ReSolve Riffs with Stuart Barton on Structuring Volatility ETPs


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Our guest this week was Stuart Barton, co-founder and Chief Investment Officer at Volatility Shares. Our conversation ranged across topics that included:

  • Early career as a vol trader and how the space has changed over time
  • Volatility Shares’ investment approach – probability-weighting and active trading
  • ETNs, ETFs and other ‘packaging’ models – benefits and drawbacks
  • Settlement as a crucial variable – matching vehicles and their underlying assets
  • A post-mortem on the ‘Volmageddon’ episode in February 2018
  • Volatility strategies – wide variety of flavors for investors of all stripes and sizes
  • ‘Picking up pennies in front of a steamroller’ and other vol strategies to avoid
  • Asymmetric risks and rewards
  • Term-structures, curves, expirations and roll-yields
  • The ‘boring’ 3-month VIX futures contracts
  • Multiple sources of signal in the VIX curve, including its shape and how it moves vs the S&P 500 (aka skew delta)
  • The relationship between spot and future volatility at different points along the curve
  • The various ‘800-pound gorillas in the room’ and their techniques for minimizing market impact
  • Why attempts at front-running these larger players sometimes go awry
  • The reflexive and ever-evolving race towards alpha
  • And much more

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global* and Richard Laterman of ReSolve Asset Management.

*ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.

162 episodes