The Algorithmic Advantage 030 - Wayne Himelsein - Logica Capital Advisors
Dec 4, 2024
Wayne Himelsein, the President and CIO of Logica Capital Advisors, specializes in long volatility options trading strategies. He discusses the balance of systematic rigor with human oversight in trading. Wayne explains his gross long volatility approach, focusing on full protection during market downturns. He also highlights the importance of navigating realized and unrealized volatility, and the psychological aspects of market behavior. Wayne offers practical tips for new options traders, emphasizing foundational knowledge and strategic adaptability.
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Convergence vs. Divergence
- Convergent strategies underestimate the risk of divergence, leading to substantial losses.
- Divergent strategies, like long volatility and trend following, offer positive skew and better risk management.
Unrealized Volatility and COVID-19
- The COVID-19 pandemic highlighted the unpredictable nature of markets and the limitations of relying solely on historical data.
- Unexpected events can cause extreme volatility, rendering traditional risk assessments ineffective.
Long Vol vs. Trend Following
- Long volatility, through buying options, offers structural risk protection by bounding losses.
- Trend following, while similar, lacks this structural protection and remains vulnerable to gaps or extreme price swings.
