Alpha Exchange

After a 13-year career at CSFB where she would ultimately head the firm’s equity derivative strategy effort, in 2023 Mandy Xu moved to the CBOE where she’s now Head of Derivatives Market Intelligence and swimming in interesting, complex data sets. Our conversation surveys product innovation, going back to the first option trade ever on the CBOE, call options on July 1973 Xerox, through today’s vastly electronified ecosystem of trad...

Kieran Goodwin’s roots go back to the early days of both distressed debt investing and the credit default swap market, two classes of risk he has seen experience significant change over the last 25 years. Our conversation gets underway by exploring the notion of alpha decay in the distressed market, a diminishing opportunity set that has resulted from smarter capital entering the space, equipped with an understanding of the often c...

In Lori Calvasina's role as Head of US Equity Strategy at RBC Capital Markets, assessing the interaction between macro variables like rates with top-down factors like the equity market multiple is critical. But important as well is an evaluation of markets from the bottoms up. And here, she not only seeks to pull together the views of colleagues doing strategy work in sector verticals, but also to actually read earning transcripts ...

George Orwell once said that writing a book is a “horrible, exhausting experience…that one would never undertake if one were not driven by some demon whom one can neither resist nor understand”.  Ok then. Let’s all agree that writing a book is a heavy lift. Let’s also agree that the personal finance advice industry is littered with gurus making outlandish statements about profit opportunities and often giving unsound advice on weal...

Our final segment of 25 Sayings on Vol and Risk is upon us, and with it, 5 fresh pithy principles that I often turn to in trying to make sense of this chaotic sport we call markets. Along the way, in typing out these more than 20,000 words over the series, I’m probably out more than 50 dollars in espresso inspired drinks from Starbucks lead by the dirty chai latte and the caramel machiatto. But I’ve learned some stuff and had some ...

The task at hand is simple….make further progress on our 25 Sayings on Vol and Risk. I’ve certainly had some fun with the first 15. Somehow, in the context of this exploration of market risk philosophy, I’ve managed to quote both former President Ronald Reagan and Seinfeld hack comedian Kenny Bannia, summoned the wisdom of Wolf of Wall Street’s Mark Hannah and referenced both Morgan Stanley’s James Gorman and Optionseller.com’s Jam...

Our journey to 25 Sayings on Vol and Risk continues, folks…and as UFC’s Bruce Buffer is known to emphatically tells us…”It’s TIME!”… for our third segment…sayings 11-15. We’ve got some good ones ahead of us and, as always, I aim to share some of my thinking on markets, overlay a dose of history and pop culture and, perhaps, give you a chuckle in the process.  We’ll be in and out in under 30 minutes, i.e., shorter than a Powell pres...

Hello! You’ve reached part 2 of our 5 part series “25 Sayings on Vol and Risk”. Over the first half hour episode, we kicked off with the first 5. Over these 30 minutes, we shall explore sayings 6 through 10. The task at hand is to make headway on our sayings, and, hopefully, entertain you a bit in the process. My goal, share some of what I’ve written down on the back of napkins over the years to help me tie together what I’ve obser...

Efforts to understand the “why” of the motion in asset prices consume our time and attention in markets. To be sure, traditional sources of risk – namely the economy, the path of corporate profits and changes in the interest rate cycle – do matter. But, as Matt King argues, especially since 2012, we increasingly need to monitor what’s happening in the financial plumbing where Treasury and Central Bank driven fund flows can be respo...

I wanted to share with you some of my thoughts about the current state of market risk as this new year is now sufficiently underway. A number of years ago, I created a list that I call “25 Sayings on Vol and Risk”.  In the spirt of 7 minute abs and 12 holiday recipes, I think lists are an easy way to connect concepts. Twenty five is a lot to get through, so we are going to simply divide them into 5, creating a series of half hour e...

Danny Dayan has spent more than 2 decades in markets, developing a top-down process that seeks to find opportunity in derivatives markets. In his search for value in option trades, he marries a study of the macro landscape – including the economic backdrop, the evolution of inflation and the Central Bank reaction function to incoming data – with expertise in understanding how to implement and risk manage a derivatives portfolio. Wi...

It was once said that we are “the sum total of our experiences”. In the world of investing, this rings especially true. For Nancy Tengler, the CIO of Laffer Tengler Investments, a career in money management that has spanned more than 3 decades has presented real world challenges and opportunities that have reinforced a philosophy on risk. First, she shares that her interest in money came from not having any of it, pushing her to fi...

Welcome to Part I of a special, retrospective podcast, looking back on 5 years of the Alpha Exchange. It’s been a joy hosting these conversations with experts.  I’ve had an opportunity to solicit their insights and bring to life the lens through which they evaluate risk and reward. In Part I, I highlight some of what guests have shared with respect to how risks materialize, with attention to the exposures that sometimes are forcibl...

Welcome back, as we review some of the themes and insights that have been prominent over the first 5 years of the podcast. In Part II, we discuss inflation, stock-bond correlation as well as trend strategies. We finish with a not so optimistic take on the growth of US government debt and the strains emerging on the risk-bearing capacity of the Treasury market. The late Doris Day once said that “gratitude is riches”. I am full of gr...

Tony Morris, Global Head of Quantitative Strategies at Nomura International, has spent 25 plus years studying complex market pricing relationships across asset classes, with a focus on derivatives. Our conversation explores some of the factors that drive asset price outcomes, first, considering the vol risk premium. Observing the consistent shortfall of realized versus implied vol in the equity market, Tony details a similar circum...

Welcome to a special Alpha Exchange Retrospective podcast in which I highlight discussions with female guests and their reflections on efforts to empower careers for women in the field of finance. I launched the Alpha Exchange back in 2018 to host conversations with prominent investors, strategists and policymakers that explored the world of market risk. Over the course of these last 5, most interesting years, I’ve been fortunate t...

Game 5 of the 1973 NBA finals would be the last one played by Wilt Chamberlain, as the Lakers lost to a NY Knick team that featured basketball legends Walt Clyde Frazier, Earl the Pearl Monroe and Willis Reed. A fourth hall of famer, Dave DeBusschere, donning the number 22, also played an instrumental role in what was the last championship for the Knicks. 50 years later, his son, Dennis DeBusschere, is a co-founder and the Chief Ma...

Over a distinguished 40-year career as an academician in finance, Darrell Duffie has made important contributions to our collective understanding of how markets work. Earning a PhD from Stanford in 1984, Darrell has taught finance there ever since and now serves as the Adams Distinguished Professor of Management and Professor of Finance at the Graduate School of Business. Along the way he has written several books, authored countle...

As head of Macro Credit Research within Private Markets at BlackRock, Amanda Lynam is responsible for assessing how the broad picture of risk impacts credit markets and the securities within them. In doing so, she marries the top down with an understanding of company fundamentals, a skillset developed during her time in a sell-side research role focused on the insurance and healthcare sectors. Our discussion takes stock of the curr...