Recent content by filthiestkiwi

Ralph, Don't you just love the way that the kelly criterion and your work makes people mad? It is amazing to me that something that is as indisputable as gravity is denied by so many for such silly reasons. Anyway, give me a call next time you are in chicago.

yeah. i think the retail stuff is interesting. look at vix futures, earnings bets, terminal distribution vol trades.

kind of. in general market makers aren't going to fill anyone mid-market. sometimes you will find a customer to take the other side, but that is unlikely that far out in the vix.

well how many do you want to do? a floor broker could easily get 1-2 k off without changing things much. and all serious volume goes through the pit so that is your best bet. getting filled mid-market? probably not. why would anyone do that?

it isn't my first post. i don't know what that is about. but the GARCH comment was from one of my books, not a previous elitetrader post.

i just want to clarify what I mean by "every options trader basically thinks of the world as a GARCH model", which i doubt is what i actually wrote. This means that volatility traders basically view volatility as locally persistent but globally mean-reverting. this is the central insight...