VOL04: Profiting from Short-Term Volatility ft. Bastian Bolesta

Published: Nov. 18, 2021, 11 a.m.

Special guest, Bastian Bolesta, joins Jason Buck today to discuss why volatility strategies should be added to our portfolios, how to keep improving as a trader while not over-optimising your systems, how recent large equity selloffs have affected Bastian\u2019s approach to the markets, the average duration of his long volatility trades, how to weight recent data versus long-term data, trading VIX contracts intra-day, shorter-term Trend Following, momentum trading, mean-reversion strategies, and the cash efficiency of intraday models.

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In this episode, we discuss:

  • Why we should be invested in volatility strategies
  • Improving over time but not over-tinkering
  • How much markets may have changed in recent years
  • The average duration of volatility trades
  • Recent data versus long-term data
  • Shorter-term Trend Following
  • The benefits of cash-efficiency within intraday models

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Episode TimeStamps:

00:00 - Intro

02:09 - Why should somebody add volatility strategies into their portfolio?

04:09 - How do you overcome the problem of getting better but not wanting to tinker too much?

11:03 - How has recent market behaviour affected your approach to volatility trading?

22:05 - What is the average duration of your long volatility trades?

28:02 - How do you weight recent data versus long-term data?

31:07 - How do you look at trading intra-day VIX contracts?

37:39 - What gave you the...