Kris Sidial @Ksidii11

Co-CIO of Ambrus| (Focus: Exotic Derivatives / Volatility/ Tail risk hedging )| @penn guy (Not investment advice) ambrusgroup.com New York, USA Joined February 2013

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Kris Sidial🇺🇸 @Ksidiii

a month ago

Obviously the actual setup had a little more nuance. But I’m sure you guys can dig in that area and find your own edge 🙂.

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Kris Sidial🇺🇸 @Ksidiii

a month ago

Happy Easter to all my fellow Christians who celebrate! ✝️✝️✝️ To those who do not, I wish you and your family a peaceful holiday season!

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For years we have witnessed the emergence of these passive tail risk solutions. Mainly from QIS desks at these larger banks. They consist of strategies that do things like “rolling 3M S&P puts” or “buying VIX calls at the end of the month”. For the love of God, avoid these like…

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

As a firm, we believe in more of a carry neutral approach. One where the manager is trading short term edges that do not compromise the mandate of the portfolio, while simultaneously reducing the bleed that comes from the tails. Linking our website below if anyone would like to…

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

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) Reduction in variance drag: This ultimately leads to a higher geometric return over the long run.…

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

RIA: “Hey I am seeking a robust tail hedge for my clients”. Bank: “Great we are going to sell an ATM put and buy 2 OTM puts. We will look rebalance this once every two weeks and we charge .25bps” RIA:

Kris Sidial🇺🇸 @Ksidiii

6 months ago

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

Deleted the last thread (joke). Not trying to be that negative mean guy on Twitter. Have a good Thursday friends!!!

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The Options Insider @Options

6 months ago

#VolatilityViews is now live with @OptionPit and @Ksidiii at mixlr.com/options-insider. Show will also be available later today for everyone to stream on all major #podcast platforms. $VIX $VVIX $VOLQ $VXX $UVXY $SVIX $UVIX

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

A couple of key events next week (FOMC meeting/ AAPL earnings/ etc.) Looks like Vol may remain sticky going into EOM. Unless something material changes over the weekend, it would be hard to see a nasty vol crush before EOM (IMO).

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Kris Sidial🇺🇸 @Ksidiii

7 months ago

We are looking to do an end of year educational panel on how a zero-bleed (carry neutral) tail risk hedge can be a great option for investors seeking defensive alternatives. If you are a family office/ allocator/ RIA/ HNW investor that is looking to learn more about the…

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

TLDR: my game is about finding an edge, developing a system to exploit it, managing risk, staying disciplined to follow that system, and doing the same thing over and over and over again…. Regardless of what else is going on.

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

Macro trading is difficult. I never really bought into the idea that someone could assess the entire environment across all asset classes, and make judgment calls that constantly flip on a dime. It obviously has been done successfully, and I tip my hat to those that have done…

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

Sell side research in the derivatives market is terrible. I think the quality of sell side research in general has fallen off of a cliff. Genuinely the last time I read a good report from a bank was 2015, and it was a special situations piece that was around an M&A play.

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

The psyche in trading is truly amazing. Most bad traders will feel comfortable adding to losers as the market goes against them, in the HOPE that profits will materialize in the future. Yet feel uncomfortable adding to winners as the market works in their favor, in the FEAR…

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

🦑

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

Boring trading day for us so why don't I dive into some derivatives/volatility stuff. Why is it important to understand spot-vol beta? If you are running a larger derivatives book, understanding your shocks and slides is pretty crucial. A generalized risk report will take the…

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Kris Sidial🇺🇸 @Ksidiii

6 months ago

I made this Vol community a little while ago. If you guys are interested in volatility/ derivatives, feel free to join! x.com/i/communities/…

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Sal Abbasi @AbbasiSal

6 months ago

These are the prices and returns of a 2 month 1 delta S&P 500 put option during the Covid crash. Some pretty extreme returns showing the convexity of deep OTM options during a crash. When chaos reigns, people are forced to buy to survive.