The Second Leg Down

Acknowledgements

The following people have had a profound effect on the contents of this book. I would like to thank them directly.

My wife Lalitha (using her considerable literary talents) edited large sections of the book and improved the flow of the writing.

Diego von Buch provided the initial impetus for the book, calling me from his French chateau and offering a hedging mandate just as market conditions were deteriorating in 2007.

Jerry Haworth deserves a great deal of credit for introducing me to the subtleties of long-dated options and his imprint can be found in Chapter 5.

Marc Malek exerted a large influence on the regime index and trend following sections.

Roy Niederhoffer also played an important role, as a source of original ideas about trend following strategies.

Michael Howell's insights into the relationship between “funding liquidity” and the market cycle were the inspiration for Chapter 8. I can only hope that I have not watered down his ideas to the point where they are unrecognisable.

Pablo Carbajal also deserves special thanks, as he has been the sounding board for many of the ideas presented in this book.

I hashed out many of the ideas in this book with Lee Collins, who encouraged me to put things in simple and concrete terms. His way of talking about trades had a large impact on Chapter 3.

Alex Manzara and Aaron Brown were kind enough to read the entire manuscript, providing valuable perspective on options execution in extreme market conditions.

My mother ...