After a review of the Jan. 18-21 market activity and macro news, DoubleLine’s Samuel Lau and Jeff Mayberry explain and explore how to trade volatility, particularly in light of their discussion in the last episode on the futures curve, which is one way to trade the Volatility Index (VIX) (16:08). In their deep dive, they take a look at the history and methodology of the VIX (commonly referred to as the Fear Gauge) and how the index correlates to performance of S&P 500 Index options, what it means to short or go long volatility, ways to gain exposure to the VIX and how a sudden spike in volatility led to February 2018’s Volmageddon.
In their recap of markets for Jan. 18-21 (2:07), no sector was spared from a sea of red. The U.S. Treasury yield curve flattened (4:21), with the 10-year down and the shorter end of the curve up. Commodities enjoyed a strong week (8:56), including gold. Bitcoin was down. After a fraught weekend of NFL playoffs and food-based headwear, next week’s events (34:57) will include housing price and PCE numbers, an advanced estimate of fourth quarter GDP and a much anticipated Federal Open Market Committee meeting.
Mr. Mayberry joined DoubleLine in 2009. He is a Portfolio Manager on DoubleLine’s strategic commodity strategy while working in portfolio management and trading for derivatives‐based and multi‐asset strategies. Mr. Mayberry is a Strategist on the Fixed Income Asset Allocation (FIAA) committee and a contributing member on our Global Asset Allocation and Macro committees. He also co-hosts DoubleLine’s weekly Monday Morning Minutes (Twitter @DLineMinutes, Minutes@Doubleline.com) podcast. Prior to DoubleLine, Mr. Mayberry was a Senior Vice President at TCW for nine years within the Mortgage Group, where he specialized in portfolio and fund monitoring and analytics. He holds a B.S. in Engineering from Harvey Mudd College and an M.S. in Financial Engineering from the Peter F. Drucker Graduate School of Management at Claremont Graduate University.
Mr. Lau joined DoubleLine in 2009. He is a Strategist on the Fixed Income Asset Allocation (FIAA) Committee and a contributing member on the Global Asset Allocation and Macro committees. Mr. Lau is a Portfolio Manager on DoubleLine’s strategic commodity strategy while working in portfolio management and trading for derivatives-based and multi-asset strategies, including DoubleLine's Shiller Enhanced CAPE®, Shiller Enhanced International CAPE®, Real Estate and Income, and Multi-Asset Trend strategies. He also co-hosts the Sherman Show (Twitter @ShermanShowPod, ShermanShow@Doubleline.com) and Monday Morning Minutes (Twitter @DLineMinutes, Minutes@Doubleline.com) podcasts. Prior to DoubleLine, Mr. Lau was a Vice President at TCW where he worked under Jeffrey Gundlach as a Research Analyst in the Mortgage Group. He holds a B.S. from the University of Wisconsin, Madison and an MBA from the Marshall School of Business at the University of Southern California.