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, Kris Abdelmessih, who spent well more than a decade doing just that. Now the author of the Moontower Substack and the founder of Moontower.ai, Kris looks back at his time on the market making front, starting with his formative experience in the renowned Susquehanna training program and ultimately trading volatility at Parallax. We talk about how he sought micro-edge by maintaining sell-side relationships, getting into positions as cleanly as possible and then having a dispassionate process for unwinding trades for which the vol profile was no longer suitable to own.

We also gain his insights on perils of trading off-the-run ETFs like those on natural gas and crude oil, with the April 2020 meltdown in the latter, an important case study. I hope you enjoy this episode of the Alpha Exchange, my conversation with Kris Abdelmessih.