On today's episode of Forward Guidance, Jack Farley is joined by Kris Sidial, Co-CIO of the Ambrus Group, a volatility arbitrage focused firm founded in 2020. After noticing how the micro structure of markets had changed due to passive investing, buy side flows, primary dealer hedging post 2008 & ever increasing amounts of QE by the Fed, Kris founded Ambrus Group to take advantage of periods of increased volatility.

Kris takes us all the back to March 2020, discussing the market mechanics which led to such a rapid sell-off. Now in 2022, as markets face increasingly uncertain headlines & the Fed begins tightening, Kris gives his outlook for 2022, sharing his key indicators to look out for, to avoid your portfolio being hit by volmageddon 2.0.
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Barclays' VXX price jump drives double-digit gains for volatility arbitrage fund: https://www.reuters.com/world/uk/barclays-vxx-price-jump-drives-double-digit-gains-volatility-arbitrage-fund-2022-03-16/
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Timestamps:
00:00 Introduction
02:13 How Market Structure Has Changed
08:37 Market Reflexivity
11:32 VIX Volatility
14:17 Ambrus' VXX Trade
21:27 Structuring A Volatility Trade
27:28 Structuring A Long Volatility Fund
30:44 The Fed's Effect On Market's
35:32 2022 Market Volatility Outlook
38:33 Structured Products
41:38 Misunderstandings About Volatility