Episode #252: Cem Karsan, Aegea Capital, “30 Day Vol Tends To Be Overbid And You Have Prolonged Provide In The Again Of The Curve Traditionally”
Visitor: Cem Karsan is Founder and Senior Managing Associate of Aegea Capital Administration, LLC, in addition to its Head of Analysis and Threat Administration.
Date Recorded: 9/23/2020
Sponsor: Ikon Pass
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Abstract: In episode 252 we welcome our visitor, Cem Karsan, Founder and Senior Managing Associate of Aegea Capital Administration.
In at this time’s episode, we’re getting deep into the weeds of market volatility. We hear from Cem about reducing his tooth in market making and S&P 500 fairness choices and finally launching a technique centered on long-volatility.
We get into structural inefficiencies round market vol that have a tendency to extend throughout instances of market stress. We speak about what the yr has regarded like so removed from his perspective, and the suggestions loop and dangers related to liquidity, compressed danger premia, and a low-yield atmosphere. We chat about what he sees markets pricing in and danger perceptions across the election, and a few commerce concepts to doubtlessly make the most of what he believes is mispriced volatility within the December to January interval.
All this and extra in episode 252 with Aegea’s Cem Karsan.
Hyperlinks from the Episode:
- 0:40 – Sponsor: Ikon Cross
- 1:21 – Intro
- 2:17 – Welcome to our visitor, Cem Karsan
- 5:09 – Buying and selling philosophy for Aegea Capital
- 6:43 – An instance of what the technique seems like
- 11:00 – Implementing an extended vol technique
- 13:34 – Structural inefficiencies
- 16:42 – How the altering markets has impacted the technique
- 22:18 – Adapting the technique
- 25:59 – What 2020 has meant for Aegea
- 29:04 – Likelihood of bonds going damaging within the US
- 30:40 – Cem’s view on the markets at this time and near-term outlook
- 33:17 – How the markets are pricing the election
- 37:28 – Election odds
- 40:46 – Diversifying
- 43:59 – Robinhood, Portnoy, and many others.
- 47:52 – The outlook over the following 10 years
- 49:34 – Capability for vol arb
- 50:41 – Most memorable funding/commerce of his profession
- 52:35 – Vol expectations
- 54:55 – Join with Cem: twitter @jam_croissant, aegeacapital.com
Transcript of Episode 252: