Product Landscape
The markets for S&P Index options and volatility products are structurally inefficient, providing continuing and sustainable opportunities to capture edge and generate alpha.

Volatility levels are inversely correlated to movements in the equity market. This makes the asset class a highly desirable hedging vehicle. Hedgers generally have low product flexibility because they need to generate a specific risk profile that relates to the needs of their portfolio. As a result they tend to be price-takers and are more likely to create pricing inefficiencies. While this is an important driver of pricing inefficiency it is also a source of significant liquidity. The aggregate demand for the product coupled with a limited supply of liquidity providing participants creates a compelling investment opportunity.

Growth in the VIX based products has been explosive over the last few years. The 2008 global financial crisis heightened awareness and demand for market hedging. In addition product availability is fairly recent (in 2009, Mike and his team at Barclays launched the VXX, the VIX ETN, effectively opening the competitive market for VIX products).

Investment Strategy
Sixteen years of trading volatility and managing the largest volatility desk on the street has provided Mike with an unusual combination of experience, skill and knowledge of trading volatility products. His desk experience has also led to an unparalleled relationship network that Mike now will be using to source liquidity.

Glenshaw Capital's investment approach is a direct result of Mike's unique experience running the Lehman Brother's and Barclays Capital index desk. Managing the significant flow demanded the consideration of a much wider range of the esoteric or higher order risks that affect the asset class. Critically, it also provided an ideal platform to observe how they behave when scaled. As Mike and his team created hedging trades for these risks, they also began to use these strategies to generate positive revenue as stand alone positions. Additionally, Mike's role as manager of the desk meant that he had to create trades which would perform even when not actively traded, as was the case when Mike was away from the desk performing his other responsibilities as a business manager. The final result was a principal strategy comprised of hedging trades that can be either actively traded or can stand alone until expiry.