Volatility in the Markets – Can it be Tamed?
With Bani Arora MEng '05
Wild speculations about the uncertain future of the global economy drives markets into tumultuous territory, confidence erodes, panic strikes and fear grasps its hold on the human mind. When markets go up and down like a cheetah after a gazelle, this frenzy gets quantified in volatility. The question becomes - how can this volatility be tamed?
As in any money market, a trader is led by the fervent desire to apply science and systems to pierce the darkness of the future and foretell adequately the march of time. Since the negative correlation of volatility to the underlying index gets reinforced when markets plunge, investment strategies using instruments like options and VIX derivatives serve as an effective, portfolio-diversifying hedge.
Volatility itself can be traded as an Asset Class, and for the last decade, Bani Arora has been managing the risk-return relationship of this asset class using various instruments including derivatives, variance swaps etc. She is Managing Director at Ampluss Capital where she currently trades equities and derivatives across various asset classes to manage volatility. Previously, she headed the global exotics trading desk at BNY Mellon, running a book of $600+ million. Prior to that, as Portfolio Manager at Morgan Stanley, she developed and managed a covered call strategy on an underlying portfolio of $1+billion. Ms. Arora started at Morgan Stanley on the proprietary trading desk structuring volatility trades. Earlier in her career, she structured and traded energy derivatives at firms including Enron, closing deals over $250 million. Bani has spoken at several large international investment conferences and has also chaired the first Investment in Derivatives conference in India. Ms. Arora holds a Masters in Financial Engineering from Cornell University where she was the recipient of two merit-based scholarships.
6:00pm reception, 6:30pm lecture, gratis. Advance reservations required. Members and guests are invited to dine at The Club with Ms. Arora following the lecture. The cost is $40 per person, inclusive of tax, gratuity and one glass of wine with dinner. Dinner reservations are required 48 hours prior to the program. Same-day cancellations and no shows will be charged.
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