Robert Bogucki, Co-Head of Global Trading and Head of Derivatives Trading, Galaxy Digital Holdings

If “theta is the rent on gamma,” for Robert Bogucki, trading options from the long side has always been worth the inevitable pain from carrying positions during benign periods in markets. Trained in mechanical and aerospace engineering, Rob made his way to Goldman Sachs at a time when the Street was just starting to take on individuals with math and physics background. Starting on the currency options desk at Goldman, Rob would spend time at Morgan Stanley and Merrill Lynch before ultimately leading the global macro trading desk at Barclays, running a large customer and proprietary FX options book. Musing that a “bachelor’s degree in crowd psychology is worth more than a PhD in economics”, Rob stresses that modeling architecture like Black Scholes is important as a starting point for valuation, but we need to appreciate the limitations of models. We review a few fascinating risk events in FX derivatives that Rob traded through. Remembering how disrespected risk premium was in the early summer of 2007, for example, Rob bought vol on the Brazil Yen cross, a pair in which hedge funds had piled into in order to earn the sizable interest rate differential. While difficult to carry, the market ruptures that materialized late summer as the Quant Quake went into full sway made this trade highly profitable.  We speak as well about taking in as many data points across the asset classes for clues as to what might sponsor the next risk event, a strategy Rob executed by roaming on different floors to get a feel for what colleagues were up to. Today, Rob is co-head of global trading and head of derivatives trading at Galaxy Digital, a firm focused on various businesses in the crypto landscape. In his role of pricing options on digital assets such as Bitcoin and Ethereum, Rob has plenty to say about these interesting vol surfaces and the interaction of various actors who are net sellers or net buyers of volatility. In his view, derivatives market liquidity is steadily increasing and a virtuous cycle is in place. These products will become more important as the extraordinary thrust of Central Bank actions are creating a broad rethink of the fiat monetary system.  I really enjoyed this episode of the Alpha Exchange and hope you do as well.

Om Podcasten

The Alpha Exchange is a podcast series launched by Dean Curnutt to explore topics in financial markets, risk management and capital allocation in the alternatives industry. Our in depth discussions with highly established industry professionals seek to uncover the nuanced and complex interactions between economic, monetary, financial, regulatory and geopolitical sources of risk. We aim to learn from the perspective our guests can bring with respect to the history of financial and business cycles, promoting a better understanding among listeners as to how prior periods provide important context to present day dynamics. The “price of risk” is an important topic. Here we engage experts in their assessment of risk premium levels in the context of uncertainty. Is the level of compensation attractive? Because Central Banks have played so important a role in markets post crisis, our discussions sometimes aim to better understand the evolution of monetary policy and the degree to which the real and financial economy will be impacted. An especially important area of focus is on derivative products and how they interact with risk taking and carry dynamics. Our conversations seek to enlighten listeners, for example, as to the factors that promoted the February melt-down of the VIX complex. We do NOT ask our guests for their political opinions. We seek a better understanding of the market impact of regulatory change, election outcomes and events of geopolitical consequence. Our discussions cover markets from a macro perspective with an assessment of risk and opportunity across asset classes. Within equity markets, we may explore the relative attractiveness of sectors but will NOT discuss single stocks.