Buck and Bolesta: Secrets of the VIX

In Part II of this three-part journey, Bastian Bolesta, CEO of Deep Field Capital, joins Jason Buck of The Mutiny Fund for an expedition into the heart of volatility. Bolesta, a pioneer of VIX arbitrage, breaks down the “four pillars” of his multi-strategy framework and reveals the intricacies behind each step which consist of the calendar spread, the inter-market spread, intraday trend following, and intraday VIX trading. The calendar spread calls for long and short positions of different expiry dates of VIX futures, while inter-market spread involves taking advantage of the anti-correlation between the S&P 500 and the VIX. Pillar 3, intraday trend following, performs the function of a hedge against tail risks associated with other strategists, and finally, intraday VIX trading offers extreme capital efficiency and prowess as the margin requirements are exceptionally low. Bolesta and Buck discuss the interplay of these strategies, and how they perform under various volatility regimes. Stay tuned for Jason’s interview with Chris Cole tomorrow. Filmed on July 28, 2020. Bolesta divulges the secrets that made him a world-class VIX trader, and since the material is so technical, we have included a chart deck here: https://rvtv.io/3116nsy

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