Share this page!

Kris Sidial Profile picture
Twitter logo
2 Sep, 4 tweets, 1 min read
Just want to clarify something here

My thoughts on twitter are not a push to get people to invest in Ambrus

I have a thesis that I truly believe in and stand by

If clients are interested in us, nice! If not that is perfectly fine

There is a bigger message behind this
I am aiding people to label and use volatility as an asset class. Idc if it is with a competitor of ours, an RIA, family office etc....it does not matter. Just make sure that you have a true hedge in your portfolio that can handle a real market event.
I want folks to look back and say

"Damn, that guy was actually right, this market has changed and did make large moves in short time frames, and if you did allocate to vol/ tail risk, you were able to generate a large return & or protect your portfolio effectively"
I truly believe there is no other market like this and if you are thinking about statistical outliers based on positioning in the equity space, you can set yourself up for a large payday that will eventually come, as long as you are in something that can sustain the bleed.

• • •

Missing some Tweet in this thread? You can try to force a refresh
　

Keep Current with Kris Sidial

Kris Sidial Profile picture

Stay in touch and get notified when new unrolls are available from this author!

Read all threads

This Thread may be Removed Anytime!

PDF

Twitter may remove this content at anytime! Save it as PDF for later use!

Try unrolling a thread yourself!

how to unroll video
  1. Follow @ThreadReaderApp to mention us!

  2. From a Twitter thread mention us with a keyword "unroll"
@threadreaderapp unroll

Practice here first or read more on our help page!

More from @Ksidiii

Kris Sidial Profile picture
16 Sep
Most vol guys understand this but there seems to be this disconnect with the rest of the world.

It’s frustrating to see the sell side reports printing that “skew is rich”, “tails are rich”.

Ok..... relative to what ?
Sure if you want to run a 20 year look back and show me that tails are priced rich compared to prices in the early 2000’s, 90’s, etc sure. Great.... but that is not the same market as the market in 2021. This market is completely different.
The microstructure, the regulatory implications, the sentiment, the participants, the agent’s role, even the assets etc. It is a completely different market.

We have seen this market move a few pct in a matter of a few hours. It is a completely different beast.
Read 6 tweets
Kris Sidial Profile picture
14 Sep
Seems like a lot of social media warriors & fake freedom fighters coming out to comment on this. Actually a great time to see who is full of sh*t or who cares about an active change.
Myself and the other partners at Ambrus recently teamed up with a small non for profit organization that helps the youth down in Georgia through athletics. They are very small but Coach Ken is a great individual who is making a true change by guiding the young men
Into areas that are not only based on athletics (emphasis on education and life after sports). These kids come from bad areas and broken households (just like I did). The funding for these types of smaller programs are often overlooked but these are the ones that have the largest
Read 14 tweets
Kris Sidial Profile picture
14 Sep
(Coming from a minority who grew up in a low income housing area).... I really really really wished AOC put as much effort into creating actionable change as she does with these self promotion marketing campaigns. This whole Robinhood persona with no change is getting old.
I have family members & close friends who are still dealing with the hardships of living under the poverty line.

It’s a brutal life that many really don’t understand. I have dealt with and seen some really messed up things in my life.
So when helping people turns into a gimmick or a prop, it strikes a nerve with me.

Truth is, I was a fan of AOC when she first hit the scene. I was rooting for her to really shake things up in an intelligent way that would ultimately benefit the people.
Read 5 tweets
Kris Sidial Profile picture
9 Sep
As vol compresses it opens up the susceptibility of the market to be harmed from a quick variance shock.

Ex: quick volga move -> hard vanna impact -> immediate hedging -> driving the asset further in that direction.
The whole premise of the reflexivity of the market being impacted by “gamma hedging” works BOTH ways.

This means that once the market gets in the gutter, it becomes much more difficult for it to get out, as the appetite for put buying increases.
Ex: market drops 7%, the likelihood of it dropping 15% is statistically heavier than we have seen in any other market (positioning wise).

The problem why most don’t give this the validation that it deserves and change their frame of thinking is because this upward drift is so
Read 7 tweets
Kris Sidial Profile picture
8 Sep
Equity vol downside skew is not perfectly negatively correlated to the asset price rising.

This means you have scenarios where the asset is up and the downside smile is steeper.... why?

Let’s think in simple supply & demand terms
As the asset rises, there is an increased need for hedging as well.... asset goes up rapidly, more people become fearful of it falling and will actively bid the downside protection (which steepens the smile).

People often tell me “tails are rich right now”
Are tails expensive on a historical look back? Yes, are they expensive relative to the price action we have been seeing, and current environment, no!

We have seen this market move a few pct in a matter of a few hours. The recency bias is very strong with this crowd.
Read 5 tweets
Kris Sidial Profile picture
4 Sep
About a year ago I went on Corey Hoffstein’s flirting with models podcast. Outside of my thesis, one important change in the microstructure that I listed was the shift in speculative sentiment due to a change in the demographics of the buying power.
Simply put, this means that millennials (and under) are more inclined to make speculative investment decisions.... this is aided by the confirmation that they were correct because asset prices continue to rise. Like a gambler on a roulette table more winnings means more gambling.
The important thing to note is how this translates over to asset prices. This means that we should expect asset price changes to demonstrate wider variance. This means price changes can move more rapidly and more obscure than we are used to seeing.
Read 11 tweets

Did Thread Reader help you today?

Support us! We are indie developers!

This site is made by just two indie developers on a laptop doing marketing, support and development! Read more about the story.

Become a Premium Member ($3/month or $30/year) and get exclusive features!

Become Premium

Too expensive? Make a small donation by buying us coffee ($5) or help with server cost ($10)

Donate via Paypal Become our Patreon

Thank you for your support!

Follow Us on Twitter!

Like this author's thread?

Get emails when @Ksidiii has new unrolls!

Check out other threads from @Ksidiii!

Read all threads by @Ksidiii

:(