Despite the market being down substantially this year, bouncing around inside of bear market territory, it's been a bit of a challenging year for long-vol traders. Simply put, the Vol spikes we’ve become accustomed to getting with a down market haven’t materialized as much.  While the retracement of vol on bounces higher in stocks has remained. it's hard not to think, "What is going on?!'  And that's why we're putting Wayne Himelsein, CIO at Logica, in the 'Vol' seat to share what he's witnessed in 2022.

In our final episode of 2022, Jeff and Wayne delve into a variety of topics like; the lack of Vol sensitivity, contagion risks, and feedback loops, digging into Logica's straddle strategy, paying for long-term exposure, problems with machine learning, and is there enough data for machines and quants to work with when it comes to volatility? Tune in to see if this new Vol regime is our new normal — SEND IT!

Chapters:

00:00-02:23 = Intro

02:24-05:28 = Sunny California from "the bunker"

05:29-27:00 = A difficult year for Long-Vol traders: Lack of sensitivity, contagion risks, feedback loops & is selling Vol protection

27:01-41:00 = Digging into Logica's strategy: Put spreads, Gamma Scalping & protecting what you're trying to protect

41:01-51:22 = Skew vs Distribution of Return: Panic events, debunking the signal & the skew price is lower than it used to be

51:23-01:00:21 = Is there enough data to cipher the VIX? / Problems with machine learning

01:00:22-01:12:03 = Seeking strength in the straddle

01:12:04-01:16:35 = Hottest take: Vol, there is no normal

Other Derivative Episodes with Wayne:

Wayne Himelsein: The Human Behind the Hedge Fund

The Volvengers: Wayne Himelsein (Iron Man) & Mike Green (Captain America) on the derivative

Follow along with Wayne on Twitter @WayneHimelsein and check out Logicafunds.com for more information

Don't forget to subscribe to The Derivative, and follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.

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