Alpha Exchange

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 cat