Created with Sketch.
Mutiny Investing Podcast
70 minutes | Jul 14, 2021
[MM]27. Tim Pickering
In this episode, I talk with Tim Pickering. Tim is the founder, President and CIO of Auspice. Auspice Capital Advisors is a quantitative investment specialist focused on Alpha and Enhanced Beta managed futures and commodity strategies. Auspice specializes in applying innovative rules-based investment strategies across a broad range of commodity and financial markets. Prior to forming Auspice, Tim was VP of Trading at Shell (North America). He began his career at TD Securities (Toronto) in their elite trading development program ultimately holding the Senior PM position for the Energy Derivatives portfolio. Outside of Auspice, Tim has been involved in grain farming in Western Canada. Through the founding of Auspice, Tim ties together a career in commodity and financial risk and portfolio management that has spanned institutional experience along with entrepreneurial vision. Tim and I talk about his history as an institutional energy trader and how that lead him to want to start his own entrepreneurial venture. We touch on where inflation manifests itself and how do you make sure you are there. We also discuss how to deal with open profits within a trend system. I hope you enjoy this conversation with Tim as much as I did...
74 minutes | Jun 25, 2021
[MM]26. Jerry Parker
In this episode, we talk with Jerry Parker from Chesapeake Capital. Chesapeake has always been a classic trend following CTA. "Trend Following + Nothing" is their firm motto. Over the years Jerry has focused on adding markets to their portfolio. They were one of the few CTAs to trade single stock futures. They started trading single stocks in the '90s and continue to do so today. They do not trade any stock indices. About 50% of their portfolio is commodities with FX, FI and single stocks making up the balance. They do trade BTC futures. They have added quite a few of the more exotic/less liquid commodities in the past few years: milk, lumber, sunflower seeds, maze, rough rice, palm oil, iron ore, rubber and look forward to trading the commodity markets in China. His philosophy is to trade any and all markets that are liquid and add to their portfolio diversification. Jerry and I talk about his start as a Turtle Trader. What is CTA, Managed Futures, Trend Following. We talk about what he has learned over 4+ decades in the market. Why he hates vol targeting. Why discipline and sticking to your plan is the key to life. I hope you enjoy this conversation with Jerry as much as I did...
57 minutes | Jun 4, 2021
[MM]25. Aaron Larkin and Matt Laviolette
In this episode, we talk with Aaron Larkin and Matt Laviolette, Co-Founders of Breakout Funds. Breakout Funds, LLC ("Breakout") incorporates quantitative global macro thematic views with current news events to place discretionary short term concentrated trades in futures markets. Our trading approach draws on a combined 30 years of experience in the proprietary trading space where we have learned that protecting principal is the primary goal of any trading strategy. We believe that there is always an underlying theme that shapes the direction of the market, and it is our goal to adapt and implement strategies suitable for each particular market regime. We talk about Matt and Aaron's background as Prop traders. How they use a multi-filter approach to trading the global macro environment. They wait until all their setups line up. Take concentrated positions with very tight stop losses, coming from their days as prop traders. We also talk about unique event risks. I hope you enjoy Aaron and Matt's insights as much as I did...
29 minutes | May 5, 2021
Quarter 1, 2021 Update
In this episode I am joined by Mutiny Fund CIO Jason Buck and our close partner at RCM Alternatives, Jeff Malec. In this quarterly review, we discuss what we saw in markets in Q1 and how various volatility strategies performed. To give a bit of context, Q1 2021 saw The S&P up 6%, and the VIX down about -14.87% though it was fairly range bound. The inverse PutWrite index which is a rough proxy for at-the-money volatility on the S&P was down about -5.82%. Accredited investors interested in learning more can contact us at firstname.lastname@example.org for more information or submit an inquiry on our site, mutinyfund.com.
70 minutes | Apr 23, 2021
24. Cem Karsan
In this episode, we talk with Cem Karsan, CIO and Founder of Kai Volatility Advisors (formerly Aegea). After his successful trading career, Cem decided to leverage his volatility arbitrage expertise by improving upon many of the flawed strategies he had witnessed during his tenure as a market maker. To that end, Kai Volatility Advisors has created a non-correlated and scalable investment vehicle that takes advantage of the structural mispricing inherent in option indices worldwide, while offering the superior transparency and liquidity that today’s investors demand. We talk about Cem’s experience as a market maker and how that affects how he thinks about trade flows. We dive into the 3 components to his strategy: 30 day skew, dispersion, and VVIX. We also discuss how dealer hedging can affect Vanna and Charm, which can pin the index or exacerbate moves depending on their hedge positioning. I hope you enjoy Cem’s insights as much as I did...
76 minutes | Mar 10, 2021
[MM]22. Kris Sidial
In this episode, we talk with Kris Sidial, CIO and founder of Ambrus Group. The Ambrus Group is a volatility arbitrage focused firm that was founded in 2018. The firm takes pride in having a math driven ethos that specializes in leveraging an in-depth knowledge of volatility skew while applying a discretionary twist to quantitative volatility strategies. We talk about Kris's background working different prop desks at banks. How Kris believes that the market microstructure has evolved and changed since 2017. How to sell capped vega to fund the buying of out of the money wings with unique dispersion trades. How chaos theory can be represented by positional inflection points by a multitude of players on the volatility space. I hope you enjoy Kris's insights as much as I did...
70 minutes | Feb 17, 2021
[MM]21. Brett Nelson
In this episode, we talk with Brett Nelson, CIO and founder of Certeza Asset Management. Certeza focuses on investments in volatility using proprietary algorithms to capture perceived mis-pricings in the VIX term structure. We talk about the start of VIX trading from VRO to modern VIX products. His background from winning math competitions, isolating Vega on S&P options, to being on the vanguard of VIX trading. Brett has a unique entrepreneurial journey and has found his way outside the traditional paths to being a portfolio manager and volatility trader. I hope you enjoy Brett’s insights as much as I did...
93 minutes | Feb 2, 2021
Quarter 4 2020 Update
In this episode I am joined by Mutiny Fund CIO Jason Buck and our close partner at RCM Alternatives, Jeff Malec. In this quarterly review, we discuss what we saw in volatility markets and how various volatility strategies performed in Q4 of 2020 and what we might expect to see in 2021. We go into the VIX term structure around the election, the impact of retail call buying, and the dislocation of the normal relationship between volatility and equities. In addition to our conversation, Jason also sat down with Bastian Bolesta from Deepfield Capital which employs volatility arbitrage and short term trend following models and Wayne Himelsein from Logica Funds which focused on long options strategies for their takes on the market in Q4. To give a bit of context, Q4 2020 saw The S&P up about 10.9%, and the VIX down about -14% though it was mostly range bound between 20 and 25 with one spike at the end of October. We wanted to release this publicly so we don’t go into specific performance here and will instead focus on volatility markets broadly. Accredited investors interested in learning more can contact us at email@example.com for more information or submit an inquiry on our site.
82 minutes | Jan 14, 2021
[MM]20. Benn Eifert
In this episode, we talk with Benn Eifert, the managing member and CIO of QVR. He was previously co-founder and co-portfolio manager of Mariner Coria in New York and the Wells Fargo proprietary trading desk, which became Overland Advisors. He holds a PhD in Economics from UC Berkeley. We talk about the history of the derivatives markets and the mixed impact of Dodd Frank legislation, why some derivatives buyers are price insensitive and the opportunities that creates, and then we really geeked out on three trading strategies using the VIX, dispersion trading and everyone’s favorite topic: European dividend futures. Underlying all of this is Benn’s unique way of looking at markets. I hope you enjoyed this conversation as much as I did!
72 minutes | Nov 17, 2020
19. Diego Parrilla
In this episode, we talk with Diego Parrilla of Quadriga Asset Managers. Diego is an engineer by training and has spent 20 years in the markets. He’s spent most of that time in macro and commodities trading at firms including JP Morgan, Goldman Sachs and Merrill Lynch. He is the author of the bestselling books The Energy World is Flat and Anti-Bubbles. Diego has a really unique approach to the markets that we got into including why he holds his basis in gold and treasuries, how he uses exotic options to improve his opportunity set, and why portfolios should be constructed like football teams. I hope you enjoyed this conversation as much as I did!
63 minutes | Oct 20, 2020
[MM]18. Mike Green
In this episode, we talk with Mike Green of Logica. Mike formerly ran Thiel Macro, Peter Thiel’s family office macro fund. We talked with Mike about knowing when and how to monetize your options, what he means when he says a history of markets is a history of transactions, and what he would teach in a one day seminar about the Fed. Also, be sure to check out The Grant Williams Podcast where Mike Green has been interviewed by Bill Fleckenstein and Grant Williams. They discuss the role passive investing may have to play in The End Game. I hope you enjoyed this conversation as much as I did.
60 minutes | Oct 13, 2020
Legends in Volatility
In this episode, my partner and CIO of Mutiny Fund Jason Buck speaks with three of the most experience volatility traders alive today: Jerry Haworth of 36 South, Bastian Bolesta of Deep Field Capital, and Chris Cole of Artemis Capital. This was originally recorded in July 2020 for the financial media channel Real Vision, but contains timeless wisdom that lies deep at the heart of investing in volatility. I hope you enjoy this episode as much as I did.
33 minutes | Oct 8, 2020
Quarter 3 2020 Update
In this episode I am joined by our close partner at Attain Portfolio Advisors Jeff Malec and Mutiny Fund CIO Jason Buck. Now that we’ve had the Mutiny Fund’s first full quarter in the books, Q3 2020, we wanted to get on a podcast and talk through the environment as a way of helping current and potential investors better understand what we do. We’ll look to do these every quarter or so as a sort of modern version of the hedge fund ‘quarterly letter’ but where we can go into a bit more detail. Q3 saw The S&P up about 8.28%, and the VIX down about -14% though it took a somewhat different path. We wanted to release this publicly so we don’t go into specific performance here, but accredited investors can contact us at firstname.lastname@example.org for more information or submit an inquiry on our site.
63 minutes | Sep 15, 2020
[MM]17. Ernest Chan
In this episode, we talk with Ernie Chan. Ernie, a physicist by training, is the founder of QTS Capital Management and author of a number of books on Quantitative and Algorithmic Trading. In today’s episode, we talk about Ernie’s tail reaper strategy at QTS which seeks to profit from down moves in the S&P. We go into how Gamma Dealer Hedging and Forced Rebalancing exacerbates intraday volatility in the SPX in a way that makes the S&P one of the best places for a tail strategy to work. We also go into the Evolution of Machine Learning and how it is applied to trading strategies including tail reaper and the appropriate way to use kelly criterion for investors - a lesson Ernie learned the hard way.
72 minutes | Aug 18, 2020
16. Matt Rowe
In this episode, we talk with Matt Rowe from Headwaters Volatility. Matt has over two decades of experience trading volatility at multibillion dollar asset managers. We talk with Matt about why the best portfolios have both long and short volatility and how investors often get the mix wrong. Matt has particularly great point on the importance of market microstructure and why we’ve seen an increase in volatility selling programs since 2017. We also trace the long history of volatility as an asset class, particularly looking at the convertible bond market in the late 90s/early 2000s and what parallels there are to the present day.
70 minutes | Jul 17, 2020
15. Tim Jacobson
In this episode, we talk with Tim Jacobson, founding member of Pearl Capital. Before starting Pearl, Tim worked with a family office and designed Pearl to add a much-needed form of diversification to their portfolio and discovered many other investors have the same need. We talk about common mistakes investors make in evaluating their risk. We then get into the details on why VIX futures is the best instrument to hedge against equity market volatility and why the absolute level of the vix is not as important as the fluctuation in the VIX, the volatility of volatility. At the end, we also get Tim’s take on what the post-Covid-19 world looks like. I hope you enjoyed this conversation as much as I did.
78 minutes | Jun 12, 2020
14. CBOE Vol Panel
This is a special episode that was recorded as a panel on Navigating Market Volatility on May 21, 2020. I wanted to publish it here on the Mutiny podcast as I think it provides an interesting and insightful look into what we saw in March 2020 and what we can learn from that about how the volatility landscape, and market landscape more generally, is likely to evolve going forward. The panelists discuss the role of the VIX in a portfolio or trading strategy, whether it is too late for long volatility protection and what everyone gets wrong about options. This panelists include Jason Buck a principal at Mutiny alongside Wayne Himelsein of Logica Capital, Bastian Bolesta of Deepfield Capital, and Kevin Davit of the CBOE. The Panel is moderated by Jeff Malec of RCM Alternatives. Wayne, Bastian and Jeff are all previous podcast guests here on the Mutiny podcast and if you enjoy this discussion on the panel, you should check out their episodes. I hope you enjoyed this conversation as much as I did.
45 minutes | Mar 26, 2020
13: Jason & Taylor: Volatility in the Times of Corona
In this episode, I sat down to talk with Jason about the market events of March 2020. We start by talking about why many narratives around the market crash may be wrong and the evidence that what we have seen so far is maybe not a harbinger of a crashing economy but rather an institutional liquidity crisis. We then talk through some historical analogies to give investors a basis for thinking about what is to come. We talk about 2008, the 1987 flash crash and the less known Hong Kong Flu of ‘69 crash. Finally, we talk about how investors can be prepared for any eventuality and strategies for protecting against a second or third leg down in markets. I hope you enjoy this conversation as much as I did.
74 minutes | Mar 4, 2020
[MM]12. Jeff Malec : New York & Chicago markets, Correlations, Investor Traits
In this episode, we talk with Jeff Malec. Jeff is a principal at RCM Alternatives, a leading firm in the futures industry. Jeff began his career in the Chicago futures pits with burly traders spitting into their dip cups and has had a front-row seat to watching the futures industry develop rapidly over the past two decades. We talk about the differences between the New York traditional equity-based markets and Chicago’s futures markets and the pros and cons for investors. We look at why Chicago’s approach did much better in 2008 and what investors can learn from that to apply to their own portfolios as well as the cash efficiency of futures. We dive into how investors should think about correlations, particularly when projecting into the future. We also talk about the common traits of the most successful investors Jeff knows, particularly the engineering mindest and how other investors can apply that. Finally, we dive into why low volatility often means hidden risk and how to spot it in your portfolio. I hope you enjoyed this conversation as much as I did
63 minutes | Jan 15, 2020
[MM]11. Alex Orus: All about the VIX, Mean Reversion
Alex Orus is a principal at Principalium Capital based in Zurich, Switzerland. Alex is one of the most experienced traders of the volatility index, often called the VIX, having founded Blue Diamond Capital which traded the VIX starting in 2010. In this conversation, we talk about risk and how many investors measure risk in a way that actually increases their risk. We then dive into the history and the structure of the VIX and its associated products and how investors can trade it to improve the performance of their portfolio. There were a couple of terms Alex talked about in the interview that I wanted to introduce. Alex mentions a few times an event in February 2018. What happened was that VIX went from 13 to 37, nearly a 300% move in a day which was it’s largest percentage move in history causing large losses or large gains for traders on either side of the market. We also talk about mean reversion. Mean reversion is the idea that an asset moves back to its long term average. So the VIX’s long-term historical average is around 20 so if the VIX spikes to 40, then moves back towards 20, we call that mean reversion. I hope you enjoy this conversation with Alex as much as I did.
Terms of Service
Do Not Sell My Personal Information
© Stitcher 2021