Options for Extreme Volatility Mispricing
Featuring Nancy Davis
Published on: June 7th, 2017 • Duration: 49 minutes • Asset Class: Currencies, Commodities, Equities • Topic: Derivatives, Volatility, Investment FrameworkNancy Davis of Quadratic Asset Management is a master of option portfolio construction, implementing Quadratic’s entire portfolio with options and swaptions. With volatility at 23 year lows and risk assets at all time highs, Nancy is exploiting some wild mispricings and in conversation with Michael Green, she explains her unique strategies, blending quantitative tools and discretionary judgment, in a market dynamic that is both exciting and incredibly challenging. Filmed on May 25, 2017, in Las Vegas.