In today’s episode, Jason Buck is joined by Stefan Wintner of DUNN Capital, to discuss volatility as an asset class, the evolution of the VIX from its inception until now, some of the mechanics behind the VIX, the relationship between the VIX and the S&P 500, some thoughts on ‘volatility relative-value’ trading, the reliability of the VVIX, building and running models during different market environments, thoughts on kurtosis and skew, and volatility as a necessary component for a large Trend Following firm.

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In this episode, we discuss:

Volatility as an asset class of its own
The journey of the VIX from its early days until now
Analysing the relationship between the VIX and the S&P 500
What’s known as volatility relative-value trading
The usefulness of the VVIX
Operating models during different market and economic environments
Kurtosis and skew
The need for Volatility strategies as part of a diversified investment portfolio

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Episode TimeStamps:

00:00 - Intro

02:05 - Why should somebody add volatility strategies into their portfolio?

04:48 - Do you consider Volatility to be an asset class of its own?

05:58 - What was it like during the early days of the VIX market?

08:28 - What is the VIX, and what is the calculation that goes into the VIX?

14:07 - Tell us a little bit about the relationship...

VOL03: The Evolution of the VIX ft. Stefan Wintner

Top Traders Unplugged

VOL03: The Evolution of the VIX ft. Stefan Wintner