Our guest this episode has quickly become one of the must follows on FinTwit with his mixture of motivational messaging and market savvy. Kris Sidial is the Co-CIO of The Ambrus Group, a volatility arbitrage fund that focuses on statistical outliers in the U.S equity derivatives space. But he’s no kid, despite his bio touting his 28yr oldness, having worked on exotic options desk, prop firms, and now his own hedge fund. Kris and Jeff dive into growing up on the other side of the tracks, market microstructure, whether you can outwork others in the quant space, the belly of the vol trade, gamma hedging, GME, NYC, LIU, Penn, flow, father’s day without a dad, liquidity cascades, options books (the positions), and options books (the actual reading type books). Don’t miss this great chat with one of the good guys in this space.

Chapters:

00:00-02:49=Intro

02:50-16:24=Rough Route to Wall Street

16:25-23:03=Break-through

23:04-33:12=The Exotics Desk

33:13-45:38=Starting Ambrus

45:39-52:40=Covering the Bleed & Capped vs Uncapped

52:41-01:03:04=Finding Value in Volatility/Buying the Wings

01:03:05-01:11:39=A Shift in Dealer Hedging & Loving the Game

01:11:40-01:17:54=Favorites

Follow Kris (@Ksidiii) on Twitter and get more information on the funds at Ambrus Group here.   

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