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cover of episode 285 · Greg Magadini - Cashing in Through Exploiting Volatility

285 · Greg Magadini - Cashing in Through Exploiting Volatility

2024/8/6
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Chat With Traders

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#personal finance and investment#blockchain and cryptocurrency#investment banking#professional transition#embracing chaos#friendship dynamics People
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Greg Magadini
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Tessa
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@Tessa : 成功的交易需要强大的心理素质,能够接受亏损,并对市场风险有敬畏之心,不能盲目追求表面上的完美盈利。 @Greg Magadini : 我拥有15年的衍生品交易经验,专注于波动性交易。2008年金融危机激发了我对金融市场的兴趣,之后我开始学习期权交易,并逐渐发现期权交易是一个持续学习和探索的过程,机会更多。我最初被期权交易中卖出看跌期权的策略所吸引。我的背景是金融,拥有经济学和会计学学位,并正在攻读FRM证书,同时注重学习编程和数据分析。我在2015年末开始独立交易,将5万美元的资金增值到130万美元,年均收益率约为120%。我的风险管理策略是每年提取利润,而不是追求资本增值。波动率交易的核心是均值回归,低波动时卖出波动率,高波动时买入波动率。在低波动时期卖出波动率和在高波动时期卖出波动率的盈利能力相当。我在大学期间就开始了交易生涯,早期经验主要在于管理他人的资金。在SMB Capital的实习经历让我学习了日内交易策略和心态准备的重要性。芝加哥的自营交易模式与纽约不同,芝加哥更注重对交易员的早期投资和技术支持。我在Chopper Trading学习了国债基础交易策略,这是一种类似期权交易的策略。我在DRW交易谷物波动率,利用商业对冲者的交易流获取优势。我在自营交易公司的工作中主要从事波动率交易,并非主动寻找波动率交易机会。我选择独立交易是因为自营交易公司的工作存在局限性,并且我希望探索加密货币市场。我最初进入加密货币市场是因为其价格持续创新高,且市场参与者较少。加密货币波动率交易是一个公平的竞争环境,存在许多传统市场中不存在的套利机会。加密货币市场存在与传统市场不同的波动率倾斜度,为套利提供了机会。在2020年第四季度,比特币的看涨期权价格远高于看跌期权价格,这为套利策略提供了机会。比特币的波动率远高于传统市场,且波动率倾斜度变化更大。在牛市和熊市中,加密货币市场中的套利机会会发生变化,但均值回归和风险溢价仍然存在。加密货币市场的隐含波动率往往高于实际波动率,期权价格也因此被高估。在加密货币市场中,期货价格与现货价格之间的价差(基差)可以提供套利机会。在市场崩盘期间,例如FTX危机,套利机会会发生逆转。在市场抛售期间,购买折价期货并持有,可以获得持续的收益。加密货币市场中的套利机会的存在是因为其独特的资本成本和交易基础设施。比特币现货ETF的出现将改变加密货币市场的套利机会。比特币ETF期权的推出将减少现有的套利机会。高杠杆交易不会阻碍比特币价格上涨,但会创造新的套利机会。可以通过分析期货未平仓合约来识别高杠杆交易者的清算点,从而制定交易策略。加密货币期权市场规模较小,伽马交易对现货价格的影响有限。我经常进行方向性交易,并利用均值回归策略管理风险。在2022年末的市场暴跌中,我会买入价内看跌期权并卖出价外看跌期权。价外期权对波动率的敏感性高于价内期权。在极端市场环境下,存在一些可以长期持有的交易机会。在震荡市中,可以利用加密货币市场中事件的定价效率低下进行套利。加密货币市场中事件的波动率定价往往存在偏差,这为套利提供了机会。我的交易收益在不同市场阶段相对稳定,但也会受到市场波动和自身操作的影响。在2021年,我因为错误的风险管理而遭受了重大损失。我在2021年的损失让我更加重视风险管理和均值回归策略。我不会管理他人的资金,因为我更喜欢灵活性和低压力。我创立并出售了Genesis Volatility公司,这得益于我独立交易的资金和时间灵活性。交易盈利并非线性增长,要做好心理准备应对亏损。交易员需要学会处理盈利和亏损两种情况。交易员要避免使用药物或不良饮食来应对压力。良好的风险管理有助于控制交易压力。交易应该被视为一个长期学习和自我发展的过程。我最大的挑战是克服交易中的负面情绪。我目前正在学习如何更好地持有盈利仓位。

Deep Dive

十五年磨一剑:一位加密货币期权交易员的经验与反思

我是一位拥有十五年衍生品交易经验的交易员,专注于波动率交易。2008年金融危机让我对金融市场产生了浓厚兴趣,随后我开始深入研究期权交易。我很快发现,期权交易并非一蹴而就,而是一个持续学习和探索的过程,其复杂性也意味着蕴藏着更多机会。

最初吸引我的是卖出看跌期权的策略。我的金融背景包括经济学和会计学学位,目前正在攻读FRM证书。此外,我还积极学习编程和数据分析,这些技能都为我的交易提供了强大的支持。

2015年末,我开始独立交易。凭借5万美元的启动资金,经过八九年的努力,我的账户盈利达到130万美元。我的年均收益率约为120%,这并非通过长期投资实现,而是主要依靠短期交易。我的风险管理策略是每年提取利润,而不是追求资本的持续增值。

波动率交易的核心在于均值回归。我的策略是:低波动时卖出波动率,高波动时买入波动率。一个有趣的发现是,在低波动时期卖出波动率和在高波动时期(例如2020年疫情期间)卖出波动率,其盈利能力竟然相当。

我的职业生涯始于大学期间在小型自营交易公司的工作,那时我主要学习的是如何管理他人的资金。在SMB Capital的实习经历,让我深刻体会到日内交易策略和心理素质的重要性。

在芝加哥的几家自营交易公司(Chopper Trading和DRW)的工作经历,让我对交易有了更深入的理解。芝加哥的自营交易模式与纽约截然不同,他们更注重对交易员的早期投资和技术支持,这与纽约的单纯分成模式形成鲜明对比。在Chopper Trading,我学习了国债基础交易策略,这是一种具有期权特征的策略,利用国债期货和现货之间的价差进行套利。在DRW,我则交易谷物波动率,并学习如何利用商业对冲者的交易流来获取优势。

我选择独立交易,是因为自营交易公司的工作存在局限性,而且我渴望探索当时还处于早期阶段的加密货币市场。我最初进入加密货币市场,是因为其价格持续创新高,且市场参与者相对较少,这让我看到了巨大的机会。

加密货币波动率交易,在我看来,是一个相对公平的竞争环境。与传统市场相比,它存在许多套利机会,这些机会源于市场参与者较少,以及信息不对称等因素。

加密货币市场与传统市场存在显著差异。例如,加密货币的波动率倾斜度与传统市场大相径庭。在2020年第四季度,我曾抓住过一个绝佳的套利机会:比特币的看涨期权价格远高于看跌期权价格,这与传统市场的情况完全相反。

比特币的波动率远高于传统市场,而且波动率倾斜度的变化也更加剧烈。在牛市和熊市中,套利机会都会发生变化,但均值回归和风险溢价等基本原理仍然适用。

我发现,加密货币市场的隐含波动率往往高于实际波动率,导致期权价格被高估。此外,期货价格与现货价格之间的价差(基差)也提供了套利机会。在市场崩盘期间,例如FTX危机,这些套利机会会发生逆转,这为交易员提供了新的策略。例如,在市场抛售期间,购买折价期货并持有,可以获得持续的收益。

加密货币市场中套利机会的存在,与其独特的资本成本和交易基础设施密切相关。然而,随着比特币现货ETF的出现,以及未来比特币ETF期权的推出,这些套利机会将会逐渐减少,传统金融机构将拥有更低的资本成本和更完善的风险对冲工具。

高杠杆交易不会阻碍比特币价格上涨,但它确实创造了新的套利机会。通过分析期货未平仓合约,可以识别高杠杆交易者的清算点,从而制定相应的交易策略。

加密货币期权市场规模相对较小,因此伽马交易对现货价格的影响有限。然而,它会影响期货市场,特别是Deribit等交易所的永续合约的资金费率。

我的交易策略并非完全回避方向性交易,我经常进行方向性交易,但我会利用均值回归策略来管理风险。在2022年末的市场暴跌中,我曾采用买入价内看跌期权并卖出价外看跌期权的策略。价外期权对波动率的敏感性高于价内期权,这使得这种策略能够有效地利用波动率的变化。

在极端市场环境下,也存在一些可以长期持有的交易机会。例如,在2020年疫情期间,我曾抓住过一个长期套利机会,利用远期合约和永续合约之间的价差进行套利。

在当前的震荡市中,我主要利用加密货币市场中事件的定价效率低下进行套利。许多事件的波动率定价往往存在偏差,这为套利提供了机会。

我的交易收益在不同市场阶段相对稳定,但也会受到市场波动和自身操作的影响。2021年,我因为错误的风险管理而遭受了重大损失,这段经历让我更加重视风险管理和均值回归策略。

我不会管理他人的资金,因为我更喜欢独立交易带来的灵活性和低压力环境。我创立并出售了Genesis Volatility公司,这得益于我独立交易积累的资金和时间灵活性。

总结: 成功的交易并非一帆风顺,需要强大的心理素质,能够接受亏损,并对市场风险保持敬畏之心。持续学习、精进技能、完善风险管理,以及对市场趋势的敏锐洞察力,才是长期成功的关键。 盲目追求表面上的完美盈利,只会适得其反。 交易是一个长期学习和自我发展的过程,而非一夜暴富的捷径。

Key Insights

Why did Greg Magadini choose to focus on options trading rather than just trading stocks?

Options trading offered a never-ending pursuit of learning, with complex dynamics like non-normal distributions, volatility skew, and term structure. This complexity provided more opportunities for edge compared to simpler stock trading.

How did Greg Magadini start his trading career?

Greg began his career trading for a small prop firm while in college, managing a five-figure account with a goal of making 25% per quarter. He later worked at Chopper Trading and DRW in Chicago, focusing on volatility trading.

What was Greg Magadini's key strategy for making consistent profits in volatility trading?

Greg's core strategy was mean reversion in volatility. He would sell volatility when it was low and buy it when it was high, focusing on timing rather than direction. This approach allowed him to profit from the natural tendency of volatility to revert to its median value.

How did Greg Magadini turn $50,000 into $1.3 million in profits?

Greg bootstrapped his trading by starting with $50,000 and focusing on short-term volatility trades. Over nine years, he consistently pulled out profits, aiming for a median P&L of 120% per year, which he achieved without a down year.

What attracted Greg Magadini to the crypto market?

Greg was drawn to crypto because it was a new asset class with no historical data or professional traders dominating the market. This created inefficiencies and opportunities for edge that didn't exist in traditional markets.

What was Greg Magadini's most profitable trade during the 2020 bull market?

During the 2020 bull market, Greg profited from the extreme skew in crypto options, where calls were trading at 40 volatility points above puts. He used strategies like buying Bitcoin, buying a protective put, and selling a covered call to lock in a 1:3 risk-reward ratio.

How did Greg Magadini handle the stress of trading?

Greg managed stress by not trading other people's money, which reduced pressure. He also took breaks after losses, avoided substances, and focused on long-term development rather than short-term gains.

What challenges does Greg Magadini face as a trader?

Greg struggles with holding onto winning trades for too long due to nervousness as profits grow. He is also aware of the emotional volatility that comes with trading and works to manage it through breaks and self-reflection.

What advice does Greg Magadini have for aspiring traders?

Greg advises traders to expect volatility in their P&L and to respect the game of trading. He emphasizes the importance of learning to handle both winning and losing trades, as both are part of the journey.

What is Greg Magadini's view on the future of crypto trading?

Greg believes that as traditional finance flows into crypto, inefficiencies like the variance risk premium will diminish. However, he sees opportunities in volatility events and the introduction of new products like spot Bitcoin ETFs and their options.

Chapters
Greg Magadini shares his journey from prop trading at DRW and Chopper Trading to trading his own book, bootstrapping crypto volatility with options, and achieving consistent profits. He discusses his strategies, including mean reversion in volatility trading and taking advantage of market inefficiencies in crypto.
  • $50,000 to $1.3 million in profits over nine years
  • Consistently profitable, with an average annual return of 120%
  • Focus on short-term trading with a hard-line risk management strategy
  • Mean reversion as core component of volatility trading
  • Counterintuitive trading: Sell volatility when low, buy when high

Shownotes Transcript

Greg Magadini began his career as a proprietary trader for DRW Trading and Chopper Trading in Chicago and traded with SMB Capital as well. He later took a bold step, venturing out to trade his own book, bootstrapping crypto volatility with options and turning $50,000 into a staggering $1.3 million in consistent profits over nine years.

In addition to his trading success, Greg co-founded Genesis Volatility – a crypto options analytics company, which caught the attention of Amberdata and resulted in an acquisition. Today, Greg serves as the Director of Derivatives at Amberdata, continuing to leverage his expertise in the derivatives space.

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