Hey guys,
I’m trying to do some research on what kind of strategies a typical macro-fund would execute using options and wondered if you guys could help? If you know of any book/website/publication containing examples of past trades?
Whatever I’ve found so far is a tad too simplistic -most of it being strategies to cover existing equity/bond market exposure. I mean it’s an acceptable trade to put on but the option leg of it is a loss protection and not the primary trade. I’m trying to understand how does a large fund (say Citadel) go about executing their macro-views using options…Surely they’d be doing trades that are more complex than just buying/selling calls/puts or volatility…
I’d guess the majority of funds are using options for delta & outright vol speculation…though I don’t have much to base that on.
Aside from that you can trade rate expectations along the term structure, FX correlation, and a variety of yield curve strategies (steepener/flattener).
Thanks mate but anyone on the forum who knows of any paper/book/etc on example trades, etc?
Try the Treasury Bond Basis by Burghardt - he’s also got plenty of other papers.
cheers - I’ll check it out.
Hedge Fund Market Wizards has interviews with a few macro fund managers. They discuss how and why they implement their trades in certain ways. Worth a read.
Oh yes it’s a nice read - I’ve read 3/4th of the book. Decent but again, it’s not that technical. I’m looking for something between Jim Gatheral and Natenburg…would be nice if one of the macro hedge fund traders/PM’s wrote some books/papers…but I guess they’re too busy sunbathing on a yatch somewhere in ibiza to be bothered about this.
Oh yes it’s a nice read - I’ve read 3/4th of the book. Decent but again, it’s not that technical. I’m looking for something between Jim Gatheral and Natenburg…would be nice if one of the macro hedge fund traders/PM’s wrote some books/papers…but I guess they’re too busy sunbathing on a yatch somewhere in ibiza to be bothered about this.