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VOL06: Finding True Value in the World of Volatility ft. Benn Eifert
5th January 2022 • Top Traders Unplugged • Niels Kaastrup-Larsen
00:00:00 01:08:51

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On today’s episode, Hari Krishnan is joined today by Benn Eifert, to discuss running a volatility fund, the benefits that Benn gets from using Twitter, how to effectively serve clients as a volatility trader, the drawbacks of hedging via ETFs, monitoring market flows, the popularity of short-dated options, implied volatility versus realised volatility, how correlations change over time, balancing family-life with managing a fund, and the new normalisation of working from home.

In this episode, we discuss:

  • A behind the scenes look at running a volatility fund
  • How to use Twitter as an investor
  • Bringing value to clients as a volatility trader
  • Hedging via ETFs
  • Market flows
  • Options
  • Implied volatility
  • Finding a good work & life balance

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Episode TimeStamps:

00:00 - Intro

02:20 - How did you end up running a Volatility fund?

06:39 - Why did you join a Vol fund instead of a Global Macro fund?

09:30 - What do you gain from being on Twitter?

11:50 - Explain some of the methods behind how you serve your clients

16:19 - What are some of the weaknesses of hedging via ETF products?

19:44 - Do you find a lot of value in monitoring the flows into various markets?

23:34 - Why is it people are so eager to sell shorter-dated options?

26:17 - How do you counter the argument that it’s a good idea to write calls against short positions?

30:05 - What are some of the issues with looking at implied volatility versus realised volatility?

33:13 - What challenges do you face as a Volatility pro, when it comes to the extreme moves up and down?

37:37 - What do you do when you expect large volatility but the direction is unknown?

40:30 - How would you react if you knew that there was a huge amount of open interest, 5% down in the S&P, with a few weeks to go?

42:52 - Do you have any thoughts on the recent dislocation between the VIX and the S&P 500?

46:04 - What are the changes in dispersion dynamics and implied correlations that you’ve noticed over the years?

55:03 - Is it fair to say that if you’re long enough Volatility, and there’s a large enough systemic shock, then you’re going to make money?

56:48 - Do you have anything to say about the 10-year note futures options surface? Are there persistent distortions there?

59:25 - If you see a distortion in the skew, how do you approach it?

01:02:56 - Balancing family life and managing a fund

01:05:12 - The recent legitimisation of working from home