Keeping it Simple with Simplify Asset Management Keeping it Simple | Ep. 53: Convexity Squared
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Dec 10, 2025 
Noel Smith, Chief Investment Officer and Founder of Convex Asset Management, shares his vast expertise in options and volatility strategies. He dives into how VIX tenor shifts are changing market dynamics and discusses the impact of concentrated stocks on volatility dispersion. Noel analyzes recent volatility spikes, market maker behavior, and the implications of the Volcker rule on market making. He emphasizes the evolving role of zero-DTE options and offers practical strategies for navigating market fear while highlighting the importance of relative value in smaller stocks.
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Why Mass Straddle Selling Is Implausible
- Selling volatility en masse at near-zero carry is economically implausible; professional liquidity providers won't do it.
- Retail flows alone cannot set durable market prices for large, tradable option strikes.
Vol Changes Force Delta Drift And Flows
- Delta changes when volatility changes (a third-order Greek effect), forcing hedgers to rebalance into futures or shares.
- That mechanical drift can drive price moves independent of fundamentals.
Market Making Migrated And Evolved
- Market-making shifted from banks to firms like Susquehanna and Citadel after regulatory changes, altering liquidity and execution behavior.
- These new market makers tend to hedge dynamically and demand forward vol forecasts, not just last-trade implied vol.