Recent content by Niten Doraku

You can have low volume and low liquidity, which creates an environment for volatile movements when volume becomes one-sided with respect to supply and demand. You can have high volatility with high volume during systemic crisises in index futures markets. Take a look at data.

lol. Let me show you.

This is not what they do. You have to consider skew and correlation to find value in the term structure. Shorting straddles and buying strangles is not going to work.

You're not likely to find methodologies in the public domain. However, think of portfolios in terms of convexity - vast majority have a positive carry but negative convex risk; "long vol" will typically construct portfolios in the other direction, that is, negative carry but with a positive...

Thanks for sharing that. His presentations, especially as of late, emphasize the strong inverse correlation of S&P puts as a more appropriate "safe haven" than bonds, gold, etc. I would be surprised if he has shifted his tactics to taking an explicitly bearish position on bonds via bond puts...

Spitznagel purportedly purchases long S&P puts as a tail hedging business model for Universa and combines market-making activity to reduce the cost of negative carry.

Apparently there is, it's called technical analysis via chart reading.

It's called losing money.

I just uploaded the historical dataset into a neural network and it modelled it automatically. Then I hooked up the model to my broker through a basic execution algorithm. Loaded up the account with money and I have way more time to answer questions on this forum now while watching my account...

The S&P 500 is hitting all-time highs this year. The market is up about 20% with a Sharpe ratio of 4+. Bloomberg et al. must be bored and trying to drum up clickbait. Otherwise headlines would be boring. "Everything is going better than ever. Markets have never been more bullish. Markets are...

Sure, the uncertainty of market economics is vastly different than the ancient landscapes that shaped our evolution. What's your opinion on the low volatility environment this year? Realized volatility hasn't been this low since 1944. Does your vol arb fund running many uncorrelated strategies...

Thanks for posting the study. Neat animal model. Risk aversion is likely a rational behaviour and chronic stress is likely correlated with irrationality. I imagine irrationality in markets is rather counterintuitive. When volatility is this low and markets are climbing at this rate, market...

Ah. Another Tastytrader.

Do you ever buy vol, either as a hedge or as a standalone position? If so, care to get into it? Cool YouTube page, by the way.

To clarify - you were net long vol in the near term with a calendar using VXX and VXZ; you were net short vol with a calendar using Jan/Feb; you were positioned large enough in the short vol position to overcome the negative carry of your long vol position; if vol had expanded your model...