Mar 10, 2021
In this episode, we talk with Kris Sidial, CIO and founder of Ambrus Group. The Ambrus Group is a volatility arbitrage focused firm that was founded in 2018. The firm takes pride in having a math driven ethos that specializes in leveraging an in-depth knowledge of volatility skew while applying a discretionary twist to quantitative volatility strategies.
We talk about Kris's background working different prop desks at banks. How Kris believes that the market microstructure has evolved and changed since 2017. How to sell capped vega to fund the buying of out of the money wings with unique dispersion trades. How chaos theory can be represented by positional inflection points by a multitude of players on the volatility space.
I hope you enjoy Kris's insights as much as I did...