Making Money from Market Chaos | Inside the Volatility World with Kris Sidial

In this episode of Excess Returns, Jack Forehand and special guest host Brent Kochuba dive deep into the world of long volatility and tail risk strategies with Kris Sidial, founder of the Ambrus Group. Kris shares invaluable insights from his experience managing volatility-focused strategies and navigating major market events. 🔑 Key Topics Covered: How long volatility strategies work and their role in investment portfolios Behind-the-scenes look at managing vol strategies during market crashes The August 2023 volatility event and what really happened Evolution of the derivatives market and its impact on trading The truth about market liquidity and short volatility positioning How retail options trading has changed market dynamics Kris provides a fascinating glimpse into how vol traders operate during market stress events, explaining how these strategies aim to deliver explosive returns during market crashes while minimizing losses during normal conditions. He also discusses the psychological challenges of running these strategies and the importance of having both quantitative and discretionary elements in volatility trading. Whether you're an institutional investor, retail trader, or just interested in understanding market dynamics better, this episode offers valuable perspectives on an often misunderstood corner of the investment world. 00:00 Introduction and Overview 02:14 What it's like running a long vol strategy during market crashes 03:29 The psychology of trading during market stress 04:43 "The Super Bowl" - When volatility traders make their money 06:23 Having a plan for market stress events 07:34 Understanding tail risk and long volatility funds 09:20 How these strategies actually make money (repricing of risk explained) 11:26 How to limit losses between major events 15:29 The CalPERS story - Real world example of hedging fatigue 20:14 Why these strategies can't work as ETFs 23:21 The real value of tail risk hedging in portfolios 31:57 Behind the scenes of August 2023's VIX spike to 60 37:05 Impact of zero DTE options on market structure 39:14 The current state of short volatility trades 44:29 Avoiding the perma-bear trap 46:17 How derivatives create forced buyers and sellers 54:19 How hedge funds are using options differently now 57:25 Understanding dispersion trading and market size 1:02:14 Key lesson for average investors 1:04:08 Current market risks and broker intervention Follow our guests: Kris Sidial: @KSIDIII Brent Kochuba: @spotgamma #investing #trading #volatility #finance #markets #options #riskmanagement