Sun, Aug 28, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Maple Leaf on how to profit from volatility

Friday, September 07, 2012

Benedicte Gravrand, Opalesque Geneva:

Michael Wexler, veteran volatility trader and co-founder of Maple Leaf Capital, explained in a recent Opalesque TV interview how investors can profit from a high volatility environment. Maple Leaf Capital is an investment management company founded in 2002, with principal offices in London and Hong Kong, and which manages client assets in the areas of volatility trading, illiquid loans, fixed income momentum arbitrage, macro risk, and crash overlay strategies.

According to Wexler, it is possible to profit from volatility because the dislocation in the pricing of options between fair value and actual trading is greater at higher volatility levels.

"The first thing to note about the volatility space is that the bulk of participants in it are not volatility traders," he explains. 99% of investors buying and selling calls and puts, he continues, do so with a directional view in mind. They are not sensitive to the volatility (vol) component. Paying 5% or 6% for a call option will not make much of a difference for them. But for the volatility traders – such as those at Maple Leaf – this difference is huge, and it is one where they can extract value if the option is over or under-priced. Those 99% of investors are what he calls "non-economic traders".

"If you buy a call on......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Strategies - The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I, Hedge funds get more pushback on terms as enthusiasm for strategy wanes[more]

    The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I From IBTImes.co.uk: To illustrate a strategic gap common to today's portfolio managers, George Sokoloff, PhD, founder and CIO at Carmot Capital, proposes an interesting thought experiment – a breakdown of

  2. Institutional investors - Investors set to increase allocation to private debt, With investment income key, Richmond retirement system faces funding challenges[more]

    Investors set to increase allocation to private debt Investors are set to increase their allocation to private debt, with 60% revealing they believe the private debt market will grow over the next 12 months, according to a new study by Elian, a leading funds services provider. 41%

  3. Investing - Hedge funds snap up banks, unload Apple, Some of hedge funds' favorite stocks are finally starting to beat the market, Einhorn's Greenlight shifts positions, Treasury yield climbs to two-month high as Fischer joins hawks, 9 stocks smart investors put their money in last quarter[more]

    Hedge funds snap up banks, unload Apple From Barrons.com: Prominent hedge funds have a newfound love of big banks, and some have a distaste for shares of Apple, regulatory filings released last week show. The filings suggest that the funds have been pivoting their portfolios in recent mon

  4. Chesapeake energy seeks $1 billion loan to refinance debt[more]

    From Bloomberg.com: Chesapeake Energy Corp. is seeking a $1 billion loan as the company battered by cratering fuel prices and credit downgrades takes a step to address its $9 billion debt load. The natural gas producer hired Goldman Sachs Group Inc., Citigroup Inc. and Mitsubishi UFJ Financial Group

  5. Institutions - Nordic pension funds magnify focus on unlisted and direct investing, building up teams[more]

    From IPE.com: As bond yields remain at low or negative levels, pension funds and other institutional investors in the Nordic region are stepping up efforts to find higher returns by adding more unlisted investments to portfolios and are expanding in-house teams in order to do this, according to new