The Derivative - The Kid who Kaptures Kurtosis with Kris Sidial of Ambrus Group

Episode Date: July 1, 2021

Our guest this episode has quickly become one of the must follows on FinTwit with his mixture of motivational messaging and market savvy. Kris Sidial is the Co-CIO of The Ambrus Group, a volatility arbitrage fund that focuses on statistical outliers in the U.S equity derivatives space. But he’s no kid, despite his bio touting his 28yr oldness, having worked on exotic options desk, prop firms, and now his own hedge fund. Kris and Jeff dive into growing up on the other side of the tracks, market microstructure, whether you can outwork others in the quant space, the belly of the vol trade, gamma hedging, GME, NYC, LIU, Penn, flow, father’s day without a dad, liquidity cascades, options books (the positions), and options books (the actual reading type books). Don’t miss this great chat with one of the good guys in this space. Chapters: 00:00-02:49=Intro 02:50-16:24=Rough Route to Wall Street 16:25-23:03=Break-through 23:04-33:12=The Exotics Desk 33:13-45:38=Starting Ambrus 45:39-52:40=Covering the Bleed & Capped vs Uncapped 52:41-01:03:04=Finding Value in Volatility/Buying the Wings 01:03:05-01:11:39=A Shift in Dealer Hedging & Loving the Game 01:11:40-01:17:54=Favorites Follow Kris (@Ksidiii) on Twitter and get more information on the funds at Ambrus Group here.    And last but not least, don't forget to subscribe to The Derivative, and follow us on Twitter, or LinkedIn, and Facebook, and sign-up for our blog digest. And visit our sponsor, the CME Group at www.cmegroup.com to learn more about futures and options. Disclaimer: This podcast is provided for informational purposes only and should not be relied upon as legal, business, or tax advice. All opinions expressed by podcast participants are solely their own opinions and do not necessarily reflect the opinions of RCM Alternatives, their affiliates, or companies featured. Due to industry regulations, participants on this podcast are instructed not to make specific trade recommendations, nor reference past or potential profits. And listeners are reminded that managed futures, commodity trading, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors. For more information, visit www.rcmalternatives.com/disclaimer

Thanks for listening to The Derivative. This podcast is provided for informational purposes only and should not be relied upon as legal, business, investment, or tax advice. All opinions expressed by podcast participants are solely their own opinions and do not necessarily reflect the opinions of RCM Alternatives, their affiliates, or companies featured. Due to industry regulations, participants on this podcast are instructed not to make specific trade recommendations nor reference past or potential profits, and listeners are reminded that managed futures, commodity trading, and other alternative investments are complex and carry a risk

of substantial losses. As such, they are not suitable for all investors. Welcome to The Derivative by RCM Alternatives, where we dive into what makes alternative investments go, analyze the strategies of unique hedge fund managers, and chat with interesting guests from across the investment world. We started noticing that there's this dislocation with excess variance in the front of the term structure, and the market carried this sense of reflexivity based on a few things. One would be this dealer gamma hedging with the increase in derivative exposure that's become so much more prominent. So the reflexivity that you have in the front

of the term structure has been so much stronger. And then I think the second main thing is just this shift towards systematic investing by some of the pension funds and some of the other large money institutions on the buy side. So it really had us understanding that, well, when the market makes these moves, it makes these moves very violently and it makes it very quick. So what we understood was, well, there is a natural mispricing when you think about kurtosis and you think about the tails in the listed option space. So we primarily position the book to be long gamma within two week to about two month listed options. And primarily we're buyers of very cheap skew and cheap wings in those areas.

So we're the crazy guys buying tails. Ladies and gentlemen, in this corner, we've got Chris the Kid, the Duke of Dispersion, the Trinidad Tornado, the Ambrose Assassin, Chris Sidio. And in the other corner, just me, sorry. But having some fun with your boxing hobby there. I hope that's okay, Chris. Yep, yep. All good, all good. Do you have an actual ring name no no

no ring name no fighting name none of that the duke of dispersion maybe you should take that one on gonna have to think about that one uh but sorry more officially we're excited to finally have chris sidio co-cio of the ambrose Group, on by himself, finally, to shed some light on how he approaches the market. We've had Chris on twice before on the pod, talking the GameStop craziness with Jim Carson, and once talking the election craziness with Matt Laviolette of Breakout Fund. So finally get to dig into your background and how you run the Ambrose Group training. So again, welcome. Yeah, thank you for having me. As always, it's a pleasure. And it's good to be doing this in a time on a Friday evening where only the true traders enjoy it, you know? Yeah, I was hoping to get you like in Friday casual

without the tie. Still never seen you besides your Twitter posts where you're in the gym without the tie on. Yep, yep. It's good. And you're still, you're in your offices in New York. Yeah. Yeah. We're in the office. Uh, it's, it's hot here. I got to put on the AC. Yeah. Starting to sweat up in here. If you guys can see New York back to normal or what, what percentage do you give it on normalcy? Uh, I would say, I would say it's primarily back to normal, uh, for where I'm at, at least. Um, you know, you have a lot of, uh, a lot of places aren't even requiring the mask. Um, you know, a lot of, uh, gyms are just straightforward now.

A lot of the, uh, the out to eat dining is straightforward. So yeah. And I've heard in Chicago here, they've done, they've kept some of the COVID stuff where they shut down sections of the street and there's all the outdoor dining in the street. So some of that leftover from COVID has been good in terms of restaurants. Do you think they're doing the same in New York? Yeah. Yeah. You're starting to see that, that quite often. So, I mean,

I just think it's going to be interesting to see, you know, how some of the businesses will handle it in the fall time. If, you know, anybody will even care about it in the fall time at all, you know. Yeah, we'll see. I think they will. And your family immigrated from Trinidad and Tobago. So tell us about Trinidad. You've only been back a few times. Yeah. Yeah. So I've been back there a couple of times, but it's a beautiful island. You know, it's in the Caribbean. And I mean, I personally enjoy the cuisine maybe because I'm biased because, you know, my mom's from there. But yeah, I personally think that it's a nice area to visit if you want to take a trip down in the Caribbean.

But yeah, I enjoy the cuisine. Done. What's the cuisine like? Curry. Curry. Yeah. So I think one of the most interesting things there that I ate was actually shark. There's something called bacon shark on maracas bay uh and literally they cook shark and I think they kind of like fry it and they put it in this type of like baked type of bread and you eat it collectively the real Trinidadians are probably laughing at me because I can't fully describe it but yeah all right I want to try it I'm sure there's one I'm sure there's a restaurant in new york i'm sure there's one in chicago if we looked hard enough yeah um and so

you mentioned just now your mother but you also i was uh read a tweet on father's day you sent out i'm gonna read it real quick for the listeners uh you said growing up i didn't have a father there to give me guidance life advice advice, support, et cetera. Those of you that do don't take it for granted, bless them and show your gratitude today. Because a lot of kids that grew up in those low income housing areas would kill for a real dad that, uh, that was super touching. So a few things there, like one, thank you for that. I called my dad immediately upon reading it. I was going to anyway, but I got right on it.

And as a dad myself, I'm like, that's heavy stuff. Brought a tear to my eye. Yeah. Yeah. Yeah. Good. I'm just going to say like, do you, that's the real you, right? That's the real you coming out on Twitter there, which you often do. So I applaud that. But is there any, you ever get any blowback for being kind of too open and too honest on there? Yeah. Yeah. I mean, I think when you when you develop a pretty large following on Twitter, you know, you're always going to have people that are going to say things back and forth. But, you know, I enjoy the trading community. I enjoy the people that are very straightforward and honest and are out there. You know, I mean, we live in a time where you're able to interact and engage with PMs who manage literally billions of dollars, you know, through Twitter. And, you know, even though I'm a younger manager, you know, I think people appreciate it as

well that, you know, I'm open and outspoken and just authentic about who I am and where I came from, not really shying away from that, but more so embracing it so that other people who did kind of go through that passage or are going through that passage, you know, they could they could relate and, you know, empathize in a way. Yeah. And so tell us a little bit more about that passage. Yeah. Yeah. So, uh, growing up, uh, pretty interesting, um, pretty interesting route, not the typical wall street route. Uh, so you know, as you know, growing up in Brentwood, New York, low-income housing area or whatnot, um, not really the best area and not really the nicest place to like network and really build those type of connections to get yourself in Wall Street. So growing up was a little bit tough.

It was a very tough community to live in and, you know, try to be ambitious because the community didn't really embrace things of that sort. So, you know, you had like gang violence, drug trafficking. That's really what the town was notorious for. But I think my mother always like drove home the notion of actually holding an education. So I was always like a little bit of a nerd growing up, you know, because I kind of embodied all the things that she would say. So in all subjects or just math or primarily math, but I was I was a well-rounded student. But, you know, my my math ability stood out as part of the math Olympiads.

And I think that I always thought about life in a statistical frame as a flood sense of thinking because you know as you're younger and you know when you're naturally thinking about things like that you think everything is gouging you know you start you start looking at the world in a closed-ended form um but yeah uh kind of kind of made my way graduated high school and you know went to uh went to LIU, which, you know, that was where I really first got into trading and kind of found my passion through there. Through a program or just through talking with different kids and getting on it? No, you know, I had this interest because, again, you know, I thought of things in a type of Gaussian type of way. And I was into sports betting.

I was very heavily into sports betting, even though I didn't really have any money. You know, but my my my close friend and I, we put our money together and we would we would gamble on games. And I would use statistical analysis to try to break things down. And then I was an accounting major and I put together this, this thesis of applying it to the market. And as every younger quant kind of gets into, you know, you, you fail. All right. So lost a ton of money. Not, not a ton. To me, that was a ton, right? $3,000 back then when you're a broke young kid, like that's a ton, right? $3,000 back then when you're a broke young kid, like that's a ton of money. But went through this a few times and then eventually I had this one of those like kind of cool stories where, you know, I had a few thousand dollars and I developed a core strategy, right? I developed a core repetitive

strategy that took advantage of some sort of a dislocation, but the mentality that I had behind it wasn't structured well enough as a trader to fully play that out. So what would happen would be, you know, I'd make money, make money, make money, and, you know, wouldn't, wouldn't adhere to the trading rules. And I, you know, gave a good amount back, but those are lessons that I kind of took and learned throughout the, my career as a trader. And then, and when, so the sports gambling, you were just, you were using stats. You weren't just saying, Oh, we're,

we're going with LIU now, if I'm really impressed, are they like the blackbirds or something or the, you know, the, I used to follow their basketball team in a weird pool. I was in what's the mascot. Yeah. So it's weird because I went to a CW posts, which is technically like LIU kind of took over. So, yeah, but LIU Brooklyn's D one. Yeah they're best yeah um when people ask about you know uh i guess college sports i kind of go i lean to penn so i'm finishing my master's at university

of pennsylvania so yeah even though they're not too great either yeah the qu. I know that one. Yeah. Our union football coach came from there. Right. Yeah. And so then you started touching on the trading. And then from there on, you're like, I got, I think, I think I had this real passion towards it. I was really obsessed with it. I mean, you know, Friday nights, Saturday nights, you could ask my close friends directly. You couldn't get me to get out the house. Like I was obsessed with reading all these types of trading books, like the very old school trading books to like market wizards with turtle, uh, reminiscences of a stock operator, like, uh, you know, candlestick analysis and stuff like that. Like, you know, I was just really in love with the game. Uh, and I think I had a finance professor that really acknowledged that. And he noticed that because I would spend hours just in his office,

just talking to him about trading and, and market sentiment and ideology and uh he was a chinese value investor funny enough just completely different from you know what i do yeah but he pretty much told me he was like you know you should take a shot at this you know kind of see where it goes uh so i was really trying to apply because i was like all right i'll give it a shot i know you know i'm coming from a non-target school, so it's going to be tough. I had a really good GPA though. But it was tough. It was tough because although in my heart, I knew that even some of the other kids coming out of the Ivies, I was a better quote unquote trader because I had more knowledge about,

you know, the market itself and trader psychology and how to apply it uh i know i was at a big disadvantage um and my coding skills during that time were just like okay it wasn't like amazing right so you're talking like 2014 now uh which is when the the industry started gravitating more towards like you know the quant based pure coding um so yeah i was doing everything i could to break in when i tell you i was sending out like 100 emails a day reaching out on linkedin i was doing everything i could to network and i know that i told the story on another podcast but you know there was a couple times where i would like stalk a few pms um where i would literally just see the guy on linkedin i would kind of figure out, okay, what office is he in and kind of wait outside. You know, when he came out,

I'd have my track record, as I said earlier, you know, I did fairly well trading my senior year. I extend my hand. Hey, my name is Chris Sidial. I returned X amount, you know, thinking that they would be impressed by that or whatnot. And then, yeah, I really tried to pitch them that way. I wish you'd videoed that. I'm sure there were some guys who told you to F off and some other unkind words, right? Or did anyone take it? Or some might have just taken it and thrown it in the next trash can?

Yeah, nobody was really receptive towards it. There was a couple of times where um you know i had people kind of humor me and you could tell they were humoring me because you know they were smiling or whatnot more so looking at this like oh you know it's cute you know but not really taking it serious um so yeah yeah there was a lot and then there was a few guys that were just super dismissive like i mean me personally where i'm at right now would never be that dismissive to a college kid who's really trying to show some sort of initiative towards something but yeah it was it was it was fun looking back on it now I'm actually glad that things worked out that way. None of that worked like you showed all that hustle but really none of it worked right

none of it worked none of it worked i had my first real breakthrough uh in the most peculiar way um so i was searching for jobs and i noticed there was a job on Indeed that got put out 15 minutes prior. And it said something about junior trader. So I literally just had a number on it, which is pretty odd because some of the Indeed things don't have the numbers on it. So I literally called and I called and it was this old man who was on the phone. And he was very like very standoffish a little bit. But I'll finish the story and you guys will understand why. But pretty much he ended up hiring me.

And this individual was one of the one of the guys that helped started the cboe directly his name is uh bob canter so here i am just by luck i ran into one of the old veteran volatility traders yeah right that just i had no clue that my you know this was this is who it was going to be um you know one of the original guys that was trading in the pit and pretty much i used to go to his house out in the hamptons every day i used to drive like an hour and some change out there to uh you know trade under him so it's his nice house yeah yeah really nice house um no um but yeah that see that's i've talked about this on other pods too of and to me it's like chicago versus new york like chicago and the trading pits there if you were hungry even if you were big they might just grab a guy because he was tall and

and built and they'd plug him into the pits and teach him what he needed to know yeah you didn't even have to finish high school um versus new york was a little more like you needed the pedigree you needed the referrals you needed the background so yeah it's it's funny i don't know if he was a chicago guy or he just ended up in chicago to start that um but yeah we've we've talked about that before jason at mutiny and whatnot of like that chicago versus new york dichotomy so it sounds like you got a little bit of both yeah yeah it was definitely a cool mix. I mean, looking back on it now, it's funny because he held two interviews and so crazy. We held two interviews in a Starbucks in Southampton and both interviews were six hours long. I kid you not. It was six hours with me and him just going back and forth and him, you know, throwing out certain things at me and asking me, you know, why should I hire you? And what would you do in this situation? And kind of listening to listening to his stories,

right? A lot like a good amount of it was listening to his stories, because he was an older gentleman. But yeah, I learned so much under this guy. You know, just the mentality towards trading itself, looking at volatility from, you know, that perspective. What was the main strategy there? So it was pretty much equity vol. It was equity vol. He was running a few overlays of relative value in the equity vol space. He would also look at certain things, special situations like earnings events and things of that nature. But he used this word anomaly a lot and he was writing a book. I'm not too sure if the book ever came out,

but he used the word anomaly quite frequently and it would always be about the tails. You know, funny enough, the way how life has it, you know, almost a decade later, here I am running a tail risk hedge fund. But that mentality towards always being fixated on the tails was something that, you know, I embodied later on. And then from there, you ended up at BMO? No. So I actually went to Chimera Securities on the prop desk for a little while. So, you know,

I had a good amount of experience in understanding, you know, trading order flow on an intraday base. So it had you thinking about things as a pure trader, you know, where you're looking at routes, you're looking at certain things coming through the ECNs, you're understanding flow, you're understanding where certain algos have their stops, you know, where other larger interactive agents hold their stops. And, you know, it was a good experience in understanding really trading flow. Then I went to Xanthus Capital Management, a small buy side equity hedge fund. You know, they were doing things that were somewhat a flavor of StatArb where they were focused on like earnings. So really understanding that component of the game. And then I went to BMO.

I spent three and a half years at BMO. Most of my time there was on the exotic derivatives and listed options desk. And that's where I would say I became like a complete trader where I got the knowledge of understanding truly trading prop, you know, buy side, uh, obviously being under Bob and for, you know, the amount of time that I was, and then being at BMO on an exotics desk and understanding how to truly hedge off, you know, billion dollar book in exotics and, you know, listed options from a market maker standpoint.

So let's talk through some of those terms real quick. So just buy side, sell side, explain it to the listeners. Yeah. So the buy side is basically guys who are looking to make speculative decisions, right? So they are looking to generate some sort of a profit based on the trading directly. So if I'm a buy side guy and I am buying Apple, I want to make money because Apple stock is going up. Sell side guy is a little bit different. They want to make money off of the flow. So you'll have sell side research that gets put out. And the reason why sell side research gets put out from these large banks is because it incentivizes the buy side guys to trade more.

And what happens when they trade more is, well, obviously, you know, when you're talking about voice trades, it's you run up commissions with the banks and the banks are able to take the spread and the difference of the trade. So the banks make money. Sell side makes money when the clients trade more. Buy side makes money when the positions

work in their favor. I always still get confused on that. I feel like it just gets thrown around there and nobody ever stops to define it. And it's become a weird thing, right? Because you're like sell side. But originally it dates back, I'm sure, to like early 1900s of Wall Street banks. Like they were warehousing the stocks and would sell them to the funds and whoever that wanted to buy the stocks. But essentially for these purposes, the buy side is hedge funds, prop shops, and the sell side is banks and market makers and brokers, right? Right, right. Exactly. And so then talk through the exotics desk. Sounds very exotic. Oh, yeah. Yeah. The exotics desk was great,, man. I had, you know, big shout out to all the senior guys on the exotic desk over at BMO because I learned a ton under those guys. I learned a ton when thinking about risk. You know, when I first got there, the first book that was given to me was Dynamic Hedging by Talib, right? So immediately you start thinking about the true

distribution and you start thinking about, you know, left tail type of events occurring. So it really kept that mentality to focus on the tails. And pretty much what it would be is, you know, you would structure a deal. And in this low interest rate environment, a lot of exotic exposure has been like continuing to grow. Right. So you've seen like a lot of a lot of appetite for like Phoenix auto callables, you know, levered, buffered notes, barrier notes and that sort. So it's basically bespoke type of um options all right so it'll be certain certain type of options will be like bespoke and packaged into this like otc exotic product and it'll be distributed off um but and so basically the advisors are selling it to some end client in wichita kansas or something you can get this exposure to apple you You cap your upside at 15 percent. The

downsides capped at 10 percent, whatever the numbers are. Exactly. Exactly. So what the client would say, well, sorry, what the advisor would say to the client is, hey, I have a way to yield seven percent or six percent a year. Would you be interested in that? As long as Apple doesn't drop 35% or 30%, right? If the knock-in is like 70 or something and the client would be like, yeah, absolutely. I'll take that. So the client, they'll get together a bunch of like the appetite and then they'll go to the trader, you know, at that large institution, which, you know, could be a black rock or something like that, right? Like one of these large institutions. And then they'll come to a bunch of banks, sell side banks, and they'll say, Hey, we want to buy this particular note, can we buy

25 to $35 million worth of notional or, you know, if you're doing real flow, a hundred million or something like that. And then the bank that prices a deal, the best will win the bid pretty much. And then they'll take on the risk. So let's say if, you know, you win the bid, you basically now structure the deal, you issue it off. And what you do is you go into the listed option side and you hedge off your risk. So pretty much that's really the nature of the game. So if you're on an exotics desk on the sell side, the way how you really make money is structuring a deal, you know, kind of hedging it, getting it out there and then hedging the book on the listed option side. And would you actually structure the deals or you're just working more on the hedging? Yeah, so we would we would price them. Right. So obviously, you know,

there's proprietary models and stuff like that. They're going to, I can't speak on, but yeah, the, the trader is at the on the trading desk would, would have an idea as to, okay, where should this be priced at? You know, what, what should this be yielding? And you would kind of bake in a little bit of vig right so i'm sure a lot of a lot of bit of it right you're baking like two and a half points worth of vig or something on an exotic structure but yeah right and so the bank's like hey i just if the more of these i can crank out i'm hedging it off they basically have no risk

right that that is the nature of the game right so the nature of the game is crank out as much of these as you possibly can and hedge off the book um at the end of the day you know you you make money uh by structuring these deals printing them and then if you could make money while hedging the book also that's a win-win and what what are they it's are they selling a straddle essentially? They're right, there's a knockout. So they're kind of selling a put down there and the incomes, right?

Exotically, synthetically, I'm saying, but like, how would you view the structure of what they were doing if it was a single structure? So the client would basically be short vega, right? So the client is just naturally short Vega in those types of structures. So they're basically selling the downside put. So what happens for the institutions is when the knock-ins kind of hit, you know, you as an exotics test, you do well.

But what happens also, and what could happen is, you know, a lot of the structures are structured off like five year, three year notes and stuff like that. That's where a lot of these exotic structures get issued off. But what could happen is if you have a scenario where your gamma in the front of the listed side that you're running gets out of whack. Right. So let's say the market just tanks where you have, you know, a situation where correlations go to one and like all those knock ins happen. So cool. The bank is well, but if it really gets over those levels and you're over hedged in the front heavier gamma, you know, you're most likely are going to end up bad in that scenario if it goes over some of the risk levels that you're at. So as an institution, it's a fine line that you walk to. It's not like immediately as you hedge

off the book, you guys are good, right? It's like, well, you're running a little bit of risk as well. So is the client. How do you view that and there tons of this is still going on right there's tons of buffered notes and all this stuff today yeah maybe even more than five years ago right um oh definitely more than five years ago absolutely yeah yeah so how do like what can you simplify the the risk those banks are taking are they trying to earn two and a half percent and risking a 1 in 100 chance of losing 20%? What do those numbers look like? I know it's not that simple, so sorry.

I'm not too sure if I could truly accurately frame it that way. But I will say that there is an amount of risk that any institution, self-signed institution, takes on when they're kind of systematically printing exotic notes. And I will, you know, there's a lot of exotic traders that will tell you, too, they try to turn the business into a very systematic one where you could go on the platform, you could kind of pick and choose what you want. And then, you know, if the notional size is well enough, the bank will kind of structure it and print it. And there's a lot that goes into these deals that people don't understand. Like you have a lot of attorneys that need to be involved in certain wording that comes into this. Right. So really getting the term sheet correct. And you're basically systematizing all that and packaging it into one.

So it could just be like a machine. Like, you know, so there's some exotic desks that kind of have that approach with, they just want to boom, boom, get it out, get it out. Right. Which makes me think of mortgage backedbacked securities and the whole industry doing, hey, let's just turn this into a machine and crank out as much as possible. But we all know how that turned out. So I'm not going to get you to say there's some huge risk of a blow up there, right? Well, one thing that is interesting is that that market is primarily driven off of this low interest rate environment, because the way how a

lot of financial advisors look at some of these auto callables is like, okay, it has some sort of a yield to it. So this is another way for us to generate yield. So if you do have a scenario where yields actually start to go up, I'm curious to see how the US exotics market takes that, because I think it will probably be a little bit negative because some people may just look at it and if we have a real moving rates, right, I'm not just talking about the 10 year at like 180, but let's say, you know, whatever happens in a few years, curious to see how three, three 50 in a 10 year about. Maybe, I mean, you know, maybe who knows, right? We, we, we look at, we look at, uh, that as impossible

in today's age, right. Which is a horrible frame of thinking when we, when we say to ourselves, well, yeah, you're crazy for thinking the 10 year could go to three 50. Well, I mean, that's, that's, uh, that's the mentality that we have shifted. That would be an anomaly, right? Right, an anomaly. Right, whereas back in the 80s and 90s, we could have a 1% move in like a week or so. All right, I think I have to have some exotic or some buffered creator on here to talk through all the because what's the client's downside? If Apple goes down in our example, they could lose that full 60 percent on Apple.

Yeah. So they get knocked in. Right. So it's a it's a they have to own it. They're basically short, but they have to own the stock. Yeah. The way how the advisor will structure it on another side as well is interesting. There's other things that they could do where, you know, they're long this name, short this name. So it's a bespoke type of thing that clients kind of. Wouldn't a client be better off just doing it themselves? Couldn't they do it themselves with listed options and not have to pay the big i think when you're keep in mind these are not clients that are generally like you know a million dollars you're talking about like larger clients yeah yeah which you know they're probably not going to waste their time and go out and just

sell downside put protection in the listed option space adoption space. So learned all that on the exotic desk. And then finally said, I'm going out on my own starting Ambrose group. Yeah, yeah. So I think what started to happen was we started understanding that the market microstructure was changing. And this was something that myself and my three other partners felt very, very strong about. We started noticing that there's this dislocation with excess variance in the front of the term structure. And the market carried this sense of reflexivity based on a few things. One would be this dealer gamma hedging. With the increase in derivative exposure, that's become so much more prominent. So the reflexivity that you have in the front of the term structure has been so much stronger. And then I think the

second main thing is just this shift towards systematic investing by some of the pension funds and some of the other large money institutions on the buy side. So it really had us understanding that, well, when the market makes these moves, it makes these moves very violently and it makes it very quick. So what we understood was, well, there's a natural mispricing when you think about kurtosis and you think about the tails in the listed option space. So we actually decided to start up the Ambers Group, which is a vol art fund that's primarily focused on statistical outliers in the U.S. equity market. So we primarily positioned the book to be long gamma within two week to about two month listed options. And primarily we're buyers of very cheap skew and cheap wings in those areas. So we're the crazy guys buying tails.

But to offset, you know, the bleed, we have a few strategies that we run that are generally short vega in some sort of a risk defined type of way where, right? But we'll just stick with the listed security. So GameStop and AMC, but talk through that. Like, I don't think you guys grab those names in particular, right? So the trick there is knowing which, where are those outliers going to happen? Yeah, no, so we actually did. So January was a good month for us because we were playing some of the right tail skew and some of those. So really what we serve as for our clients is sort of protection. Right.

So we have like family offices or institutions will look at us as their type of downside protection if the market kind of tanks. But we are also open to buying right tail skew in some special situations that we see kind of warrant it um so in january when we started noticing some of these dislocations my partner and i we have certain models and certain screeners and whatnot uh that we use on the intraday base and we were seeing the models kind of light up for these names and i remember there was a few times where i was just like yeah get these things off my screen because you know like what is that you know what is this 400 ball right i'm not trading this uh but when you backed into it and you understood the way how some of the other people were positioned and some of the momentum

that was behind it and when you started backing in and seeing some of the prints that were coming through certain routes that they were coming through, you started understanding that, well, there's actually some institutional money behind this, and there is some sort of fragility and, you know, there's a good amount of reflexivity with people outside. So, you know, we should buy right tail skew there, even though it was tremendously expensive. You know, at one point, there are certain situations that warrant you to literally just position yourself in the tails. So that was a scenario that, you know, we did pretty well on in January. But in terms of your overall thesis for when you started the group, was that there's anonymities, it's mispriced just on the left tail or both tails? No. So we had this belief that you'll see this excess variance in front of the term structure both ways.

So we do believe right tail skew has this excess variance as well. But we do feel that, you know, really towards where we serve is more so for protection for the clients. So it's more natural for the stairs up and the elevator down. Exactly, exactly. So we'll buy some right tail skew here and there, you know, but that's not really what we're setting out to do. It's mainly to the downside.

And talk through this excess variance in the short term. So you're just saying it's like Corey Hofstein's liquidity cascades and that kind of thing, right? Of like once everyone starts heading for the exit, it's going to be swifter and faster than previously. Yeah, exactly. And that's really why we, the way how we look at the book is it's it's pretty simple. It's focused on areas that give you the largest amount of Delta notional that

you're shelling out for your theta, focus on areas that are leptokurtic, which means the market is mispricing and kind of thinking that this event can't happen, and really be positioned for the highest payout possible in the front of the term structure. I think what a lot of other vol shops do, which I personally, you know, I kind of don't really like is playing the one month to six month vol, you know, two year vol as a tail risk fund. I don't think that that's really a good way to kind of play it when the market has shown you that there's so much fragility that when you get these unwinds, it happens in a very rapid movement. So what we said is, okay, let's focus on the highest payout that we could possibly get. Let's focus on the largest gamma that we could get. And let's literally just relock and load it by using absolute return strategies to offset the

cost to carry. So if we have a few absolute return strategies in our back pocket that we use as traders, we could take that money that we make from there and fund the front of the term structure. So if we bleed on out, it's fine because it doesn't really matter the money that we're making here, we fund there and it's an ongoing cycle. And the goal is to be roughly even if there's no outliers or slightly positive or slightly negative or what is that? I would say the goal is to be slightly positive uh we feel pretty strong about you know some of the absolute return strategies that we have in our back pocket um for the longer process of time so we would aim to be slightly positive um but you know slightly positive slightly down that's ideally you know that that little range uh that we like to stay in

until you get one of those type of outlier events occur. And then talk through me how you think about, right, when I hear like, oh, we're going for the biggest payoffs, we're going for, I'm like my 20-year-old self in the casino in Vegas, like trying to do the 30-team parlay or something, right? So like there's tons of things that have huge payoffs, but the odds of it happening are so minuscule. Right. So how do you weigh that? Like statistically it could, maybe it will never happen, but it still has great payoff odds. Connection. Yeah. So, you know, we, we also hold this belief where we remove our, uh, our quant hats and put on our trader hats where we look at the environment and we try to price things where we actually think is realistic. So even though let's just say SPX hundred, sorry, SPX 1800, you know, puts for next week, our quote unquote tail risk, that's not something that

we'll be buying. So we run certain scenario analysis and we run certain like what we like to call reflexivity tests. So we could have an idea if we look at things from a Bayesian type of lens, if we look at it from like a Bayesian type of lens to say, okay, there's condition A, here's condition B, and this is where the market is pricing condition C. If this happens, what's the probability of this happening? And then how does that affect the probability of this happening? So that's based on certain things like positioning within not only dealer positioning, but who's holding the name? Why are they holding the name? Who are the larger agents in there? So having an understanding towards that and then pricing it. So we're not buying, like I said, SPX 1800 puts for next week. We're trying

to price things that have shown its face before, but the distribution has turned into a leptokurtic one where the market is saying, no, that can't really happen anymore. But we've seen in the past that it has happened. And just as a way for me to think about it, you're basically betting like there's the market saying there's a 5% chance of this happening. We think it's a 15% chance. Exactly. And what do those numbers look like? Could it be a 1% versus a 2% chance?

What's that spread you need in order to pull the trigger? Yeah. Without giving away the secret sauce. But is it a huge spread, a small spread? No. So I would say that, you know, when the, when we have a, an idea or, you know, I would say a positional imbalance where we know that, Hey, if this, if this happens, it's giving a 15% chance for this happening. And if it happens, then this is actually, you know, not a one Delta, but it's

actually a, I don't know, 12% chance. Yeah. We'll look at that and we'll say, okay, well, where can we get the best value? And then we'll start looking at pricing and we'll start looking at the amount of Delta notional that we could get. So as an example that I use, the actual theta to Delta notional, that's a big kind of like little spot check ratio that we do where we say for easy math, if we're shelling out a hundred bucks worth of data, we want, if it gets to that strike, the Delta notional to be a thousand times. So we want the thousand times the data that we're shelling out to be the Delta notional.

So if we could get that wing with that value in a leptokurtic distribution in a scenario that we have seen previously from its old distribution that has happened before, we look at that and you overlay a positional imbalance. We look at that and we're like, okay, that's a win. That's good value. That's where we should be seeking value as opposed to, yeah, let's buy downside puts in the arc names or, you know, the tech name. Yeah. Just, it's like, it's like an advanced version of the value trap though. Right. Of like, I'm getting where I spend two years of like, I got tons of value. I bought everything cheaper than I thought it was worth,

but if nothing pays out, you're still like left holding the bag, but that's why you have the other component right um not to be too much of a gambling addict but i i come back to like the uh calcuttas where you buy the teams in the uh march madness you know and i actually came up a little model and i assign a value to them and you're in the live auction and at the end of the day i'm like oh i got these 10 teams all at a lower value. You know, I got them in the auction at a lower value than I had them in my sheet. And then all of them lose in the first two weeks. And you're like, oh, I still had great value, but I didn't get any payout.

But that's just options, right? That's just part of it. Yeah. I think the other thing, too, is to think about like true implied beta, you know, what will carry the heaviest beta during a self, because, you know, what's different to the scenario that you're laying out as opposed to like financial markets is that when things go down, right.

Correlations come to one, the entirety of the market is going to come down. So it's like, you know, I use this scenario talking about that the big short, when you think about what Jamie Mai did, you know, from Cornwall capital where those guys bought the triple a tranches instead of the you know triple c because they understood that well if it's going to fall apart we might as well seek out the best value because when things go risk off the entirety is going to risk off yeah so you know where can we hold this best value when correlations do come to one

so then you're buying as much of this as you can offset the delta um with an eye towards we don't want to buy too much because we have to cover that bleed so talk through the cover the bleed side of the of the book as you call it which is you show your trader roots every time we talk and you talk about the book most other managers are like the strategy and the models you're like the book the book yeah yeah for sure uh yeah so we we look at it in terms of um uh coverage so we run like our daily shocks and slide values so you know we run through certain like historical scenarios and we take like an average on that and we just want to make sure that if this scenario occurs is our book really going to return x amount you know are we positioned

to return 300 are we positioned to return 400 and look you can't be 100 sure on these type of things right you can only forward project so much because it's just how the market works um but it gives you some sort of a frame or an idea as to know like where you're at uh so we kind of assess the vol landscape and we'll say okay how much funding do we need this month to make sure that the book is positioned well? So that's obviously based on vol of all pricing, skew pricing, VIX pricing, yada, yada, yada, equity vol pricing. And then we'll come to a number and we'll come to a budget that we have. And let's say the budget is 2% or 1.5%, whatever it is. We'll look at our short volatility side and we'll say, okay, well, this is how much we need to cover. How much far are we putting up at our short volatility side and we'll say, okay, well, this is how much we need to cover.

How much far are we putting up for the short volatility book? And then we kind of peer those two off together and we say, okay, this should cover this. Uh, if we lose double both ways, this is how much we're going to lose here. This is how much we're going to lose here. And the beauty of what we do, everything is risk defined, right? So you don't really have to worry about like, uh, basis breaking, which are standard type of relative value of all trading where you could have something along the lines of where, you know, maybe say the the firm where we look at is like, OK, trader first, which is manage risk first and then quant after. So that's really the focus is, you know, use some of these absolute return type of strategies to mitigate the bleed. So, you know, when we are doing well with the absolute return strategies, the portfolio looks pretty, pretty. And but those those are actually selling ball.

So, yeah, our core strategy is a cap short vega. And I just want to reiterate that. Right. It is short volatility strategies. And we have a few derivations where we one, we're running a longer holding period. And two, we have a medium frequency intraday strategy that we run for the short volatility stuff. And then we are actually rolling out a special situation strategy that my partner has been trading for quite some time now. So we're pretty excited to roll that out next month because we think that that's just another absolute return. And that's inside the absolute return. So that would be like, hey, earnings is coming out. We can position such and such a way.

So this is a little bit different. Not the new program, but just in the current program in terms of the absolute return because you have some special situations in there, right? So this is a little bit different one. It's basically uncorrelated to vault. It's an absolute return type of strategy that's a little bit uncorrelated to vol. I'll tell you when we get off of this one. A little bit proprietary. Okay. And just to reiterate that, because you're a tail risk fund, you said earlier, you're long vol, but here you are selling vol inside of it so how does that work capped versus uncapped yeah so i think you know statistically i say this all the time

statistically the right side of the trade to be on uh is really that uh short volatility side um you know when you look at the stats behind it uh but what most people do incorrectly is that they do this in a uncapped type of way. So you have situations where correlations go to one, you know, maybe you're short of straddle or something like that, or, you know, you're short of an upside call or something, and you just get blown out because your risk is not defined. So what really we look to do in our book is we look to define the risk on our short volatility stuff. So we cap the risk there and we leave our long gamma stuff uncapped. So if VIX were to go to, you know, like a hundred

or a million, it doesn't matter to us because the short volatility stuff gets capped. And then the long volatility stuff that's uncapped will obviously pick up, you know, convexity and skew and get going. And it's capped by just you're selling a call maybe and buying a further out call uh yeah pretty much you know we could uh we could be a short stock on um on a name or something like that and you know long a call uh or short a call spread on um you know a vix ctp uh you know we have certain derivations strategies that we run that way but pretty much it's it's all risk defined where risk defined spread spread off yeah um and so then the danger is like some sort of pin risk right like if it hits the short side

right up to that capped amount but the long side doesn't move at all that's where you could lose on both sides. Exactly. Exactly. So like, as I was telling you before, so January, we had a really good month where, you know, we were able to buy right tail skew and some of these names and, you know, our book did well. But a month like February and March, if you look at those types of environments, a fund like ours, you know, we're not doing great numbers as people would think as like, you know, oh, you're a tail risk fund. Well, volatility moves up a few points.

You should be up. Well, that's not true. Right. That's not true. And if you see most ball managers, like they kind of replicate the same type of like belly risk, I call it where what happens is that if volatility moves up a little bit, right, it starts moving up. You lose on your short Vega stuff, but if it doesn't have follow through, there's no pickup in the wings.

And if there's no pickup in the rings, then you run the risk of losing both ways where you lose on the short Vega and you lose on the wings. And this is why we like to like reset our risk and be thinking about max risk because we know that that belly risk happens. So if it does happen, how much are we going to lose both ways, right? We don't want a scenario where, you know, we wake up one month and we're down like five, 6% for our book, you know, maybe for other people's books that that's okay. But for our book in a monthly base, we don't

like taking on that type of risk. So, right. So both, I want to cap the short volatility, but then if I'm admitting that there will be times where I'm wrong on both sides and make sure that that risk is acceptable level. Exactly. Exactly. So you got me thinking, I'm going back to the convexity side like how do you square uh put skew and in theory those are overpriced because of puts you and other people buying those wings right yeah so i think uh i think when people think about like value in vol there's so many different ways to look at it, right? Like I could look at something and I could say, this is cheap. And another guy could look at it and he could say

that this is rich, right? Depending on, okay, how are we, how are we analyzing this? Are we comparing, you know, this equity vol to SPX vol? Are we, you know, comparing the $10 put by, you know, the at the money put, are we going on a two-year look back a five-year historical look back like how do you define rich and cheap so our way of defining it you know and i've heard some people say this too where obviously you know when you think about equity vol skew the wing is going to carry the heaviest ball right so if this is trading at a an 80 vol or something somebody may look at that and they'll be like oh that's trading at an 80 vol how something, somebody may look at that and they'd be like, oh, that's trading at an 80 vol. What makes you think that that's cheap? But my way of viewing richness to cheapness could be different. I could be looking at that wing and I could be speaking in terms of actual theta to

delta notional in the rest of the equity fall space. So one thing that we don't do is just buy SPX puts or SPY puts or something like that. We try to be very creative in the equity vol land based on these positional imbalances. Right. So we'll figure out what has a positional imbalance. Why is it there? And, you know, we'll try to buy skew or kurtosis there. So give an example of that. So you're going to individual like the energy ETF or something like that. Yeah. Yeah. Preferably the names. You know, like we, we, we do have some ETFs and stuff that we carry on the book, but we enjoy actually buying

the names because if we could have a good idea as to, okay, is there a positional imbalance there? Who is really the main participants in the name? What are they carrying? If there is a risk off scenario, will they be unloading? It could give us a better implied beta number to look at and say, well, this could really get to here. So as opposed to you doing that, if you're doing that on SPX, is so much white noise going around. It's like it's so much of that, that it's really hard to refine it. So when you think about equity volume, you're thinking about value. Well, I know who the main market makers are in this name.

I know who the main holders are in this name. And I know who, you know, like the large participants are in this name. So I know that if this event happens, there's going to be a deleveraging in this name as opposed to SPX. And by the event, that could be a new Iraq war, a pipeline bursting of whatever, or are we talking major market event, right? Like to me, the danger in that strategy is, so what I'll ask first,

what are those betas look like? They're over two or they're one point something? Yeah, so it depends. It depends. It depends. It really depends. It's a variance that that carries in there and we don't hold the actual beta number too heavy because obviously you know it's it's a flawed way of looking at things as well right you can't say but uh our implied beta will have an assumption based on that um but yeah that's why we like to spread it

out as well right we right? We're not completely locked in on one sector where we're saying, for example, some of the healthcare vol that you see right now in the equity vol land is pretty cheap. Like Pfizer's, if you look at Pfizer's SKU compared to the rest of the actual equity market, like downside protection is pretty cheap. So do we want to be buying all of our exposure and all our convexity in Pfizer and healthcare? No. So, you know, we'll buy a little bit here. We'll pick up some here.

And we try to be creative on the ECNs as well. You know, we'll figure out, you know, where some of the algo's and, you know, what market maker wants to get an order done and things of that sort so we could get the best value uh and then you know we'll try to diversify the book a little bit but as a mandate so then it's the s&p could be down 30 and the few names you're in or the many names might not deliver or vice versa s&P maybe barely moves and those names deliver. Mm-hmm. Yep.

So that's a little, which we talked before, like this basis risk. So there's a little basis risk there on the downside. Yeah. Hence why you try to diversify a little bit when you're buying those type of wings. And I always think of it like a mustache, right? Like a reverse mustache, right? So that belly is where you lose and then the wings. Yeah, exactly.

But you're saying it's a little more skewed to the downside. So it'd be like a tilted mustache. Yeah, that way. You should grow one of those, be like a handlebar. So you can be on pod and be like, okay, see, right here's where we might lose money. Right here's where we pick up. No, you know who took that over, man?

Corey Hofstein ran with that for a while. Hopefully he's listening to that. He became the king of that mustache. Of the handlebar? Yeah. That's not a good look. We mentioned the dispersion. I called you the Duke of dispersion.

Just explain quickly what you mean by the dispersion trade. Yeah. So standard dispersion trade would just be like, you know, you are, let's say, short some sort of index vol or ETF vol and you're long the components inside of it. So, you know, you could replicate this to a straddle where maybe, you know, you're short the straddle on an index or ETF and you're long the straddles on the components and you could do this like delta weighted or Vega weighted, you know, depending on what really your appetite is. But pretty much that trade loses when correlations come to one. you know, that's really the bad part of that trade is when correlations come to one. It's betting on dispersion within the index, right? That these certain names are going to move a lot more than the index itself. If you're long the dispersion trade, if you're short the dispersion trade, vice versa.

Yeah. And so you're essentially are a dispersion trade, right? Because you have those single names on the downside and not necessarily the index on the upside. Yeah. You know, we used to do a lot more flavor of relative value and dispersion early on. That was something that we engaged in quite frequently. But as we started looking at our book and what we could deliver to clients, we thought that there was just better value in kurtosis and skew trading. We thought as you know, in relation to like what we do and what we're good at, you know, we understand that landscape a whole lot better than a lot of other people's. We understand when certain things are getting triggered through the ECNs. We understand why certain people need to get order done.

Who are the people that are getting the order done on those certain things. So we started saying to ourselves, well, what is no, yeah, sure. We could be positioned and play relative value ball. We could still trade dispersion and stuff like that, but where do we offer the biggest value add for our clients? And that's why we kind of just gravitated solely to just say yeah just focus more so on on on the kurtosis and the skew trading and what would you say to like well surely like citadel's got a room full of people that are getting the same information on where the positioning is and the who needs to get out of the trades all like basically everything you just said

like what does that look like of who cares we can both do well on this trade or is that a competition you need to win what does that look like well one of my partners the next citadel guy so hopefully he's doing their stuff no no i think uh i think um when you think about uh that area of the market it's like the wild wild west. So there's not too much competition because it's very hard to play the wings. A lot of people get discouraged by it because it's constant losers. But I think people who understand the dynamics and think about things from a mathematical perspective will understand the value in there. And if you understand things from a mathematical perspective will understand the value in there. And if you understand things from a mathematical perspective and you understand that option pricing is just

naturally flawed because it's going off of, you know, backward looking false stats and also in that, well, the environment is showing you that there's so much variability and excess variance that's taking place in the market. It's a good place to be positioned in. So when you add all those things together and you think about like, well, it's really the wild, wild West because not too many people like to make markets in there. Not too many people like to be buyers there. So it's just,

we're saying it's too niche basically for these big firms to go down that rabbit hole and get into the, like what are the vine look like in some of the wings? It's light. It's light. You know, I mean, especially post-COVID, pre-COVID, you definitely had a good amount of wing sellers that were just looking to, you know, just generate some sort of a yield. But post-COVID, it's, nobody really wants to be playing there. So when you do see something there, and I could give you guys an example, you know, it could be something as simple along the lines of like, let's say, let's say you're, you're seeing on screens, a market maker has a position that they need to fill where they're long and HYG put spread, let's say, you know, a 10 by five delta. And I'm just making that up just for argument's sake.

They're long the 10 Delta put, right? Short the five Delta put. So they're better sellers of the five Delta put, right? So if you're a wing buyer like me and you're able to spot that, you could kind of go on screen. So the ECNs, you know, you could kind of, you know, put your bid out there and pull it a little bit and kind of see, you know, how they would react, how would the algo react? And maybe you could get a good fill on that because naturally they want to be better sellers of that, but you don't need to buy, right? We

don't have to buy that. We're not forced to buy that, but if you want to come down to our bid, you know, we'll gladly, we'll take that if it's, if it's the value that we're seeking. And so speaking of all this flow and dealer hedging, we talked on our GameStop episode a lot and just talk through, if you could, like what now versus whenever that was January with all that craziness versus five years ago when you were at BMO, like have we seen a phase shift to all this dealer hedging? When you say that, you mean like, is it stronger now? Yeah. Is it stronger? Is it moving the market more? Is it right? Are we going to see more and

more GameStop type scenarios? I guess just talk through what you're seeing in the current, yeah, the current dealer hedging space. Yeah. So I don't know about the GameStop scenarios directly, mainly because I think it offered a very unique opportunity where people were receiving their pandemic checks and people were still in this pandemic environment where they wanted to trade. And I think all of those things just lined up for the retail trader to have a really good push. And then the Reddit crowd was just, you know, very together. So it just added up for this big bang. Not too sure if we're going to continue to see things like that, you know, where a Reddit crowd just comes in and moves names.

I know they've been trying on a few other names and it just kind of hasn't really been working. So I think that may be losing its steam. But when you think about the reflexivity and some of this, this impact from the dealer hedging, it's still there. I think just that GameStop and AMC thing was just a little more emphasized. But there are certain scenarios where you will see these events keep happening in single stocks. One big event that a lot of people kind of forget was Tesla's rally back towards the end of 2019 when Tesla had that huge run up. A lot of that was some dealers that were just off sides because people were just buying Tesla calls.

Dealers were short. And I think a lot of people underestimated how far that could go. Now, don't get me wrong. There was a lot of momentum and there was a lot of other factors behind that. But the dealer hedging absolutely did emphasize that. So I think we will still see events occur throughout, you know, the time going forward in single stock land. And I've been so, you know, I've tried to emphasize this a lot with people when they're thinking about value, like you should be thinking about it in like single

stock land, not just the spx complex because sometimes that like gamma hedging it could be very impactful for single name ball um but i think you'll we'll continue to see that going forward maybe just not to the extent of where you just have this whole like reddit community just completely engulfed by it seemed for a minute there like this was all that mattered in the market. It's like, no, all you need to know is where the flow is and then you, right? But that seemed a little too simple at the same time.

Exactly. Yeah, exactly. So if you had put a number on it, one to 10, the power of that dealer hedging and shaping the market, where would you throw it? So in that scenario, I would say 10. I would say the game stop scenario that's as strong as you'll see because it was just so many things just lining up uh for you know big

momentum big flow other buy side guys and you know prop desk looking to take advantage of it and dealer edging being offside it was just a it was all the ingredients for a big boom uh going forward i would say that uh from one to ten relatively speaking from i don't know maybe the last like 10 years i would say it's probably going to be at like around a seven or a six ish okay right because there's people that we both know right of like that's all that matters like throw away your quant models throw away your values right like the flow is all that matters And then there's people on the other side, which I feel like are getting left behind a little bit that are like, it's all quant. Like none of that matters. Just have your models on the prices. And it seems like you guys are in the middle. Like you're saying trader first. Use the models to inform.

Yeah, absolutely. Absolutely. Like, you know, we're understanding that models break all the time in financial markets and we're never too locked into any one of our models or any type of pricing model of that sort. You know, we try to take a step back and understand the environment and, you know, we use our trader hat to put on our discretionary side, but we also have, you know, the quant-based math models that we carry as well. You know, whether we're looking at things and you know, like I said, from a Bayesian standpoint and pricing things out or, you know, if we're thinking about things from a mean reverting standpoint using like an

ADF test or something of that sort. So we use the models, but we don't let it fully dictate the training. We try to keep that middle ground balance. Um, and now I got to ask you your one pin tweet is your mottos live, breathe, eat, sleep, trade. That's all there is like the NBA to me. So that's a little like anti-millennial. You're also a millennial, right?

So millennials get this bad rap for being, not wanting to work too hard too hard yada yada um you're the antithesis of that getting up what do you get up like 5 a.m or something yeah i'm a pretty um pretty weird guy when it comes to things like that you know i'm generally up around uh sometimes 4 30 a.m um you know i'll take a check-in and markets i'll go and i'll go to the gym with one of my best friends. So we train, we take it pretty serious. You know, next thing I'm back in screens and I'll work for the entirety of the day, evening time, just catching up on stuff. of things that need to be dealt with on the infrastructure side so you know handling those things going through strategy calls and whatnot uh but i truly love the game like there's nothing else i'd rather do like i promise you if you pay me five million more to go in the nba or you know 10 million more to go be an nba player or i just wouldn't take it because uh there's just something about this game that just excites me uh you can do this one for the next 60 years also. Yeah, that's true, right, the longevity in it. But it's just something that, you know, I love.

Like, you could pay me less. I mean, you could pay me less, tremendously less, and I would still want to play this game. The money is just a booster that comes with it, you know. There you go. Get your fee discounts. He said you to pay him less not really um but do you think like you can outwork the competition is that part of your mo

like hey i'm gonna i'm gonna hustle more i'm gonna outwork them and can that work in like a markets environment right like for sure in the athletic sphere you could out hustle someone but there's always gonna be someone with more computing power, with more quants, with more, you know? Yeah. Yeah. So I think that's just my personality. I'm a person that kind of prides myself on having like a really good work ethic. So I embrace work. Like if you give me a tougher challenge, I will, I will appreciate it. So like the tough stuff in the gym, this tough stuff that I've had to deal with when, you know, being a trader on Wall Street or a junior, like, I mean, man, there was when I was at this one fund, I had to wake up at sometimes 1am because we had to be at the office during

earnings season at 2.30am to go through sell research. Like, I've walked that path already, you know? Like, I know what it was like to work at Home Depot and, you know, work at Walmart building construction. And I mean, shoot, there isn't a job that you could tell me that I haven't worked. So the hard work, it's something that's just been, like, embedded in my brain, per se. So I enjoy it now that I'm older.

And, you know, it's not really that hard work. You know, I look at, I look at some of the people in the community that I come from and I look at my life and I say, well, if the hardest thing that I have to do today is trade and, you know, be on seven calls and a strategy call and code up some stuff and, you know, go to the gym compared to what they have to deal with. That's not a tough life at all. That never works with my kids when I tell them that. Like, hey, stop whining.

There's kids without an arm or a leg or this. And they're like, yeah, but it really hurts. I'm like, all right. Right. But I appreciate the sentiment. Well, keep doing it. You're killing it. You're doing great with all the hard

work so let's finish with some favorites here uh favorite new york city restaurant oh man i was not expecting this oh man, man. The six million, right? Favorite New York City restaurant. Oh, man. I know I'm going to take some heat from the partners on this one. We'll come back to that one. No, no, no. I'll hit it. I love Lamani.

I love Lamani. Lamani? Lamani. Lamani. Damn, people are going to be like, man, you're a bougie Wall Street guy. Yeah. Lamani. No, I really like Lamani. I think. Damn, people are going to be like, man, you're a bougie Wall Street guy. Yeah. Lamani. No, I really like Lamani.

I think it's a good spot. That's my favorite spot, actually. Where is that at? I don't think I've ever been there. Man, I don't remember the address. It's right in Midtown, though. Midtown, yeah. Yeah.

Favorite gym in the city? Do you go to a few or you just have your one um so i prefer boxing and jujitsu over the weight lifting but if i had to like do the weight lifting stuff like if that's where we're going i would say i don't like any of the gyms in the city because they're so packed they're so tremendously packed at all times right you're not gonna go like equinox or some that would double down on your uh bougie bougie myth yeah no no uh favorite speaking of the boxing and the jujitsu favorite mma fighter i'm gonna have to say uh gregor gillespie that's uh that's one of my training partners really good dude by the way shout to him. He's probably not even... He won't listen to this, but...

Hey, Gregor. He's a good dude. Good fighter. And he actually competes? He does well? Yeah, he's actually ranked in the top 10 in the UFC right now. Woo. Dude's a really good fighter. I don't follow it at all, so I apologize.

Favorite New York area casino? you've been known to go test your math skills at the casinos right oh man yes yes uh new york area casino i have none i have none well i'm like including up to foxwoods and whatnot, right? Okay. So Mohegan Sun. But I will say my skills at the casino are not good because I'll go there and I'll count cards for eight hours and I'll make a hundred bucks. So I've made a vow to myself that the next time I go to a casino, I'm actually just going to go gamble because this idea to just go there and use math and count cards for eight hours and make 100 bucks it's just it's not fun i always wonder that too of like the big hedge fund guys that are in the world series of poker or something like surely there's better uses of their time like they just want to win they want to beat the game right yeah yeah but yeah the their average earnings, their hourly earnings is quite small.

Favorite book on investing or vol? You mentioned a few earlier. Whoa, that one is definitely, definitely tough. Investing or vol? I have so many. I have so many. Trading Volatility by Bennett. Positional Option Trading by Sinclair are two really good books. Dynamic Hedging by Sinclair are two really good books.

Dynamic Hedging by Tlaib is a really good book. Man, I have a ton of vol books. I don't even know if there's a vol book that I didn't read. But when it comes to like, like the old school guys are going to appreciate this. The new school quants are going to hate me for this. But Reminiscences of a stock operator is just my favorite but man that the mentality behind that uh the trader psychology i just highly suggested to all new traders to just really embrace that like some of the lessons i think about to this day like uh i'll give you a quick little thing there was this one point in time in my career where i

was trading really good uh and i was really looking at the market in that lens of like, yeah, don't worry about it because I can make money next month. You know, my payout next month is going to be great. And it was that crazy confidence that I had. And the market will always humble you once you start thinking about it in that term of like, yeah, it's a piggy bank or an ATM machine. And, you know, Livermore talks about that with him wanting to buy his wife a coat or his wife wanting a coat and making bad decisions to really fund his lifestyle. But, yeah, that that book, it really it really builds pillars on the core trading principles that I think every young trader needs. Yeah, you're you're joined like 30 other people. I've always, that's for sure number one

amongst the, when I asked that question. So in good company. And last but not least, favorite Star Wars character. Yeah, I'll go Obi-Wan. Obi-Wan, all right. I made you Ezra Bridger in there. You're like, who is that? Obi-Wan. Wise beyond his years. Little ambitious, hard worker. I like it.

Obi-Wan. Yep. You got any robes? No, no robes. No robes. No robes. All right, Chris, it's been fun. Best of luck to you. Go enjoy your Friday night. Back to the gym. Are you going to relax? Yeah, probably get something to eat. Back to the gym tomorrow morning. Nice. All right. Good luck to you. Thank you so much, Jeff.

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