John Marshall, Head Of Derivatives Research, Goldman Sachs Alpha Exchange podcast

Content provided by Dean Curnutt. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by Dean Curnutt or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://staging.podcastplayer.com/legal.

Alpha Exchange »
John Marshall, Head of Derivatives Research, Goldman Sachs

4d ago 1:00:46

MP3•Episode home

It was a pleasure to welcome John Marshall, Head of Derivatives Research at Goldman Sachs, to the Alpha Exchange. Our conversation explores a number of critical topics starting with the meaningful growth of equity funds deploying options as part of a risk management overlay. John describes how covered call ETFs and systematic vol-selling funds have quietly reshaped the supply/demand dynamics for index optionality. He makes the point that this cohort—unlevered, yield-focused, and largely buy-and-hold—is proving more resilient than the vol-selling programs of past cycles, with implications for both market stability and the vol risk premium.
Next, John shares his team’s efforts to find what he calls “asymmetry alpha” in the options market, focused on event-driven, catalyst-based trades at the single-stock level. We learn that option pricing is increasingly being informed by company-specific fundamentals. John explains how his team connects metrics like free cash flow yield, return on equity, and event-driven catalysts to the pricing of volatility and skew.
Rather than relying solely on historical vol or peer group comparisons, this approach seeks out asymmetries in option markets that are grounded in the evolving health—and risk—of individual balance sheets. John argues that these additional, company specific variables are often overlooked by traditional volatility frameworks and as a result, can help identify mis-pricings in the tails, informing more precise use of calls, puts, and risk reversals.
I hope you enjoy this episode of the Alpha Exchange, my conversation with John Marshall.

219 episodes

#Business News #The Alpha Exchange With Dean Curnutt #MBA #Finance #Investing #Volatility #Financial Markets #Risk Management #Dean Curnutt #Trading #Business #News #Allocators #Derivatives