Navigating Market Volatility - The Derivative by RCM Alternatives
In this episode, we’re joined by a powerhouse group of volatility experts consisting of Kevin Davitt, Wayne Himelsein, Jason Buck, and Bastian Bolesta – moderated by our very own Jeff Malec discussing Navigating Market Volatility. Providing more than just witty banter, you’ll be listening to us talk about how crazy volatility was during March/April, why the VIX is more than just for tail risk, is it too late for long volatility protection, why straddles & strangles, what everyone gets wrong about options, and the volatility landscape looking ahead.
Our guests: • Kevin Davitt • Bastian Bolesta • Jason Buck • Wayne Himelsein
Logica's Wayne Himelsein - Preparing for the Return of Market Volatility
Wayne Himelsein explains why he believes that markets are not prepared for a likely “phase shift” from a low volatility world to one where volatility is dramatically more pronounced for an extended period of time.
MacroVoices: Under the covers of Long Vol
Erik Townsend and Patrick Ceresna welcome Wayne Himelsein to MacroVoices. Erik and Wayne discuss:
Long Vol vs. Short Vol strategies
Mitigating carry cost of long vol strategies
Actively trading to manage negative carry
Straddles as a long vol trade
Sizing a long vol hedge in a portfolio
Dynamic management of a long vol trade
Betting Against Stability with Wayne Himelsein
Wayne Himelsein begun his career on a proprietary trading desk at Carlin Financial Group in the mid-90’s, doing statistical arbitrage—complimentary to his mathematical nature.
Come 1999, Wayne launched his first fund to begin managing money for clients and institutions. Then in 2011, Wayne founded Logica Capital Advisers, where he currently takes the role of Chief Investment Officer.
Logica, as a quantitative investment firm, relies on rigorous research to develop its various model-driven strategies. For the most part, these are mean expansion strategies that generate alpha from being long volatility.
ReSolve Riffs with Logica's Wayne Himelsein: "Skew Baby"
The year that saw the fastest decline, followed by the steepest recovery in market history has left one topic top of mind for most investors – volatility. Though down from its eye-watering spike in the first quarter, the VIX (CBOE Volatility Index) has remained significantly higher than in previous years, and not without good reason. The ongoing pandemic, a bifurcated and fragile economic recovery, the most polarized US presidential election in living memory, continued geopolitical saber-rattling between China and the US, and the list goes on…
We had the pleasure of hosting one of the foremost volatility experts in the industry – Wayne Himelsein (President and CIO of Logica Advisors) – for a deeply insightful conversation that covered:
His background in the industry
Why “absolute” doesn’t mean steady returns – the lumpy nature of positive convexity
Why Logica loves gamma and how to “scalp” it
Unknown unknowns, unrealized vol and protecting against events that are by definition, outside of your sample distribution
The difficulty in sizing a long-volatility strategy within a broader portfolio
Wayne also delved into his investment process in some detail, including how Logica measures and adapts to market phase-shifts. You should probably just stop what you’re doing and press play.