Buck and Bolesta: Secrets of the VIX

Published on
July 30th, 2020
54 minutes

Buck and Bolesta: Secrets of the VIX

The Big Picture ·
Featuring Jason Buck and Bastian Bolesta

Published on: July 30th, 2020 • Duration: 54 minutes

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



  • jc
    jonathan c.
    12 August 2020 @ 16:10
    Retail investor here and Wow - I'd say 80% of this flew right over my head! But the content is just such high value and so dense, it's rewarding to listen to. Nowhere would I have the opportunity to access such quality content. I feel that even if I just manage to absorb a quarter of what just happened, I think it truly provides an edge on long term portfolio management and how I think about wealth management. Thanks to both Jason and Bastian for taking the time to prepare for this amazing discussion.
  • SS
    Shanthi S.
    7 August 2020 @ 00:30
    Wow! Amazing. So much to absorb. Will need a few listens. Thank you both!
  • BS
    Benjamin S.
    6 August 2020 @ 14:01
    Outstanding interview overall and would love more future content from both the guest and interviews from Jason. I especially appreciated the remarks that were made on always looking for multiple path dependencies to protect a portfolio as we are always uncertain of the future. I have been thinking about ways to protect a cryptocurrency portfolio during market selloffs. Both Bitcoin and Ethereum sold off aggressively during the March turmoil and it is interesting to theorize on how these concepts discussed in the video could be applied to take advantage of the sell off and using that capital to purchase at the lower prices. There is certainly no VIX equivalent and the crypto options market is still nascent but it is growing fast allowing for some dynamic strategies.
  • AS
    Arjan S.
    5 August 2020 @ 22:15
    I am going to have to watch this two or three times. It’s dense, but there’s a lot of good ideas for how to trade vol here. The intraday trend idea would’ve made a killing in March.
  • MS
    Moritz S.
    1 August 2020 @ 18:39
    Jason. I so agree with your view on alpha and benchmarking. Even if a long vol tail hedging strategy looses money over time, it can enhance the portfolio performance if sized correctly. So it doesn't necessarily make sense to look at the long vol strategy on a stand alone basis but one has to consider the portfolio impact it has of allowing capital to compound more efficiently over time.
    • JB
      Jason B. | Contributor
      2 August 2020 @ 12:50
      Well said Moritz
  • PJ
    Patrick J.
    1 August 2020 @ 10:36
    Jason between this and your podcast, you are crushing it (I hope your PnL reflects the content). Best,
    • JB
      Jason B. | Contributor
      1 August 2020 @ 12:04
      Thanks Patrick!
  • DS
    David S.
    31 July 2020 @ 22:35
    Well done. I agree with Mr. Buck on fear. Even with a profit there is fear of holding, selling some or what. I enjoyed a lot of Mr. Bolesta's discussions about the markets around the world and different ways he trades. Thanks, DLS
    • JF
      Jack F. | Real Vision
      1 August 2020 @ 00:55
      Glad to hear you enjoyed their conversation, David
  • MD
    Matt D.
    31 July 2020 @ 01:09
    Thanks Jason and Bastian - excellent interview. The vol aspect is to me a side issue (still important) compared to the intra-day intel from Bastian. I loved it - what I do. As I hinted yesterday, binary options are brilliant for this. Along the lines of how you were thinking too Jason, they can be used as "active" orders ie. instead a stop loss, use a binary option with a futures position. I didn't get to do much of that - my broker shut me down.... (so I am locked out of binaries and just "futures" ). The intra-day correlations across markets is another "secret sauce" idea too. I don't use it in the same manner as how I believe Bastian might as I am not losing sleep watching European and US indices (live) - yet there is a lot of information contained in these correlations. Cash markets v futures. The way you put draw-down v profit is something I have been trying to think of how to explain to people - they ask my return and it's like - I don't think like that, as I put up some margin for a binary - (like you said yesterday, psychologically tricky for some to put up their max loss before the trade has started) - and then if (when) I am correct, I end up with profit (and margin returned). The psychology of intra day is more positive too, along with the other benefits detailed here. Yep. Great interview. Thanks. Nice ending too by Bastian.
    • JB
      Jason B. | Contributor
      31 July 2020 @ 11:16
      Matt, I’m happy you got so much from the pieces, Bastian is a font of knowledge. And yes everyone loves Sharpe ratios
    • MD
      Matt D.
      31 July 2020 @ 22:16
      Thumbs down for ?? If its for binary options then "you" are showing your ignorance (anonymously).
  • AP
    Adam P.
    31 July 2020 @ 01:42
    Jason, I love what you guys are doing at Mutiny to make managers like this accessible to retail investors. It's incredibly valuable.
    • DN
      D N.
      31 July 2020 @ 05:06
      Is the Mutiny fund already invested (capital allocated) to these different managers and live?
    • JB
      Jason B. | Contributor
      31 July 2020 @ 11:12
      Thanks Adam
    • JB
      Jason B. | Contributor
      31 July 2020 @ 11:13
      Yes DN, we are live
  • JR
    Jorge R.
    30 July 2020 @ 23:03
    Excellent interview! thank you Jason and Bastian. i got a kick on the how Volatility taste. the chart deck is very interesting.
  • JF
    Jack F. | Real Vision
    30 July 2020 @ 21:58
    Hi all, I really recommend you check out the chart deck in the description. Bastian supplied us with some excellent charts that give a visual example of the extremely sophisticated trades he's putting on. Glad to see you've enjoyed the interview. Bastian really is a pro's pro, and this interview is the most technical of the three pieces Jason did with us. Tomorrow Jason will be interviewing Chris Cole, and they will be exploring volatility through a more macro lens. -Jack
  • TE
    Tito E.
    30 July 2020 @ 21:16
    This series has been excellent, and this one is consistent. Many thanks to you both.
    • JB
      Jason B. | Contributor
      30 July 2020 @ 21:21
      Thanks Tito, I hope you enjoy Chris tomorrow
  • KW
    Krzysztof W.
    30 July 2020 @ 20:24
    Jason, Jack, Is there a book or a good online resources to get familiar with vol?
    • KW
      Krzysztof W.
      30 July 2020 @ 20:27
      It's more to build a solid foundation. I have recently discovered Chris Cole, but some of his analysis are pretty tough for a newbie.
    • JB
      Jason B. | Contributor
      30 July 2020 @ 20:57
      Sorry I’m not aware of a good book on trading VX futures. RCMs blog has a bunch of info to start with: https://www.rcmalternatives.com/attain-alternatives-blog/?category=vix
    • JB
      Jason B. | Contributor
      30 July 2020 @ 20:58
      We talk to a lot of Vol Arb managers on our podcast
  • PG
    Philippe G.
    30 July 2020 @ 20:35
    Interesting, learned quite a bit!
  • CM
    Cory M.
    30 July 2020 @ 18:25
    Intense. Thank you.
  • AP
    Alex P.
    30 July 2020 @ 14:25
    Another amazing interview. Please have Jason Buck on more often. I think these last few Vol interviews have been like mini master classes in themselves. This is quality real vision that I signed up for.
    • JB
      Jason B. | Contributor
      30 July 2020 @ 15:13
      Thanks Alexander, I was just telling Bastian after I rewatched it that I thought this was a masterclass on VIX and just the kind of info I crave on Real Vision
    • JF
      Jack F. | Real Vision
      30 July 2020 @ 15:51
      So glad you liked it, Alexander. I feel the same way