Garrett T. Desimone
- Courses5
- Reviews18
- School: University of Delaware
- Campus:
- Department: Economics
- Email address: Join to see
- Phone: Join to see
-
Location:
University of Delaware
Newark, DE - 19716 - Dates at University of Delaware: November 2013 - January 2017
- Office Hours: Join to see
Biography
University of Delaware - Economics
Experience
University of Delaware
Instructor in Introductory Macroeconomics
responsible for instructing two sections of introductory macroeconomics. Topics include unemployment, inflation, national income, monetary and fiscal policy issues.
University of Delaware
Graduate Tutor
responsible for assisting undergraduate students in comprehension of intro level Micro and Macroeconomics, Calculus I & II, and Linear Algebra.
University of Delaware
Instructor in Economic Issues and Policies
Responsible for instructing two sections. Applies economic concepts to contemporary issues, problems and policies. Covers both macro and micro topics.
University of Delaware
Instructor in Fundamentals of Finance
Responsible for instructing two sections of finance. Topics include financial statement analysis,bond and stock valuation, time value of money, capital budgeting, valuation and the cost of capital.
OptionMetrics
Quantitative Research Associate
Garrett worked at OptionMetrics as a Quantitative Research Associate
OptionMetrics
Head of Quantitative Research
Garrett worked at OptionMetrics as a Head of Quantitative Research
Education
University of Delaware
Doctor of Philosophy (PhD)
Financial Economics
University of Delaware
Master of Science (M.S.)
Economics and Applied Econometrics
University of Delaware
Instructor in Introductory Macroeconomics
responsible for instructing two sections of introductory macroeconomics. Topics include unemployment, inflation, national income, monetary and fiscal policy issues.University of Delaware
Graduate Tutor
responsible for assisting undergraduate students in comprehension of intro level Micro and Macroeconomics, Calculus I & II, and Linear Algebra.University of Delaware
Instructor in Economic Issues and Policies
Responsible for instructing two sections. Applies economic concepts to contemporary issues, problems and policies. Covers both macro and micro topics.University of Delaware
Instructor in Fundamentals of Finance
Responsible for instructing two sections of finance. Topics include financial statement analysis,bond and stock valuation, time value of money, capital budgeting, valuation and the cost of capital.University of Maryland Baltimore County
Bachelor of Science (BSc)
Mathematics
President's Fellow Scholarship
Publications
Speedy Mean Reversion - The VIX's Return To Normalcy
Seeking Alpha
The mean reversion of the VIX- the speed at which it returns to its long run average, is faster than it’s ever been. This implies that while the VIX is at historically low levels, any news shocks that cause the VIX to jump will fade out extremely quickly. Traders should not get spooked by spikes in the VIX. A fleeting investor is likely to miss out on a large upside.
Speedy Mean Reversion - The VIX's Return To Normalcy
Seeking Alpha
The mean reversion of the VIX- the speed at which it returns to its long run average, is faster than it’s ever been. This implies that while the VIX is at historically low levels, any news shocks that cause the VIX to jump will fade out extremely quickly. Traders should not get spooked by spikes in the VIX. A fleeting investor is likely to miss out on a large upside.
Index Delta Neutral Straddle Returns during Macroeconomic Announcements
Dissertation
I construct SPX delta neutral straddles and analyze their return behavior on news days. Announcement day returns comprise over 77% of the total negative annualized returns on straddles, implying a vastly larger premium for bearing aggregate volatility risk during news releases. Surprisingly, straddles earn highly positive returns during Federal Open Market Committee (FOMC) meetings, which indicates mispricing or exposure to a different priced risk factor on these days.
Speedy Mean Reversion - The VIX's Return To Normalcy
Seeking Alpha
The mean reversion of the VIX- the speed at which it returns to its long run average, is faster than it’s ever been. This implies that while the VIX is at historically low levels, any news shocks that cause the VIX to jump will fade out extremely quickly. Traders should not get spooked by spikes in the VIX. A fleeting investor is likely to miss out on a large upside.
Index Delta Neutral Straddle Returns during Macroeconomic Announcements
Dissertation
I construct SPX delta neutral straddles and analyze their return behavior on news days. Announcement day returns comprise over 77% of the total negative annualized returns on straddles, implying a vastly larger premium for bearing aggregate volatility risk during news releases. Surprisingly, straddles earn highly positive returns during Federal Open Market Committee (FOMC) meetings, which indicates mispricing or exposure to a different priced risk factor on these days.
Informed Options Trading around Macroeconomic News
Dissertation
The implied volatilities (IVs) of SPX options have significant predictive power for index returns on macroeconomic news days. I design a measure of uncertainty based on economist forecast dispersion. During high uncertainty announcements the IV skew strongly predicts negative next day returns on the S&P 500. Firm-level IVs for cyclical and high beta stocks also exhibit this behavior. I backtest a trading strategy which confirms the economic significance of this result. My findings are consistent with the notion that informed options traders can anticipate and capitalize on upcoming macroeconomic news.
Positions
Sigma Alpha Epsilon Fraternity
Social Chair
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Recruitment Chair
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
President
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Risk Manager
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Social Chair
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Recruitment Chair
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
President
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Risk Manager
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Social Chair
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Recruitment Chair
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
President
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Risk Manager
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Social Chair
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Recruitment Chair
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
President
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Risk Manager
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Social Chair
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Recruitment Chair
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
President
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
Sigma Alpha Epsilon Fraternity
Risk Manager
urn:li:fs_education:(ACoAAA5bVUMBa0is9bd_AZrZHaHXvS4dpBFN4QE,151065524)
