Kris Sidial🇺🇸
Co-CIO of Ambrus| (Focus: Volatility Trading / Tail risk hedging )| @penn guy ( These are my personal thoughts and not the opinions of Ambrus)
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Life has a remarkable way of maintaining balance, much like the markets. It’s a constant dance of yin and yang, where opposing forces seem to find equilibrium. In the markets, bea...
When we discuss how people have doubled down on the short vol trade, we recognize that the general public does not have access to the same data that we do. 1) The footprint of sho...
As the week goes by, we continue to gather more intel on this. We have friends who manage short-vol bias books, are connected with brokers involved in facilitating yield harvesting...
Just to be clear, the short-vol trade still has not capitulated. That flow is still active and very aggressive, as large footprints continue to show up as of yesterday and today....
One interesting thing we have observed in the volatility space over the last six months is this dynamic where vol spikes are met with faster crushes than what has been observed his...
Back in the day, when I traded RV vol, I had a reliable setup: identifying stocks that experienced significant overnight vol changes (either a big gap up or down in spot moves). My...
Volatility/ Derivatives 101: Tail risk hedging WHY IS THIS DONE? The whole purpose of a tail risk hedge is to protect a portfolio from large losses during market crashes. 1) R...
Tail risk and long volatility are two different things. Very important designation. Imagine calling L/S equity “momentum”. Sure there are pieces that relate but it’s different in...
Disclaimer: This thread is not from an institutional vol mandate perspective, it will be more from a prop trader perspective Contrary to what fintwit parades, losses are part of...
On the prop side, it’s eat what you kill. So it’s drilled into your head how to properly learn how to hunt in markets. When newer traders come to the table, they often don’t know...
One of the most valuable lessons I learned when trading prop was how to identify institutional order flow. This becomes relevant when there is abnormal activity in the name (ex:...