This site used to be a blog. It had letters on it, and opinions. I took it down, and I am starting again with something narrower: notes on markets read through derivatives and volatility, a record of the shocks I have traded, and, from time to time, a letter like this one.
What I read first
Before I read a macro view, I look at what the options market is paying to insure itself. Against what, on which side, and until when. Spot tells you where the market is. Options tell you what it is afraid of, and how much that fear costs.
Four numbers carry most of it: implied against realised volatility, skew, the term structure, and the premium around scheduled events. I wrote them up in a note.
Options are not always right. In June 2016 the market had priced Remain, and the VSTOXX had peaked a week before the Brexit vote. The consensus was wrong on the vote. The volatility was already spent. Reading both at the same time is the job.
What the shocks have in common
I started in 2007. Since then: subprime as a junior FX trader, Greece in 2011, Brexit, February 2018, March 2020. From the outside they look nothing alike. From the inside they share three things.
There is no time to learn. In March 2020, our first NAV for outside investors was struck in the week Covid crashed markets. Without experience, a book can blow up in two days.
The risk sits in the path, not at the expiry. A structure can show a clean payoff on its last day and still be cut before it gets there, by margin calls and mark-to-market.
The number on the screen is not always a number you can trade. On 5 August 2024 the VIX printed 65.7 before the US open while its futures stayed below 35. The VSTOXX sits above the VIX on most days; on the November futures, between 30 July and 26 October 2026, that gap averaged zero.
How we run money now
In 2023 the first fund I co-founded returned its capital to investors. I took six months to rethink everything and kept three rules: rules before discretion, a strategy readable every morning, and a team rather than a stack of talent.
Above the rules sits one principle: every strategy runs on our own capital first. More than 25 run in our family office today. Only the ones that can absorb outside capital without losing their edge are managed for external investors, and our capital stays in alongside them.
What is on this site
The From the desk page puts the twelve shocks from 2008 to 2025 side by side, with the numbers, how long the return to calm took and, where I was on a desk, what it looked like from there. The notes follow what I publish on Instagram and LinkedIn, in full.
Gregory Saey
For information only. Not an offer or solicitation. Nothing on this site is investment advice or a recommendation.