaq, customized approach, & tail risk hedging
23:48-37:08= Keeping tabs on all type of Vol - why does it matter? Basis risk across all asset classes
37:09-51:32= Implied vs realized Volatility, Volatility skew & short-term vol
51:33-01:01:21= The Vol selling influx / 0DTE
01:01:22-01:15:27= The shake out & blending all pieces together
From the episode:
⁠Taming the tails with LongTail Alpha’s Vineer Bhansali on The Derivative⁠ www.rcmalternatives.com/2021/...
⁠LongTail Alpha Whitepaper: Option Total Return and Active Option Portfolio Management⁠ www.longtailalpha.com/wp-cont...
Follow along with LongTail Alpha on Twitter with Vineer Bhansali ⁠@longtailalpha / longtailalpha , on ⁠⁠LinkedIn⁠⁠ with ⁠Jeremie Holdom⁠ / jeremie-holdom-7b2a3380 & ⁠Colin Suvak⁠ & also check out there website for more information: ⁠LongTailAlpha.com
Don't forget to subscribe to The Derivative (www.rcmalternatives.com/the-d..., and follow us on Twitter at @rcmAlts ( / rcmalts , and our host Jeff at @AttainCap2 ( / attaincap2 , or LinkedIn ( / rcm-asset-management , and Facebook ( / rcmalternatives , and sign-up for our blog digest (info.rcmalternatives.com/get-.... 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

[@dino7dino]

Excellent I do like how you look at other asset classes when direct hedges are expensive. ! One question. On big down moves where your hedges work, when do you take profits ? I saw this with a fund I had where they nailed the financial crisis in Europe. Except they never cashed in. Basically they thought the world was going to end and they gave back most of their profits. If the system collapses buy a gun and a farm.
Also agree with your opinion on gold. With big central bank buying they are looking at it as a hedge on paper money. I previously traded gold on the COMEX. The floor use to say never buy gold just look for a place to sell it but the tenor has definitely changed.

[@jamesmarsh4047]

Interesting interview, but I think Long Tail Alpha is not a legit competitor in the tail risk space. Jeremie doesn't understand some of the basics such as why NO legit tail hedger would buy 10% otm options or use 1 year 20% otm put spreads.
Fat tails = more quiet times. This produces a probability distribution with higher peaks. In option terms, this means 10% otm options are a bad deal.
Put spreads would be impossible to execute in a crash because buying back the short strike could cost a fortune. Also, one year options lack big convex payoffs. Need to be shorter.
Still, this was worth watching and I wish everyone involved in the tail risk space good luck.