The Remarkable Frequency of Once in a Lifetime Events

Published on
May 19th, 2020
Duration
47 minutes


The Remarkable Frequency of Once in a Lifetime Events

The Interview ·
Featuring Gontran de Quillacq and Michael Green

Published on: May 19th, 2020 • Duration: 47 minutes

Pension funds and the hedge fund managers who invest on their behalf are trusted with the retirement savings of everyday people and that trust is based on the idea that those "experts" fully understand the risks that they are taking. Gontran de Quillacq, practitioner and expert witness for Navesink International, is the expert to the experts. When funds blow up and pensioners are left holding the bag, he can step in and testify as to whether these experts were actually behaving like amateurs or the victims of an unpredictable black swan event. In this conversation with Michael Green of Logica Capital Advisers, Gontran touches on his decades of experience trading complex and esoteric assets to explain why many of the models and common risk metrics like Sharpe ratio don't capture the full picture of the risks that certain strategies employ. They examine how the recent sell-off has brought forward many of these risks, shown that once in a lifetime events tend to happen much more frequently than the models would suggest, and left behind the remains of fund managers who to the untrained eye looked like the smartest guys in the room. Filmed on May 14, 2020.

Comments

Transcript

  • JR
    Joel R.
    12 June 2020 @ 15:34
    Mike is one of the main reasons I subscribe to RV. I appreciate the time in effort he puts into becoming a true subject matter expert diving through academic papers and regulatory filings. Not only does he question commonly held views in the world of finance, but he backs up his arguments with facts, research etc., not speculation. In a world where you see people take short cuts everywhere from corporate decisions, to investments, to media stories .. he is a breath of fresh air. I encourage everyone to check out his funds latest research on the value factor. Keep it up.
  • jg
    john g.
    30 May 2020 @ 22:24
    For those of us who think the world is Central Limit Theorem, I've been perplexed with the frequency of "perfect storm" or "once in a lifetime events". I must have lived 4 or 5 lifetimes already! This interview helped explain how this can happen, and reminds me that many events you are interested in tracking, need to be measured indirectly through behind the scene metrics and CANNOT be directly measured. (No quantum mechanics analogies, please!)
  • RY
    Roy Y.
    29 May 2020 @ 20:51
    Excellent, and thank you both!
  • DB
    Daniella B.
    19 May 2020 @ 11:46
    Short puts on levereged VIX ETFs...Jesus, are people immortal Incredible interview and insights, thank you!
    • DB
      Daniella B.
      19 May 2020 @ 11:56
      levereged inverse*
    • WM
      Will M.
      29 May 2020 @ 14:02
      immortal or immoral?
  • AI
    Andras I.
    19 May 2020 @ 07:57
    Fascinating conversation! I would love Mike Green interview Chris Cole again for an update about current events. Then swap chairs.
    • DD
      Dmitry D.
      19 May 2020 @ 08:56
      That would be great!
    • KW
      Krzysztof W.
      19 May 2020 @ 09:56
      I couldn't agree more. Please interview Chris Cole.
    • AM
      Artur M.
      19 May 2020 @ 10:25
      Couldn't agree more! Artur @ar2go2
    • BL
      Brett L.
      20 May 2020 @ 14:36
      I would like to see them consider Chris's "100 Year" Dragon Portfolio against Mike's point about how knowledge of past behavior leads to changes in future behaviors. We can design a portfolio that holds up well over past regimes in simulation, but what tells us markets will revisit the same regimes, in a world where everyone has access to those same lessons of history?
    • WM
      Will M.
      29 May 2020 @ 13:49
      Chris Cole is one of the smartest folks out there in the investment business. Mike Green and Grant Williams are 2 of the best financial interviewers on the plant (closely followed by Raoul of course).
  • LD
    Luis D.
    29 May 2020 @ 10:38
    Really good interview!!! You never know enough!
  • SW
    Sean W.
    23 May 2020 @ 17:14
    I now know more and realize I know less at the same time. Excellent video
  • JB
    Jon B.
    21 May 2020 @ 13:11
    Loved this. I'm having to really prioritise my time on RV and this one delivered. As a retail investor still getting his head round the black-scholes formula, understanding the context helps me understand what NOT to invest in......
    • MT
      Mike T.
      22 May 2020 @ 12:29
      Jon, if you're starting out, at the very beginning diving head first into the Black Scholes is not necessarily going to be the quickest way to learn practival lessons. Also at the beginning avoid diving into explanations of the Greeks, i.e. Delta, Theta, Vega, Gamma being the primary ones. At this point your probably thinking to yourself "is this guy is on drugs". There is a simplier way to grasp an understanding of how it all fits together. At first simply focus on achieving a through understanding of EXTRINSIC value. Read up on the definition of extrinsic value then move onto the following. Pull up an Options Chain on your brokerage platform, edit the columns to show extrinsic value. Start with ATM and note the EXT value. Now keeping the same ATM strike move the CYCLE further out in time and notice how the EXT value changes. Next move the cycle closer and closer to expiry noticing how the EXT value changes the closer to expiry you get. Next thing to do, move away from ATM moving up or down in your Option Chain strike e.g. further out of the money, or futher in the money ITM simulating directional change, each time noticing how EXTRINSIC value alters. Do all of the above on the CALL side and the PUT side noticing how EXT moves. An enhancment might be to include INTRINSIC value in the display configuration of your option chain. Once you've grasped the basics of how EXTRINSIC moves upon changes in time and direction, without possibly realising it, you've just taught yourself an important aspect of how Black Scholes spits out the price of an Option. Upon nailing EXT understanding, move onto adding Delta, Theta, Gamma, Vega to your option chain display config and continue the above process. Best of luck.
  • hs
    hanumath s.
    22 May 2020 @ 03:02
    As a retail investor who has been trading options for just a few months, this is an amazing insight. Losing money is every type of scenario described by him makes this crazy insightful on the hindsight.
  • CW
    Christopher W.
    22 May 2020 @ 00:10
    Mike Green's brainpower is astounding
  • BD
    Bryan D.
    20 May 2020 @ 09:19
    Gontran please correct me if my logic is wrong here. This WSJ article from November 2019 https://www.wsj.com/articles/bridgewater-bets-big-on-market-drop-11574418601 had the Bridgewater notional of the put trade at about USD100bn. While the catalyst for the selloff was CoVID19 as it got to the strike prices around 2600-2650 the last few hundred points down to the 2192 low or about 15% based off 2600 is potentially due to negative convexity from short gamma and vega postions to do with the Bridgewater trade that had to be delta hedged when we were seeing multiple days of moves close to 10%? With a notional of USD100bn these amounts would be huge. For me the last 400-500 points move down to 2192 is what freaked central bankers, govt's and regulators out and made them move very quickly. If this is the case the last 15% was an over extension on a massive scale to stay within risk limits or tolerances in a market where the long vega, gamma position went unhedged ( and potentially depending on maturity date out of the money since the subsequent index rally) but the short position had to be hedged so they ended up losing alot of money from the hedging. I've seen this before but only in smaller cases but this seems to potentially have had flow on effects to central bank action and economy wide confidence if the above is the case. If this were true I am more bullish being outright long the index here.
    • Gd
      Gontran d. | Contributor
      21 May 2020 @ 19:09
      Yes. You are correct. The options of the $bn purchase were at that level and had become very short dated at that time. The market was extremely short gamma and surely exacerbated the market's fundamental revaluation. It resulted into two 10% moves (one down, one up). There was a 7+% move as well, if my memory serves.
    • BD
      Bryan D.
      21 May 2020 @ 22:07
      Thanks Gontran
  • MT
    Mike T.
    20 May 2020 @ 09:41
    since the inception of RV I have found Mike Green always worth watching, articulate, easy to understand certainly at the top table of people RV use or interview. However on this particular occasion the conversation was not balanced. Whilst everything the guys said about the risks of having a portfolio with Negative Vega (short volatility) is correct, what they said I'm fine with, however it's what they didn't say leaves the conversion as un-balanced, one sided only. Of course when recently the VIX hit 82.99 any existing short premium/short volatility postions were hit hard (mine included) but in the last 10 years there have been only 5 occasions, 5 short lived clusters in time of VIX being above 50. So if selling options is all so risky, an inquisitive mind might think "then why do so many people do it". Put simply, once educated, most of the time, in excess of 75% of the time it works, as the options seller has a huge advantage over the option buyer. There is much mis-understanding about the benefits of selling options made possible by the lack of education. A quick search "options education' will take people down a rat hole, much of it highly dubious, and even the better stuff after the intial 'introduction offer' soon moves onto having to pay money to access the 'unbelievable value good, get rich quick material' . The primary challege of understading the massive potential of Options, particulary for those will to do the work first, the hugh potential of selling options, it takes a lot of hard graft and dedication to become competent, I believe at least two years, it even takes 3 months of daily immersion in the subject to learn elementary basics. Most people are not prepared to undertake such a long journey so they comfort themselves by thinking "don't need to do all that ..... as I've seen countless sources saying selling options is really a bad idea, so they believe what the 'experts' say take it at face value, therefore they never learn as they never even try. I believe the best introduction level education material, all entirely free, maybe found here https://tastytrade.thinkific.com/?utm_campaign=learn_center Even this material takes approx 12 hours to work through. My portfolio has short vega, and I took a hit recently, however even my underfined risk positions, whilst the losses were painful, they were not life threatening made possible by two very simple 'rules'. Even the losses on my undefined risk positions never exceeded Buying Power Reduction, as said still very painful, but possible to recover. 1./ the only protection against a sudden and violent move up in Volatility to ensure losses are manageable so one can live to fight another day is KEEP SIZE SMALL, as options are leveraged instruments my max limit of Capital Deployed is 30% of Net Liq. Such a percentage would be completely hopeless with a purely long/short stocks portfolio. 2./ Every day I managed/adjust positions to ensure portfolio is always set up Directionally short. This is a drag on performance, but will/did back in March help mitigate the level of losses so avoiding a catastrophic experience. For me trading volatility has nothing to do with using ETF's with the word volatility attached, or trying to get cute with Trading VIX options. There is one viable volatility ETF, but only in certain circumstances, and that is VXX and rarely used. For me short vol, collecting premium by selling options leading to the creation of a short volatility (short Vega) portfolio means repeatedly selling options in ONLY the most highly liquid Stocks or ETF's, with the 'richest' (expensive) out of the money Options during specific periods of elevated individual stock Implied Volatility (again aka think expensive). At the time of writing, using option pricing from last nights close these included AAPL, SBUX, MSFT, FB, BABA, DIS, SLV, IWM, XLE, C, GDX plus numerous others. Last thing, before anyone posts a GOTCHA comment regarding GAMMA risk facing short volatility positions, GAMMA risk is almost totally avoided by closing early, approx three weeks before expiry.
    • BD
      Bryan D.
      20 May 2020 @ 10:18
      Hi Mike. I'm not massively experienced with option hedging as my mandate prevents me going short options generally but on Gamma risk even though you could close your position out a few weeks before expiry would that risk not still exist somewhere with market participants? If the original buyer of the options in size wasn't hedging this then for the hedging being undertaken into expiry for atm options in the market the flows would be imbalanced from the hedging flows being undertaken by those short the options and cause extended changing ranges in the underlying instrument?
    • MT
      Mike T.
      21 May 2020 @ 10:48
      Bryan, I had to read your question more than once :-) You raise an excellent topic, a detailed response I'm not qualified to answer, but here's a small contribution for what's it worth. Please note I would not be comfortable standing up on a crowded room to deliver the following. For liquid underlyings all our orders don't get filled at the Exchange as such; the other side is an HFT Market Maker. If a M.M. decides to take a defined risk Options trade e.g. Iron Condor they will instantly "FILL'' to ensure their 'execution times' are meeting the SLA's they have in place with the Brokerages they're paying money to receive Broker order flow. Accepting define risk is done all WITHOUT hedging the specfic position at the precise moment of order execution, it simply goes into their overall bucket of N x Millions/Billions of positions where they constantly manage their overall Book, e.g. keeping their Directional exposure 'flat'/Delta Neutral, and of course managing their Gamma Exposure. Market Makers mitigating Gamma exposure is the domain of the real professionals, ( it isn't of course human beings doing the execution but computers, all made possible by armies of coders and state of the art hardware infrastruture) basically it's fundamental to their operational model, I'm not qualfied to comment on how they do it at the scale they do it as I believe Gamma mitigation is their Intellectual Property Crown Jewels and such secrets are closely guarded. Citadel, Jump etc are highly impressive Market Making operations. Unless someone can get Ken Griffin to open up - never going to happen - the rest of us can only wonder how they do it. With an undefined risk Naked Option trade, a different decision logic will be applied. The Market Maker will if deciding to accepting a naked option also instantly hedge their exposure, if effect when your short Naked Option shows as filled. the MM has already got it hedged. I'll leave it there as I don't want to stray into 'ballshit' territory. Hope my comments at least provides some marginal level of value. As an aside, HFT conjours up many a consiracy theory, they're Devils, it must be banned etc. in reality, Market Makers that use HFT, are the key to Market Structure viability, the very essence of why Option Markets are efficient. They help drive down cost's of trading, and ensure essential liquidity.
    • BD
      Bryan D.
      21 May 2020 @ 22:06
      Thanks for taking the time Mike to provide your response. It was helpful.
  • EK
    Edward K.
    21 May 2020 @ 13:57
    As a complement to MG's comment about market participants readers might be interested in Ludwig Chincarini @chincarinil as his thesis of "The Crisis Of Crowding" focuses on cumulative impact of similar strategies.
  • AP
    Adam P.
    21 May 2020 @ 12:47
    Fantastic.
  • UC
    Ulrik C.
    21 May 2020 @ 06:56
    Fantastic. Quality!
  • Am
    Alex m.
    21 May 2020 @ 06:32
    What an ominous ending! nice interview
  • ds
    darin s.
    21 May 2020 @ 00:55
    Great conversation! Everything they discussed is described in Mandelbrot Misbehavior of markets.
  • SL
    Steven L.
    21 May 2020 @ 00:28
    Outstanding, loved it. Could have drilled down further. Thank you
  • NB
    Nicolas B.
    20 May 2020 @ 16:21
    Gontran is an absolute legend
    • Gd
      Gontran d. | Contributor
      20 May 2020 @ 21:02
      OMG. Only if I am the only one in the room!
  • bt
    brian t.
    20 May 2020 @ 16:02
    why is the paid content free on youtube?
    • MW
      Max W. | Real Vision
      20 May 2020 @ 18:40
      For the current campaign we have put a few 4-minute clips on YouTube as previews. All full length interviews on Youtube are at least 14-days delayed from their release here to members and they also have YouTube advertisements throughout.
  • sb
    sandeep b.
    20 May 2020 @ 16:31
    love the video, love mike green!!!!!
  • SS
    Shanthi S.
    20 May 2020 @ 13:15
    This was so so good. Love love love Mike Green’s content and very happy to discover Gontran. Great stuff and made clear enough for a layman to understand. Thank you both. Can’t wait for the next one you do together. Can it be in days instead of weeks? :)
  • MT
    Mark T.
    19 May 2020 @ 18:42
    A lot of this was over my head. What I got out of it is don't trade options if you're not a pro.
    • Gd
      Gontran d. | Contributor
      19 May 2020 @ 19:40
      If you buy options, all you can lose is what you have invested. You can lose much more if you sell them.
    • SS
      Steve S.
      19 May 2020 @ 19:51
      Hi Mark, You're comment is not accurate. You can buy options if you're not a pro as long as you don't use leverage and you're only downside is your premium and of course position size accordingly.
    • RC
      Ron C.
      20 May 2020 @ 00:24
      Gontran you can also sell risk-defined, but I concur as a retail investor I mostly use options to hedge my main portfolio as it is deep water in the options world
    • SP
      Steve P.
      20 May 2020 @ 06:08
      Selling naked calls is super dangerous. Much more dangerous than selling naked puts. My logic goes, I won’t be upset if I am assigned an AAPL put well below strike because AAPL won’t disappear overnight and I can write calls immediately on the newly acquired shares. However, if I leverage up and sell naked calls...should the price rocket pst the strike, and I don’t have cash to cover - I am fffffff’ed! Currently writing $SPY puts at 185 to expire Dec 31st. Should SPY dip too low, I’ll roll it into the next quarter. With good timing, it’s actually possible to collect time decay that’s as much or more than my original required premium - and sometimes much earlier than expected. However, $SPY is risky too - believe it or not the ETF is a giant trust fund controlled by 11 millennials that inherited it.
    • FN
      Frans N.
      20 May 2020 @ 09:25
      I would rather say that short vol strategies is what is flagged for caution and pros ie short calls or short puts is where you should stay away if you're not a pro. Long calls and puts entails you have paid off the full downside or negative equity of the position at inception.
  • FN
    Frans N.
    20 May 2020 @ 09:20
    Excellent, 10/10 interview. Thank you guys!
  • SS
    Steve S.
    19 May 2020 @ 13:15
    Best interview of the Global Recession series so far. Learnt a lot from this. Very enlightening on options. Mike Green you are the Michael Jordan of RV interviewers. You are the 🐐
    • DK
      Damian K.
      19 May 2020 @ 15:01
      Second that
    • SP
      Simon P.
      20 May 2020 @ 02:03
      I also second and I am listening a lot of interviews
    • FN
      Frans N.
      20 May 2020 @ 09:19
      Absolutely!
  • SP
    Steve P.
    20 May 2020 @ 05:40
    The XIV I had bought for the first time as my introduction to reverse volatility. I put in the most money I had ever traded. 44 minutes later I watched that money turn to dust. ETN from hell. Still claiming my carry loss forward - let’s keep it at that.
    • SP
      Steve P.
      20 May 2020 @ 05:55
      Also, this is why I only write puts on $spy when it drops, then roll that position deeper into the future. Learned to collect time decay. If I earn 45% of a premium in 2 days when it’s supposed to expire in 50, why would I wait additional 48 days? Roll deep put sells far enough and time decay will seriously reward you. I write DEEP OTM $SPY puts. Everything follows spy, anyway so why play roulette with other equities which aren’t a penny wide?
    • MH
      Michael H.
      20 May 2020 @ 07:17
      Sounds like I made money from you in March and then you made that money back in April ;)
  • EO
    Elena O.
    19 May 2020 @ 14:59
    great interview....my boss was pushing me to sell put writing products to clients just a few months ago before March event and it did intuitively seemed wrong as put writing for the purposes of yield enhancement was going on for a while and any vol spike would result in outsized losses...glad I did not give in...
    • Gd
      Gontran d. | Contributor
      19 May 2020 @ 17:23
      Well done Elena.
    • SP
      Steve P.
      20 May 2020 @ 06:14
      Depends. Put writing premiums maxed out in March and many premiums decayed values greater than their pre-March highs. However, buying the puts to close at a lower price would count as short term investment which may not fit with your clients risk reward paradigm. Writing puts on a stable equity is ok, and in my experience time decay can reward you month to month or quarter to quarter very well. However, per the examples in this interview, a .10 put is not smart - earning $10/contract a day is worthless. However, at the March lows, some put bids experienced 1000% value changes, and expired 800% back to their original bids by April. Options are complex.
  • KD
    Kenny D.
    20 May 2020 @ 05:58
    It almost seems that it is now intrinsic that one would sell vol if they are bullish the general market. What is the probability that the VIX goes up as the S&P also sees an increase in price considering that true volatility is agnostic to the direction of the move?
  • MD
    Matt D.
    20 May 2020 @ 04:15
    Honestly, great interview. A fav. Very intelligent yet not trying to "show off". The tease about the Bridgewater loss (or not) has me curious...!? The early (very early) mention of product risk was also interesting - personally. I'm thinking Binary options. I'll look into Gontran's webpage. Thanks too for the links below RV/Gontran.
  • HM
    Hazvinei M.
    20 May 2020 @ 02:37
    Great interview, really enjoyed this discussion, especially haven read or heard about AIMCo and so many loud whispers about some of the driving factors behind the selloff. It is a gift to be able to make a complicated topic accessible to a broad audience without dumbing it down. As a lawyer, I totally understand why Mr. Quillacq, in addition to his knowledge and experience, makes a perfect expert witness. Mr. Green outdoes himself in this interview, demonstrating deep knowledge and enabling the audience to access this great conversation. RV team would be great if Mr. Green shared the papers, or at least the titles, that he had shared to Mr. Quillacq to allow us to get more context to this interview? For sure many of us will be back to listen again armed with more background.
  • VP
    Veselin P.
    19 May 2020 @ 11:39
    I get the macro videos and the key messages within. Here I feel like an unwashed peasant whose sole reason for existence is to milk cows and wink at the neighbour's lass.
    • MW
      Max W. | Real Vision
      19 May 2020 @ 20:41
      As someone who discovered RV in my college years this was my favorite aspect of the platform. Being exposed to what you don't know is the first step in understanding it. Every hour of RV I watched meant 3 hours of reading and at least one more rewatch to fully understand it. 3 hours turned to 2 hours, then 1 and eventually 0. Now I watch Mike Green on 2X speed (When he isn't talking to a Frenchman).
    • HM
      Hazvinei M.
      20 May 2020 @ 02:25
      That last sentence would be the basis for a 2 semester masters level literature course. I may be doing it an injustice, it is probably a PhD thesis.
  • PB
    PHILLIP B.
    20 May 2020 @ 01:07
    I wonder if it'd be possible to get a Joe Simons interview on RV.
  • MM
    Marink M.
    20 May 2020 @ 01:02
    awesome interview.
  • AK
    Adam K.
    20 May 2020 @ 00:49
    Fascinating. A complex, but informative and accessible discussion.
  • AH
    Allan H.
    19 May 2020 @ 23:18
    The Malachite guys were not rookies, the allocators who put money into their strategy were rookies.
  • MA
    Muhammad A.
    19 May 2020 @ 22:48
    Truly execrations. This is what makes real vision so great. Thanks Mike Green for doing these amazing interviews.
  • VR
    Vladimi R.
    19 May 2020 @ 10:11
    anybody knows where to find russian roulette essay Mike mentioned?
    • Gd
      Gontran d. | Contributor
      19 May 2020 @ 16:43
      https://www.institutionalinvestor.com/article/b1lffwvwdh7xtq/Amateurish-Trades-Blew-Up-AIMCo-s-Volatility-Program-Experts-Say and http://navesinkinternational.com/Articles/Loosing%20your%20shirt,%20institutional%20style.pdf Enjoy!
    • VR
      Vladimi R.
      19 May 2020 @ 22:05
      Wow thank you so much, very interesting, I love reading smart mens work
  • RM
    R M.
    19 May 2020 @ 22:04
    This was an outstanding tutorial. Learned a lot about what not to do as a retail investor, and why not to do it. So Mr. Green, please put on a tutorial with Gontran of how retail can use options to enhance their portfolio. Cannot think of better instructors. Gontran's comment below, on buying options, not selling them, could be a starting point for the discussion. Cheers.
  • AK
    Ado K.
    19 May 2020 @ 21:56
    Extremely high level stuff, selling VIX options with leverage based on projections of low vol just seems like asking for trouble. It in a good way symbolizes short term narrative, where as long as we can money from a 3-4 year perspective, who cares if we go bust. I would attribute this in part to career risk aspect, where if you do good for a few years you get promoted and some other schmuck is left cleaning up the cluster f you made. And oh ya, cant forget my standard lines, Bitcoin fixes this, stay humble stack sats.
  • IC
    Ibrahim C.
    19 May 2020 @ 21:24
    This interview’s message is best summarized in a quote from Twain: “It ain't what you don't know that gets you into trouble. It's what you know for sure that just ain't so.”
  • RM
    Ryan M.
    19 May 2020 @ 20:36
    Thank you Mike & Gontran! Found this very useful as I've recently started my journey learning about the options space.
  • SH
    Si H.
    19 May 2020 @ 20:30
    I am clever not very clever.
  • MW
    Max W. | Real Vision
    19 May 2020 @ 17:29
    Below are links to the articles written by Gontran that came up in the piece... Market factors are explained: http://navesinkinternational.com/Articles/Can%20You%20Arb%20the%20StatArbers.pdf The Malachite article: http://navesinkinternational.com/Articles/Loosing%20your%20shirt,%20institutional%20style.pdf The Bridgewater puts: http://navesinkinternational.com/Articles/What%20just%20happened%20-%20Some%20volatilities%20were%20squeezed%20last%20week.pdf The gap risk associated with selling the small puts is explained in these two notes: http://navesinkinternational.com/Articles/Gamma%20Scalping%20101%20-%20Gamma-Theta%20Trading.pdf and http://navesinkinternational.com/Articles/Gamma%20Scalping%20102%20-%20The%20Undisclosed%20Risks.pdf More articles are available on the Navesink International website: http://navesinkinternational.com or by connecting with Gontran de Quillacq on LinkedIn: https://www.linkedin.com/in/gdequillacq/
    • SS
      Steve S.
      19 May 2020 @ 17:45
      Wow. Super helpful and valuable. Thanks Max.
    • RM
      Ryan M.
      19 May 2020 @ 20:18
      Thanks Max!
  • mw
    michael w.
    19 May 2020 @ 19:54
    One of the more interesting RV interviews. Awesome content!
  • MK
    Marko K.
    19 May 2020 @ 19:44
    very good piece. Excellent.
  • DS
    David S.
    19 May 2020 @ 16:31
    Great interview. It has been too long from college days for me to understand the underlying mathematics. I can understand the net, net of the derivative market being radically different from the equity market. Derivative markets are the deep end of the pool even for Goldman Sachs post grads to dive into. How many of the last market meltdowns have been caused by unrecognized tail-risk events from derivatives? In one way or the other, most probably. Big thanks to Mr. Green for continuing to look at the fundamental problems of the markets from derivatives to pension funds. The San Francisco tugboat captain was an excellent analogy. A similar analogy would be a steamboat captain on the mighty Mississippi a la Mark Twain. Both very experienced and knowledgeable hands. DLS
  • PB
    Pieter B.
    19 May 2020 @ 16:12
    This was the first interview from Mike Green that I could actually fully understand! ;) Thanks a lot for the great content!
  • JS
    James S.
    19 May 2020 @ 10:16
    Holy shit I’m dumb
    • JH
      Jesse H.
      19 May 2020 @ 15:40
      No mate - these guys just both happen to be extremely bright and this was a highly technical conversation.
  • KB
    Kishavan B.
    19 May 2020 @ 13:14
    People who short vol don’t understand the difference between time and ensemble probabilities.
  • AV
    Alvin V.
    19 May 2020 @ 12:06
    Amazing. I wasn't expect this level of discussion into gamma, liquidity risk and suitability of instruments depending on depth of experience of the people trading in it. Completely agree that in the period of low volatility, the risk at the tails completely changes the entire risk profile and mostly due to our own doing. All the talks are great but this one is positive gamma at no extra cost. Thank you and congrats!
  • LK
    Lauri K.
    19 May 2020 @ 11:31
    Thanks for the excellent interview. I think the problem is that the tail risk is not taught in schools and without exposure to it, one can end up looking at linear charts that really are logarithmic in potential losses.
  • JA
    Jonathan A.
    19 May 2020 @ 10:37
    This was a brilliant interview. RV at its best.
  • DP
    Daniel P.
    19 May 2020 @ 10:25
    Thou shalt not sell options to Mike Green
  • SP
    Saxon P.
    19 May 2020 @ 09:06
    Is it possible to lose more than the per share value of a retail ETF? I.e. can you end up owing money? And is there a simple way to determine that when assessing whether to buy shares of an etf.?
    • AM
      Artur M.
      19 May 2020 @ 10:22
      Only if you SELL options. I guess you don't need to worry. Artur @ar2go2
  • BP
    Bryce P.
    19 May 2020 @ 09:38
    This was actually one of Mike's better interviews/chats.
  • PS
    Patrick S.
    19 May 2020 @ 07:49
    Every Mike Green interview is a must watch
  • DP
    David P.
    19 May 2020 @ 07:06
    Fantastic reminder of the risk of shorting OTM options. And much more.
  • RK
    Rumen K.
    19 May 2020 @ 06:18
    Great video!