Reinventing Tail Risk: A Fresh Look at Market Crash Protection

Published on
September 2nd, 2021
Duration
66 minutes

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Reinventing Tail Risk: A Fresh Look at Market Crash Protection

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Featuring Kris Sidial and Jack Farley

Published on: September 2nd, 2021 • Duration: 66 minutes

Constructing portfolios with options volatility focuses on timing and market moves—how can investors hedge and rebalance their trades? Kris Sidial, co-CIO of The Ambrus Group, discusses the market microstructure of massive volatility moves in indices and single stocks. Sidial also shares how his team takes advantage of flawed pricing models from mispricing in the tails and how tail risk translates into a unique form of alpha. Interviewed by Jack Farley.

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