Odd Lots A Volatility Arbitrage Trader On What Markets Are Saying Right Now
Oct 19, 2020
Kris Sidial, co-founder and VP at The Ambrus Group, dives into the chaotic world of volatility arbitrage trading. He discusses the unusual six-month VIX futures curve inversion, shedding light on its implications. As the U.S. elections loom, Kris highlights the challenges and strategies traders face in a turbulent market. He explores how inexperienced traders are reshaping market dynamics and the evolving investment psychology. Tune in for insights into navigating volatility while seizing lucrative opportunities in uncertain times!
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Inverted VIX Curve
- The VIX futures curve has been inverted for six months, indicating higher near-term volatility pricing.
- This inversion suggests greater uncertainty in the short term than usual.
Demand for Short-Term Hedges
- The inverted VIX curve reflects a demand for short-term volatility protection.
- This is likely due to significant event risks like the US election.
December Volatility Focus
- Market participants are focused on December volatility due to various factors like the election and potential virus resurgence.
- Pre-hedging for these events might limit actual volatility spikes.