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Kris Sidial🇺🇸
Co-CIO of Ambrus| (Focus: Volatility Trading / Tail risk hedging )| @penn guy ( These are my personal thoughts and not the opinions of Ambrus)
It feels like /ES 6500 is inevitable. At that point I’ll be fully out of all the S&P upside deltas that were scooped back in May.
There’s better R:R elsewhere, and the index should give another shot to scoop those up again into the end of Q3.
1.7. klo 06.38
Still cannot believe S&P upside stuff in the 6-8M range was so cheap.
It made no sense at all back in May. People were pricing that stuff as if the market had zero shot of continuing the rebound.
I didn’t believe it would hit either, but when the market is practically handing you free bets you have to warehouse that.
FWIW, a lot of stuff have repriced 10-15X and is now very close to ITM.
Just insane stuff in all directions this year.
27,37K
Now that ISDAs are the topic of the day, here’s a funny story for you.
Once, I was asked to make a market on this absolutely absurd swap…..it had 11 different legs, was contingent on time, and involved some sort of volatility shift. I don’t even remember the full details (lol).
I tried plugging it into the pricer (something every exotics desk has), but the thing just wouldn’t compute. So I brought it to my boss. He let out a sigh and said, “Go to the worst desk you know, two average desks, and the best desk you know. Get quotes for the other side of the trade and just quote the client the mid of that.”
So simple, yet so effective. Whether you’re trading wildly illiquid exotic notes or selling apples at a farmer’s market, pricing always comes down to one thing: supply and demand.
42,33K
I would like to give you guys some interesting volatility commentary but there is none 🤣.
Front month /VX is annoyingly sticky.
Short dated techy upside is wildly expensive, but a straight delta play / call spreads continue to pay.
S&P 3-5M slightly OTM upside remain cheap.
S&P 1.5yr - 2yr downside tails remain cheap.
Summer lull in full effect, don’t fight it, enjoy the weekend everyone!
21,95K
This is more so about job security from managers and advisors in fear of letting the index run away from them.
However you want to categorize it, those flows have been resilient and fighting it has been a loser’s game.
15.7. klo 19.45
BofA Poll Shows Investors Are Taking Risk at a Record Pace (Bloomberg)
- Fund managers are rushing back into risky assets at a record pace on optimism over economic growth and strong corporate profits, according to a monthly survey by Bank of America Corp.
- The share of investors taking a higher-than-normal risk level in their portfolios registered the biggest increase over a three-month span going back to 2001, the poll showed.
- Bank of America strategist Michael Hartnett said that he doesn’t expect a big pullback in stocks over the summer, adding that exposure to equities is not yet “extreme” and bond volatility is still low.
20,18K
Guys, I’ve received several messages like this over the past few weeks.
Just to be clear….I do not sell any type of trading services, platforms, or anything similar.
I’m part of Ambrus, a hedge fund. Neither I nor anyone at the firm will ever ask you to invest or purchase anything.
Please don’t fall for these scams bots that comment underneath my posts.
13,32K
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