58 min listen
Dennis Davitt, CIO, Millbank Dartmoor Portsmouth
FromAlpha Exchange
ratings:
Length:
54 minutes
Released:
Oct 6, 2022
Format:
Podcast episode
Description
Dennis Davitt has spent more than 3 decades in option markets. Getting his start in the crude pit on the NYMEX, he soon thereafter moved to equity derivatives, a product he’s run risk in across both the sell-side and buy-side through many cycles. Through our conversation, we learn of the strong appreciation for liquidity – especially as it relates to dynamic products like options – that Dennis has gained through the many vol events he has traded through, especially during his long tenure running equity derivatives at Credit Suisse.In his rendering, it is from these episodes that we see two consistent outcomes emerge. First that investors become overleveraged and second that books wind up mismarked in some way. Here he cites the concept of “liquidity delta”, a metric that incorporates the impact of one’s own presence and that of similar participants in markets. Impressed by the efficiency of prices in US-listed option markets, Dennis sees little obvious opportunity to extract arbitrage profits. Instead, he sees option markets as a vehicle to produce an intended risk outcome.And here, we shift to the work that Dennis is doing as CIO of Millbank Dartmoor Portsmouth, a firm he founded in 2020 to provide a risk-managed equity alternative through an options overlay. We explore the factors driving the flat skew in S&P 500 options as Dennis contrasts today’s setup versus that which drove the famous XIV blowup in early 2018. I hope you enjoy this episode of the Alpha Exchange, my conversation with Dennis Davitt.
Released:
Oct 6, 2022
Format:
Podcast episode
Titles in the series (100)
Vineer Bhansali, Founder and CIO of Long Tail Alpha: Armed with a Ph.D. in Theoretical Physics, Vineer brings a deep understanding of financial mathematics to developing trading strategies in the derivatives market. At the same time, he’s learned real lessons over the years about the inherent uncertainties in markets – the surprise Fed tightening in 1994, and the LTCM meltdown in 1998 were formative experiences for Vineer that now guide a risk philosophy that pays careful attention to the tails. Our in-depth discussion on the extremely low level of market volatility in 2017 uncovers Vineer’s framework for evaluating the risks that can emerge when volatility collapses. by Alpha Exchange