Kris Sidial🇺🇸 @Ksidiii
Co-CIO of Ambrus| (Focus: Exotic Derivatives/Volatility/ Tail risk hedging )| @penn guy (Not investment advice) ambrusgroup.com Follower of Christ ...New York Joined October 2013-
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I’ve seen some drastic cave-outs in volatility over the years, but this one over the past 48 hours has truly been fascinating to watch. Large traders have come in with significant positions to unload May and June VX. Additionally, there's been increased openness to selling…
The sport of boxing seriously needs an overhaul. Garcia dismantled Haney throughout the entire fight: multiple knockdowns, numerous rounds where he stunned him, and several uncalled knockdowns. Yet, it's deemed acceptable for a judge to call the fight a draw. Until the very last…
The sport of boxing seriously needs an overhaul. Garcia dismantled Haney throughout the entire fight: multiple knockdowns, numerous rounds where he stunned him, and several uncalled knockdowns. Yet, it's deemed acceptable for a judge to call the fight a draw. Until the very last…
. @Opalesque has interviewed some really great managers over the years, from Izzy Englander to Julian Robertson and many others. It was very cool that we had the chance to sit with him and chat about Ambrus' carry-neutral tail risk strategy. m.youtube.com/watch?v=mqKQM4…
Took my melatonin so that I could get a good rest for my regular Friday 5am BJJ session. Now S&P is about 20bps away from me being forced to pull an all nighter…….😂
Today was a prime example of this: Market gapped up almost .50%, people started calling bottoms, and then it turned course and sold the entire day closing near the lows. Vol continues to carry well here in the high teens (for now).
Today was a prime example of this: Market gapped up almost .50%, people started calling bottoms, and then it turned course and sold the entire day closing near the lows. Vol continues to carry well here in the high teens (for now).
Short volatility often receives a bad reputation due to poor implementation by participants. However, there is nothing inherently wrong with risk-controlled, opportunistic volatility selling. The issue primarily lies in that most applications are passively driven, vol-agnostic,…
Short volatility often receives a bad reputation due to poor implementation by participants. However, there is nothing inherently wrong with risk-controlled, opportunistic volatility selling. The issue primarily lies in that most applications are passively driven, vol-agnostic,…
Zerohedge making money from writing puts and there’s still people fighting me on the narrative that the short vol trade is crowded……. What a time to be alive 😂😂😂
Zerohedge making money from writing puts and there’s still people fighting me on the narrative that the short vol trade is crowded……. What a time to be alive 😂😂😂
I know some people have capital market positions that will benefit from this. Just be sure not to cheer about this stuff, these are human lives, this is war and not something that should be celebrated.
I know some people have capital market positions that will benefit from this. Just be sure not to cheer about this stuff, these are human lives, this is war and not something that should be celebrated.
S&P realized vol , C-C & H-L compared to $VIX . Whether the market is overreacting on headline risk, or sentiment, the reality is, realized vol is actually moving higher outside of the price action we witnessed over the last four months.
We love educating investors on carry-neutral tail risk hedging. If you are interested in learning more, feel free to shoot us a message! ambrusgroup.com
We love educating investors on carry-neutral tail risk hedging. If you are interested in learning more, feel free to shoot us a message! ambrusgroup.com
Equity Vol is performing extremely well today. Paper coming in to buy /VX.
This is a tough pill for many to swallow. Whatever macro narrative you want to tell yourself doesn’t matter. If you go against price action long enough, you will go broke. In the end, as a trader, price is the only thing that matters.
This is a tough pill for many to swallow. Whatever macro narrative you want to tell yourself doesn’t matter. If you go against price action long enough, you will go broke. In the end, as a trader, price is the only thing that matters.
When it comes to surface fitting, it can be a real task for a vol arbitrageur that is carrying hundreds of line items in different strikes and tenors. A GVV fit offers a clean and easy way to fit a surface and attempt to extrapolate the tails. We are able to use three options…
S&P up almost 1% and Vols are roughly flattish across the board. Been a while since we saw Vol this sticky and carry this well. Very curious to see if the Friday afternoon mechanical repricing on $VIX doesn’t drag the /VX curve lower.
LMAO I thought someone crashed into the building so I went outside to check in the middle of having three diff positions moving. (The benefits of not having your whole team in one location 😂) #earthquake
Gold may continue to rise, or it may decline, but it is not a tail risk hedge against equities. •In 2001 (tech bubble), gold was relatively stagnant. •In 2008 (GFC), gold experienced a sell-off during the crash. •In August 2015 (flash crash), gold showed little movement.…
Gold may continue to rise, or it may decline, but it is not a tail risk hedge against equities. •In 2001 (tech bubble), gold was relatively stagnant. •In 2008 (GFC), gold experienced a sell-off during the crash. •In August 2015 (flash crash), gold showed little movement.…
Lily @nope_its_lily
75K Followers 2K Following CIO of @novi_loren. Tweets are not financial advice and autodelete. Tweets do not reflect my employer's views. Lily's Forever Portfolio: https://t.co/im9LtLwUjCAndy Constan @dampedspring
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76K Followers 900 Following Trader, Merc Jerk, Eurodollar/S&P Options/VIX, CME/ NYMEX alum, writer. Technical advisor and content creator at https://t.co/mVmFgmozNdSpotGamma @spotgamma
107K Followers 188 Following We analyze the options market. Daily commentary: https://t.co/XTAUMUtGlI YouTube: https://t.co/s0HBvNufnw… Disclaimer: https://t.co/3dBKPL2sgx…Kris @KrisAbdelmessih
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@Ksidiii @therobotjames It might also be people selling index against being long single stocks seeing as we have earnings. Correlation had an uptick because of the geopolitical fears but without that, implied correlation is normally at lows in earnings season.
@Ksidiii Edging and edging towards the hardest nut the world has ever seen, Inshallah
Vol Smile Legend is smiling tonight. @jam_croissant @spotgamma @Ksidiii
With what turned out to be my usual impeccable timing, I retired from teaching at Columbia a year ago.
With what turned out to be my usual impeccable timing, I retired from teaching at Columbia a year ago.
@maths_fan_2022 How did you get my email password?
"Everyone wants to be a vol seller until its time to do vol seller shit" Interesting thread, and congrats to my vol slamming brethren for holding their nerve
I’ve seen some drastic cave-outs in volatility over the years, but this one over the past 48 hours has truly been fascinating to watch. Large traders have come in with significant positions to unload May and June VX. Additionally, there's been increased openness to selling…
Must. Crush. VIX.
I’ve seen some drastic cave-outs in volatility over the years, but this one over the past 48 hours has truly been fascinating to watch. Large traders have come in with significant positions to unload May and June VX. Additionally, there's been increased openness to selling…
@Ksidiii @thetwinklebrain would the same guidelines apply as a best practice if one were looking to buy vega instead? applicable across most instruments as well?
@Ksidiii Thanks for spending the time to explain. Much appreciated!
@Ksidiii yeah makes perfect sense. appreciate the chat as always 🙏❤️
@Ksidiii Was looking for a slightly hotter take than, 'no clue' lol but fine, be boring and professional, see if I care 😉
@Ksidiii Hard to price that geopol risk but easy to unprice it
@Ksidiii Thank you for the color.
@Ksidiii its just crazy, especially last 90 minutes, $UVIX dropped 5%
Exactly what we chatted about yesterday @musingtrader
I’ve seen some drastic cave-outs in volatility over the years, but this one over the past 48 hours has truly been fascinating to watch. Large traders have come in with significant positions to unload May and June VX. Additionally, there's been increased openness to selling…