In this episode, we sit down again with one of the OGs of VIX futures trading & options, Brett Nelson, CEO of Certeza Asset Management, and discuss their new mutual fund — Convex Core and how it relates to their Macro Vega hedge fund strategy. Join us to hear how the mutual fund aims to participate when the market is up, exploit opportunities when things get bumpy, and then protect heavily when the market is down. Brett explains why Convex Core isn't just an overlay strategy and how utilizing changes in Vega & Gamma can help protect you in a rough market. We talk about the Geometric Loss Problem, Certeza's three regimes of Volatility, their equity component, dialing through options, looking for the mathematical structure in the market, the rebalancing premium, and the importance of educating Advisors/Investors on volatility as an asset class. Finally, we ask Brett's opinions on some well-known relative value or Volatility arbitrage trades, asking when they work and when they don’t. And rounding things out is a discussion on the two new VIX ETF products coming out, and Brett’s thoughts on Delta Hedging Market Makers, just how critical "flow" is, and what the next disruption event could look like.
02:47-06:04= Covid = A Missed VIXportunity
06:05-025:02= A Flawed Mentality & The 3 Regimes of Volatility
25:03-38:09= Masquerading As an Equity Strat & the Rebalancing Premium
38:10-48:21 = What Works? What Doesn’t in Vol Arb trading
48:21-54:39= VIX ETFs: Good, Bad, or Ugly?
54:40-01:11:55= Delta Hedging Market Makers: A Game within Games
Check out our previous episode with Brett here: Seeking (VIX) Certainty with Certeza's Brett Nelson
Follow along with Brett on Twitter @CertezaAM
And visit our sponsor, the CME Group at www.cmegroup.com to learn more about futures and options.
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
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