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PODCAST

Alpha Exchange

The Alpha Exchange is a podcast series launched by Dean Curnutt to explore topics in financial markets, risk management and capital allocation in the alternatives industry. Our in depth discussions with highly established industry professionals seek to uncover the nuanced and complex interactions between economic, monetary, financial, regulatory and geopolitical sources of risk. We aim to learn from the perspective our guests can bring with respect to the history of financial and business cycles,

business investing

All Episodes

00:50:04

Dominique Toublan, Head of US Credit Strategy, Barclays

Alpha Exchange ·

2024/11/23

While the SPX has enjoyed a banner year in 2024, a series of risk events have mattered, including the August 5th spike in the VIX and option pricing uncertainty into the US election. Credit spreads have generally behaved in benign fashion, however. What will 2025 bring for the world of credit and what risks should we pay attention to? With this in mind, it was a pleasure to welcome Dominique Toublan to the Alpha Exchange. Now the Head of Credit Strategy at Barclays, Dom landed on a credit

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00:17:08

20 Things to Do Before You Ask for a Price (Part 2)

Alpha Exchange ·

2024/11/19

We are back, with installment number 2 of “20 Things to Do Before You Ask for a Price”. It’s a to-do list for the equity derivatives salestrader who chooses to be a relevant and constructive part of the option risk transfer process that a buy-side client and sell-side trader engage in. Small trades – like buying a pack of gum – can be consummated quickly. Large trades – like buying a house – typically take a while. But large trades that are borne in a moment’s notice – that’s a unique thing with

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00:13:14

20 Things to Do Before You Ask for a Price (Part 1)

Alpha Exchange ·

2024/11/15

I wanted to welcome you all to a new, 4-part series of the Alpha Exchange, “Twenty Things to Do Before You Ask for a Price”. In short, this is my thinking on what a derivatives salesperson ought to do instinctively and nearly instantaneously in his or her interaction with a trader colleague being asked to price option risk for a client. These 20 things constitute a real time to do list for the salesperson that adds alpha to the process of price discovery and can allow the trader to take more risk

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00:16:14

Post Election Reflection (on Vol)

Alpha Exchange ·

2024/11/12

A resounding Trump win. A collapse in vol. Bitcoin “number go up”. And up. And up. The French Whale on Polymarket got paid. A star was born in Scott Jennings. The Fed eased. And, Powell, in the words of DiCaprio in Wolf of Wall Street said, “I ain’t f’n leaving”. That’s the summary. But there’s lots more to explore and in this short pod I aim to provide you with some food for thought on the risk front. Markets have been well behaved and the VIX spiraled lower as most expected it would on November

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00:49:56

Shailesh Gupta, Head of Structural Alpha, Simplify...

Alpha Exchange ·

2024/11/05

Of all the concepts focused on throughout the discussions hosted on the Alpha Exchange, the notion of “carry” is one of my favorites. In its most basic definition, carry measures the income or cost to holding an asset in the steady state, when nothing changes. Underpinning the assessment of value in any option trade or strategy is a view on the favorability of carry at a given point in time. Can I own options for free or at least at meaningful discounts to their value? Mr. Market makes this very

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00:56:37

Meb Faber, Founder and CEO, Cambria Investment...

Alpha Exchange ·

2024/11/01

It was a pleasure to host a discussion with Meb Faber, the Founder and CEO of Cambria Asset Management. Our conversation begins with the question of whether it’s a good idea to buy the market at an all time high. To this, Meb argues it’s actually a great idea, pointing to the data and that markets in an uptrend continue to move higher.We incorporate the notion of a trend following strategy, which Meb illustrates can be helpful in managing the inevitable and substantial drawdown which forces many

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00:21:14

The DOTS (Discounting of Trump Success)

Alpha Exchange ·

2024/10/26

Is Trump in the price? Wall Street is asking this question. In this podcast, I walk through how the market prices implied volatility around the US Election, focusing on the SPX, TLT and even DJT. As option premiums are much higher than justified by recent realized, there’s an enormous vol risk premium, the result of a withdrawal of vol supply. There’s interesting information coming from betting sites like Polymarket and early voting data as well that might help us better understand the election

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00:15:58

Hedge When You Can, Not When You Have to

Alpha Exchange ·

2024/10/16

In this short podcast, I make the case for doing what doesn’t come naturally - taking defensive action when times are good. The first portion of the discussion assesses event risk premium into and after consequential macro events like Brexit and prior US elections. The main shared attribute is that implied vol remains elevated into the event, even in the face of muted realized volatility. A second attribute is that post event, implied vol falls. While the same playbook may be relevant in 2024, I

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00:16:48

The Opera of Option Prices

Alpha Exchange ·

2024/10/09

In China, the “vol shot” heard round the world occurred recently with the Chinese government throwing the kitchen sink at the economy and market, seeking to revive the relatively lifeless patient. As it usually does, at least temporarily, it worked. Insofar as asset price reaction that is. An explosion in volumes ensued as did the classic “stock up vol up” dynamic made most famous in 2021 during the Meme stock episode. In this short pod, I review the five characteristics of price/vol spirals, their

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00:15:45

Option Prices are Singing

Alpha Exchange ·

2024/10/05

Option prices - by incorporating time (expiry) and distance (strike) - give us many more dimensions than a mere flat price like the SPX or a single stock. If the stock market speaks, then the option market sings. It's my strong contention that option prices are singing out loud right now, begging for attention. The market was largely unchanged on the week, but there were some meaningful developments in the price of options – on gold, on crude and on the VIX – that tell us something about an emerging

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00:15:36

ODTE? No, OTTD!

Alpha Exchange ·

2024/09/23

The gamma and theta characteristics of ODTE are attached at the hip. But the zero day to expiration straddle on last Wednesday’s Fed day was no normal ODTE. We might call this straddle a OTTD straddle. Zero theta to decision. The Fed decision isn’t just a date on the calendar. It’s a specific time of day on that date. It’s not like NFP which comes out before the market opens. It’s not like NVDA earnings, which come out after the close. Powell and his Fed teammates have decided they want to give us

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00:51:04

Kris Abdelmessih, Co-Founder, Moontower AI

Alpha Exchange ·

2024/09/11

Most of the discussions on the Alpha Exchange podcast consist of guests sharing views on market risk and portfolio construction. To be sure that leads the conversations down the path of monetary policy, positioning, inflation and growth. There’s a great deal of consideration around the price of optionality and the correlation of assets. But what about insights on the nitty gritty of getting into option trades, being a liquidity provider to the Street and then risk managing those positions? Enter,

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00:14:20

Elections Have (Vol) Consequences

Alpha Exchange ·

2024/09/09

“Elections have consequences”. So said former US President Barack Obama. He probably didn’t have our trusty fear gauge, the VIX, in mind, but he may as well have. We are one day away from the US presidential debate. I am not sure this one can deliver the same fireworks that resulted from June 27th. It may devolve into a food fight, with each side hoping to land a definitive blow. What I’ve learned about election risk with regard to derivatives through events like Brexit, the 2016 and 2020 US

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00:15:05

Lessons from the Rowdy VIX

Alpha Exchange ·

2024/09/03

Three hundred odd years ago, Sir Isaac Newton told us that “no great discovery was ever made without a bold guess.” My sense is he didn’t have the order book in Emini futures in mind, but his words do translate well to our world of financial instruments. In this short pod, I revisit the events of August 5th, a day when prices normally well discovered went dark. The implications are real and we ought to learn from this short-lived but real episode of instability. As we approach the “4 E’s” –

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00:39:46

Kathryn Rooney Vera, Chief Strategist, StoneX Group Inc.

Alpha Exchange ·

2024/08/27

Now the Chief Market Strategist at StoneX, Kathryn Rooney Vera comes from humble beginnings. As a teenager she cleaned houses in order to contribute to her family’s finances. In college, she changed her major to finance from liberal arts, seeing a more direct path to a well-compensated career. She would ultimately settle into the study of economics, a craft she continues to refine today in support of colleagues and clients at StoneX.Our discussion surveys the process Kathyrn uses to find value in

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00:14:04

VIX Went Cray Cray

Alpha Exchange ·

2024/08/20

When an accident occurs, the insurance claims adjuster produces a report. What does said report tell us? The yen’s largely one way path lower took a dramatic turn that saw it rally by roughly 9% over just 3 weeks. The pricing fallout was everywhere – in curves, credit, correlation, convexity and carry. That’s a bunch of C’s, isn’t it. The cause of chaos: crowding. When markets misbehave, it’s natural to jointly evaluate two factors: the combination of “new news” and the “setup” going in. Over the

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00:50:23

Vineer Bhansali, Founder and CIO, LongTail Alpha

Alpha Exchange ·

2024/08/19

Vineer Bhansali was recently among a small group of athletes who achieved the unthinkable, a 135 mile run in scorching heat, wind gusts and rain, all while traversing both the lowest and highest elevation points in North America. The Badwater 135 is considered the most difficult Ultra Marathon, an undertaking in which a guiding philosophy is, simply, “don’t die”.As the CIO of LongTail Alpha, Vineer’s investment philosophy is also not to die – or, translated to markets – don’t get forced out at the

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00:53:13

Oliver Brennan, FX Volatility Strategist, BNP Paribas

Alpha Exchange ·

2024/08/15

Even if very short-lived, market vol episodes as protracted as that of Monday August 5th, demand our attention. In seeking some understanding of the why of successive 10% NKY moves and a 65 pre-open handle on the VIX, it was a pleasure to welcome Oliver Brennan to the Alpha Exchange. An FX vol strategist at BNP, Oliver brings theoretical training in physics to the related but also very different world of option pricing. In setting up the discussion, we first explore a series of past FX vol episodes

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00:17:20

Markets are Never Say Never

Alpha Exchange ·

2024/08/12

What a week in markets and one that should give us a lot to chew on with respect to how and why risk episodes materialize. There are certainly some conclusions at the ready and first and foremost is that vol is the only anti-fragile asset. In the trading action on Monday, August 5th, we see the reflexive nature of vol exposures and the manner in which asymmetric outcomes can result. In this short podcast, I share some of what’s on my mind in trying to uncover the “why” of these seismic moves. Out of

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00:55:18

Dan Greenhaus, Chief Strategist, Solus Alternative...

Alpha Exchange ·

2024/08/08

With deep roots on the sell-side, serving in strategist roles at both Miller Tabak and BTIG, Dan Greenhaus is now Chief Strategist at Solus Asset Managment, a multi-billion dollar AuM firm with expertise in distressed and high yield investing. Our conversation considers economics in theory and practice, differentiating classic academic training from the role someone like Dan plays on a trading desk supporting clients, portfolio managers and an investment process.Here, Dan shares the importance of

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231 results

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