Hedgeye Investing Summit Spring 2026 | Nancy Davis, Founder & CIO of Quadratic Capital

Why It Matters

Cheap interest‑rate volatility and long‑gamma exposure give investors a low‑cost hedge against bond‑market shocks, addressing a hidden short‑vol risk in most core fixed‑income allocations.

Key Takeaways

• Quadratic Capital stays long gamma, thriving on market jump moves.
• Interest‑rate volatility is at historic lows, trading around 3.1 bps daily.
• Ivol ETF offers cheap vol exposure, complementing Agg’s short‑vol bias.
• Mortgage prepayment risk makes traditional bond portfolios inherently short OTC options.
• Daily workflow focuses on curves, vol metrics, and gamma exposure, not narratives.

Summary

The Hedgeye Spring 2026 summit featured Nancy Davis, founder and CIO of Quadratic Capital, explaining her firm’s distinctive long‑gamma approach to interest‑rate options. Rather than hedging with stop‑losses like most managed‑futures desks, Quadratic stays permanently long volatility, profiting from sudden market jumps and steepening yield‑curve moves.

Davis highlighted that implied interest‑rate volatility has collapsed to roughly 3.1 basis points per day—its lowest level since before the Iran‑War spike—creating a “Cookie Monster” opportunity to buy cheap options. She contrasted this with the Agg index, which she says is 35% short OTC options and lacks TIPS, leaving typical bond portfolios exposed to prepayment risk and short‑vol bias.

Memorable soundbites included, “We’re always long gamma, we love jump moves,” and the analogy that bond owners are “short homeowners’ prepayment options.” Davis also explained how Ivol, her ETF, uses Bloomberg’s TIPS index and in‑kind treasury trades to avoid phantom‑income taxes while delivering long‑vol exposure.

For investors, the discussion underscores a rare chance to diversify fixed‑income holdings with inexpensive volatility, hedge against mortgage‑related shocks, and capture upside when market stress returns. Quadratic’s model challenges the conventional equity‑focused volatility narrative and offers a concrete tool for enhancing core bond portfolios.

Original Description

**This webcast originally aired live on Hedgeye.com on April 23, 2026**

This is an exclusive "Hedgeye Investing Summit" interview between Nancy Davis, Founder & CIO of Quadratic Capital, and Hedgeye CEO Keith McCullough.

To watch more "Hedgeye Investing Summit" interviews: https://app.hedgeye.com/insights/180431-hedgeye-investing-summit-spring-2026-your-access-links-to-watch?type=macro%2Cmarket-insights

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