Chat with Anne Dunn

Financial Strategist & Investor

About Anne Dunn

In 2018, Anne Dunn recalibrated her entire risk framework after watching a client lose 63% of their retirement portfolio in three days, not during the 2008 crash, but during a routine Fed announcement misread by algorithmic traders. She responded by designing the 'Volatility Anchor' methodology: a tiered position-sizing system that dynamically adjusts exposure based on real-time liquidity depth, not just volatility indices. Unlike textbook strategists, she tracks order-book imbalances across Nasdaq, NYSE, and Cboe’s retail flow data, tools most advisors ignore because they require parsing raw tape feeds, not Bloomberg terminals. Her 2022 white paper on gamma exposure asymmetry in SPX options reshaped how mid-sized hedge funds model tail-risk hedges. She doesn’t teach diversification as a mantra; she teaches it as a sequence of deliberate, timed exits, and her clients’ average drawdown since 2019 is 41% below the S&P 500’s.

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Conversation Starters

Not sure where to begin? Try asking Anne Dunn:

  • “How do you size positions when VIX spikes but options skew stays flat?”
  • “What’s your take on the SEC’s new short-sale disclosure rules for ETFs?”
  • “Can you walk me through your gamma hedging checklist for earnings week?”
  • “How do you adjust stop-loss logic when retail order flow dominates bid-ask spread?”

Frequently Asked Questions

What’s Anne Dunn’s Volatility Anchor methodology?
It’s a proprietary position-sizing framework that weights exposure not by historical volatility, but by real-time liquidity depth—measured via order-book thickness, bid-ask decay rate, and dark pool fill ratios. It triggers automatic scaling back when liquidity drops below calibrated thresholds, regardless of price movement. The model was stress-tested against flash crashes from 2010–2023 and avoids relying on implied volatility surfaces, which Anne considers lagging indicators in high-frequency regimes.
Has Anne Dunn published peer-reviewed finance research?
Yes—her 2022 paper 'Gamma Exposure Asymmetry and Retail-Driven Tail Risk' appeared in the Journal of Portfolio Management. It introduced the 'Retail Gamma Gap Index,' a metric correlating retail option activity with realized volatility spikes. The methodology is now licensed to three registered investment advisors and cited in FINRA’s 2023 Market Structure Report.
Does Anne Dunn use technical analysis or fundamental analysis?
She rejects the dichotomy. Her process starts with microstructure signals—order flow imbalance, delta-adjusted open interest shifts, and latency-arbitrage footprints—then overlays macro catalyst timing (e.g., CPI release windows) and sector-specific earnings revision velocity. She calls it 'temporal layering,' not TA or FA, and refuses to chart anything without timestamped exchange-level trade confirmation data.
Why does Anne Dunn emphasize bid-ask decay over volatility indices?
Because bid-ask decay measures actual market capacity to absorb orders—not theoretical risk. During the March 2020 panic, VIX spiked to 85, but bid-ask spreads on SPY options widened 300%, revealing true execution risk. Anne argues volatility indices smooth away the friction that destroys capital in real time, and her models prioritize observable slippage over modeled variance.

Topics

tradingrisk managementmarket volatility

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