As uncertainty weighs on investors, GIM’s
derivatives team examines the relationship between volatility and the
volatility risk premium. Derivatives Portfolio Managers Sean Heron,CFA, and
Stacey Gilbert review seven basic truths about volatility as well as what the
options market is saying about probabilities for year-end S&P 500 results.
They also explain how put-write strategies could capture the volatility risk
premium while contributing some downside protection.
Sean Heron – Portfolio Manager, Derivatives:
Sean E. Heron, CFA, is a Portfolio Manager, Options & Derivatives,
for The Glenmede Trust Company, N.A., and a Portfolio Manager for
Glenmede Investment Management LP. Sean manages the secured options
products and leads a team responsible for providing clients with options
and some alternative
strategies.
Mr.
Heron began his career with Goldman Sachs. In 2003, he left the firm to
help former Goldman Sachs Managing Director Thomas McGowan launch
McGowan Investors, LP.
Mr. Heron graduated
from LaSalle University with a B.A. in Finance and an M.B.A in
Accounting. He received his Chartered Financial Analysts designation®
in 2004.
Mr. Heron is a board member of the CFA
Society of Philadelphia and serves as an instructor for the CFA Exam
and as an Adjunct Professor at Rutgers University.
Stacey Gilbert – Portfolio Manager, Derivatives:
Stacey
Gilbert is a Portfolio Manager on the Derivatives team for Glenmede
Investment Management LP (GIM). She co-manages the firm's Secured
Options and Global Secured Options strategies. Ms. Gilbert contributes
to the overall investment approach for the strategies and serves as a
key point of contact for clients. In addition, she works with the team
on the development of derivatives-based strategies that seek to harvest
liquid alternative risk premia.
Prior to
joining Glenmede, Ms. Gilbert served as the Head of Derivative Strategy
at Susquehanna Financial Group. In this role, she led a team responsible
for providing market commentary, actionable ideas and trading
strategies driven by catalyst events, breaking news, and sector
analysis. During her more than two decades at Susquehanna, she held
several leadership positions, including key senior positions on the
trading desk and the American Stock Exchange, trading both options and
ETFs. Gilbert also led the company's Education department
Ms. Gilbert earned a Bachelor of Arts degree in
mathematics and a minor in economics from Dartmouth College.
