Taking Risk Seriously

Published on
June 11th, 2019
Duration
46 minutes

Taking Risk Seriously

The Interview ·
Featuring Zed Francis and Mike Green

Published on: June 11th, 2019 • Duration: 46 minutes

Zed Francis, portfolio manager at SpiderRock Advisors, sits down with Mike Green of Thiel Macro to talk about the world of volatility hedging strategies. Francis discusses how systematized volatility-selling programs by institutions have changed the market, and how investors can take advantage of new patterns. He breaks down the consequences of using risk-based over rules-based strategies, and examines broader shifts in the asset management industry. Filmed on May 22, 2019 at the EQDerivatives conference in Las Vegas.

Comments

Transcript

  • NR
    Nelson R.
    17 June 2019 @ 00:25
    Mike Green is the Chuck Norris of RV, and by far the best interviewer in financial media. God tuned into this episode when Mike brought in quantum mechanics and Schrödinger's cat.
  • RM
    Ryan M.
    16 June 2019 @ 04:06
    Do you ever wish you could have a Michael Green in your life to flush out all the good ideas in your head?
  • AB
    Anthony B.
    15 June 2019 @ 06:00
    Terrible. Zoofus is a pupil relative to MG.
  • DW
    Denton W.
    15 June 2019 @ 00:22
    Great interview. My only question. When is Mike Green going to interview his boss?
    • ET
      Eduard T.
      15 June 2019 @ 08:17
      Thiel?
  • ET
    Eduard T.
    14 June 2019 @ 07:55
    I am glad to see more technical interviews on RV! Thanks, great!
  • RP
    Ryan P.
    14 June 2019 @ 01:20
    I love when MG starts peeling the onion back. He just keeps going and going until your like ??? Some of this is CFA III material- managing concentrated asset risk, which is nice to see in actual practice.
    • RM
      Ryan M.
      16 June 2019 @ 04:46
      And L2 - Information Coefficient, Information Ratio, Active Risk, Security Selection, covered calls, straddles, etc. Lol. Should have watched this last night instead of tonight!!
  • DR
    Daniel R.
    13 June 2019 @ 13:30
    First, I love the series, great interviews here and specifically kudos to Mike for walking viewers through more nuanced subjects, making them easy to understand from a practical, jargon-free perspective. As a practicing MM in the SPX product complex, I have some informed opinions on the matters discussed. When you talked about the Put/Call ratios in Q4 being inflated on the Call side, part of the discussion pivoted to conversion as an explanation (Holders of short P buying Futures & buying C to close their positions). Mechanically, I do not believe these systematic short Put books are *hedged* with futures to begin with - to actually close/roll in this regard, they would have to sell Futures, not buy, and buy the same strike Call in order to be flat risk (even then, they'd have an ugly cash balance problem as futures mark to market but options net at settlement). Also, most of the Call volume and OI inflation we saw was decidedly speculative - not conversion based. Customers in big size were betting on sharp holiday reversals the entire way down in November & December. It was a daily theme to see someone buy 10-30k cheap call spreads or call flies, which amplified the volumes significantly on the call side of things. Thanks!
  • WY
    Will Y.
    12 June 2019 @ 21:39
    Impressive! Let's do more of this type of discussions!
  • SL
    Seth L.
    12 June 2019 @ 19:34
    Another great interview. This vol series is truly fascinating. I'll have to listen to this one a couple of times.
  • SH
    Stephen H.
    12 June 2019 @ 09:26
    Excellent interview, timely, detailed, thorough and informed. Mr Green to a tee
  • PC
    Philip C.
    12 June 2019 @ 01:48
    Would pay serious $ to see Mike interview: 1. Sheldon Natenburg 2. Micheal Wexler 3. David Vogel 4. Charlie McElligott 5. Chris Cole (again) Thks Mike and RV. These vol specials have been outrageously good.
    • PC
      Philip C.
      12 June 2019 @ 01:54
      6. David Dredge!
    • MG
      Michael G. | Contributor
      12 June 2019 @ 04:07
      Sheldon Natenberg... oh please G-d let this happen! Watch the Emmanuel Derman interview for a Mike Green hero worship episode. Another one would be Mark Rubinstein.
    • PC
      Philip C.
      14 June 2019 @ 05:21
      Leslie Rahl should be up there too. RIP Mark. You'll be missed.
    • MS
      Mark S.
      15 June 2019 @ 21:08
      To MG I found the Derman video but can't find the Rubinstein when I use the search engine. Is there a spelling error?
  • AK
    Andreas K.
    11 June 2019 @ 23:17
    Mr Green is an outstanding interviewer because he has clearly done his homework on the topic he is asking the expert about but also is excellent at drilling down into concepts simply. Thank you!
  • DS
    David S.
    11 June 2019 @ 18:45
    In the past gold was one way to de-risk a portfolio from a bear market, protect against fiat currency debasement and hedging against inflation. It seems to me that the more options have gained prominence, the more the gold price has attenuated. Have options eliminated one reason to own gold for portfolio managers leaving fiat currency debasement and inflation as the main driver of the price of gold? Is a 5% allocation to gold in a portfolio still a reasonable level for many investors? DLS
  • DS
    David S.
    11 June 2019 @ 18:24
    Excellent Interview. Mr. Green always delivers an A+ product. I may have missed it in the interview, but I would like to know what is considered a reasonable annual percentage cost of de-risking a fully invested portfolio - active and/or passive. Any range would help me understand this better. Thanks. DLS
    • PC
      Peter C.
      22 June 2019 @ 21:45
      5% in the vid
  • MN
    Maverick N.
    11 June 2019 @ 16:17
    Another RV gem! The conversation traverses through a fairly complicated topic with ease and logical progression. I really look forward to studying more of Zed's work. As for Mike, he is a f***king genius! As one viewer pointed out already, he takes the time to interrupt momentarily and explain what a certain term means in one simple sentence. I am continually amazed by the depth and breadth of his knowledge. Mike, I truly wish I can meet you in person and shake your hand!
  • RM
    Raheel M.
    11 June 2019 @ 10:11
    The fact that Mike Green takes the initiative to explain certain terms that interviewees throw out could not be appreciated more (and he's done this continuously in interviews). I'm only 4.5 minutes into this but just wanted to relay that. Thank you.
    • AB
      Anne-Marie B.
      11 June 2019 @ 10:24
      Totally agree here. Mike Green was instrumental in making this a good interview. Excellent at recapping the commentary !
  • Nv
    Nick v.
    11 June 2019 @ 08:50
    I always learn something listening to Mike Green. Great job