Alpha Exchange

It was a pleasure to welcome David Puritz back to the Alpha Exchange. A colleague of mine from 25 years ago and now the CIO of Shaolin Capital Management, Dave has some excellent insights to share on uncorrelated investing broadly and on the current state of convertible bond trading, risk, and liquidity, specifically. When he last joined the podcast in 2021, the Fed was still at zero, five-year yields were 75bps and Dave warned inv...

In this discussion, I share my thoughts on the backdrop for both SPX realized and implied volatility, as I explore the question of whether there is value in optionality. We have 3 things going in terms of realized vol at the index level. It’s low, it’s especially low on SPX down days, and it’s remarkably stable. My take is that the combination here can play tricks on how we think about risk. We are prone to letting our guards down....

On this episode of the Alpha Exchange, I had the pleasure of reconnecting with Ken Rogoff, Professor of Economics at Harvard and former Chief Economist at the IMF. In our conversation, we explore themes from his latest book, Our Dollar, Your Problem, a valuable retrospective, and analysis of the rise of the U.S. dollar as the world’s reserve currency and the vulnerabilities that accompany it. In our discussion, Ken reflects on the ...

It was a pleasure to welcome Kris Kumar, founder and CIO of Goose Hollow Capital, back to the Alpha Exchange. Kris presents a compelling argument that traditional economic frameworks centered on consumption are becoming obsolete as AI-driven capital expenditure emerges as the dominant growth engine. With companies spending $400 billion annually on AI infrastructure, he contends we're witnessing a fundamental shift from consumption-...

As the summer winds down, and there’s so little daily motion in the SPX, the realized vol spike of April feels further in the rear view. I often suggest that periods of calm in the market can cloud our thinking about risk. Sometimes markets get caught in low vol moods and this is one of them. But low realized volatility should not be viewed as an all clear. A good case can be made that the backdrop is becoming definitively worse.

I...

On this episode of the Alpha Exchange, I was joined by Ben Hunt, Co-founder and CIO of Perscient. Ben has built his career around one powerful idea: that the stories we tell—whether in politics, markets, or everyday life—shape our behavior far more than we realize. In the mid-2000s, entering Wall Street from outside its traditional ranks gave him a rare vantage point. He wasn’t steeped in the bullish narrative flow that dominated t...

On my mind is correlation. There are plenty of financial market correlations, both implied and realized. In equities, we talk a good deal about the correlation implied by the relationship between S&P 500 index implied vol and the implied vol on the stocks within the index. That’s been low, to put it mildly. How about the correlation between the dollar and SPX? A signature aspect of the recent risk event was a weaker dollar, even as...

The clearing price of optionality in the market is impacted by a myriad of factors. To be sure, the economy and corporate profit cycle, the stance of monetary policy and geopolitical risk all matter. Flows in the derivatives markets are also of consequence as they impact the environment for supply and demand. And in this context, it was excellent to welcome Benn Eifert, Founder and Managing Partner of QVR Advisors, back to the Alph...

It was a pleasure to welcome John Marshall, Head of Derivatives Research at Goldman Sachs, to the Alpha Exchange. Our conversation explores a number of critical topics starting with the meaningful growth of equity funds deploying options as part of a risk management overlay. John describes how covered call ETFs and systematic vol-selling funds have quietly reshaped the supply/demand dynamics for index optionality. He makes the poin...

Greetings and salutations loyal listeners, welcome to what promises to be another exciting addition to our Sayings on Vol and Risk. To set the table, last year, I did a 5-part series with 25 Sayings. These are concise statements I’ve wound up using many times over during the course of my career to help myself and others think about market risk. These pitchy proverbs are market maxims that explore the drivers of unanticipated change...

Today’s world of ETFs and mutual funds increasingly features new flavors, a popular one of which is derived from embedding optionality. There are plenty of ways in which one might contemplate risk managing and shaping the distribution of equity returns using options. Common strategies like overwriting create income, but limit upside. Others like the zero cost collars create both upside and downside guardrails on returns. These stra...

With nearly three decades at BlackRock, Mitch Garfin brings a deep well of experience to his role as Co-head of Leveraged Finance, overseeing high yield and leveraged loan strategies for the firm. In this episode, we explore the evolution of the credit landscape — from structural shifts in the high-yield market that leave indices of higher credit quality to managing risk in a world of tight spreads but always shifting macro narrati...

In 2024, I did a 5-part podcast series called “25 Sayings on Vol and Risk”.  These are observations I’ve found do a nice job of describing how markets work, or perhaps better said, how markets sometimes fail to work. Because markets are always teaching us lessons, I couldn’t help but add to the original 25 with five new sayings. I’ll follow up in short order with another five.

Here are our Sayings 26-30:
 

26. “Financial market object...

As Global Head of Equity Derivatives Research at Bank of America Merrill Lynch, Ben Bowler is helping the firm’s institutional client base understand the complex risk dynamics that impose themselves on today’s markets. His process often leads him across asset classes, looking for linkages and developing stress indices that may provide early warning signs for US equity markets.

Our discussion first considers the recent SPX vol event,...

Corey Hoffstein, the Co-Founder and CIO of Newfound Research is among the investors expanding the financial product set available to the RIA community. A client segment that has long been fed a diet of 60/40 exposures, the high-net-worth community is finding the need to diversify beyond stock and bond exposure. Using their innovative approach to return stacking, Corey and team are making alternative sources of risk premium accessib...

In six short trading days from 4/2 to 4/9, the SPX realized as much vol as it did during the ENTIRE year of 2024. The protracted risk-off that began with the “Liberation Day” fallout ranks only behind Covid and the GFC in terms of severity using data going back to 1990. While we've likely moved past peak VIX, in the aftermath of recent chaos is an overhang of uncertainty that may hamper critical decision-making. I see plenty of lin...

For Matt King, evaluating market risk is often about pinpointing vulnerabilities within the financial system. Over the many years he's been advising institutional investors, he's gone where the action is - in the dotcom era it was corporate balance sheets, in the pre-GFC period it was asset-backed CP and in the last decade it's been sovereigns and QE.

Now the founder of Satori Insights, Matt shared his current assessment of risk on...

Market risk events come in all shapes and sizes, originating from unique sources of uncertainty. We've seen them all - valuation bubble unwinds, mortgage credit crashes, Fed policy shocks, even the shutdown of the US economy from Covid. Over the last month, investors have been forced to confront a new risk, that of the imposition of substantial tariffs by the US on its trading partners. With this in mind, it was great to welcome St...

Lenin purportedly said, “There are decades where nothing happens; and there are weeks where decades happen.” It’s difficult to understate how highly consequential these past few days have been. We live in an interconnected world of international rivalries, debt, trade, asset prices and economies. All kinds of tail probabilities become more live when a shock of this magnitude occurs. From a market standpoint, however, the higher vol...