The early world of VIX trading can be closely likened to the wild, wild West – or as some say – fun. Competition was lower, there were less algos and AI integration, and overall had lower volume and liquidity. And now – the VIX is an established and globally recognized gauge of U.S. equity market volatility that’s widely traded. There’s some similarities, and some differences, but there’s not a plethora of people who traded (and are seen as experts) in both. Enter former founder of Blue Diamond – turned head of Principalium Capital Ag – Alex Orus. Alex has been trading the VIX futures nearly since the beginning in 2004, and still trades it today. In this episode we’re talking all about Swiss country music, personifying your trading models, the volatility of volatility, Roger Federer, negative interest rates hurting Europe’s youth, Jeff’s pop-up helmet invention, the good old days (2010) in the VIX, and why convexity matters..
Principalium Capital AG’s Volatility Strategy operates across three facets of the volatility trade: 1. Collecting the roll yield premium present in the VIX futures curve, 2. Positioning the portfolio for spikes in volatility during a market crash, 3. Capturing the mean reverting properties of volatility.The strategy systematically adjusts exposure to these different concepts dynamically, by combining 25 different individual models on different time frames applied to each of the three facets.
Find the full episode links of The Derivative below: