Recent content by Slow Learning Elf

Duh. Options are funded at the prevailing funding rate across the dealer universe. Predictably, the cost of funding is higher than that of the US government. You'll find that ES basis has very similar dynamics, so in the end it mostly boils down to balance sheet costs for the market makers.

They do, AFAIK. Not sure exactly how it works, though.

Yup. The only exception that I've seen is that a firm can get a temporary "student login" for interns.

Yup, it was OER today

LOL, someone is really butthurt. FWIW, I never said you had anything to do with them, I just said that the whole thing looks clueless. Nonetheless, welcome to my ignore list.

Gotta love it when some QA monkeys are trying to sell a market simulation product. The whole thing reads as pure LOL. You are essentially testing a market-making strategy, there is a garden variety of approaches for it and a lot of possible issues. Ultimately, you can actually simulate order...

ETF IV is "bond price vol", volatility of the price of the underlying basket of bonds - so it's log-normal price vol. In general, for comparison purposes you want to think in terms of yield volatility in basis points, i.e. "normal" volatility. To get there, you want take bond price vol and...

"Industry standard" is a swaption vol matrix, from which you can build something like MOVE or use different vols separately. I am not sure where you'd get that if you don't have Reuters or Bloomberg. If I were in your shoes, I'd take implied vols for rate ETFs and convert them into normal...

Aside from the housing-led recession of 2007-2009, recessions rarely have much influence on the housing prices. In 2007-2009 recession, HPI index fell about 20%. Oh, OK. My impression was that "sell your house now" is only smart if you expect a crash (or need to sell regardless), given the...

Meh. You’re fighting the last war, dude. The time to scream “peak housing” and “houses will crash” was in 2006-2007. At the time, housing was treated as a growth asset, there was plenty of new construction, turnover of existing homes was high, lots of rate-sensitive leverage in the system due to...

Pro is that it generally increases stability of the covariance matrix. Con is that it’s essentially a lossy compression methodology

These words of wisdom cover so many things besides trading :D

A senior trader name Larry Liked to collect lots of carry He was rolling short some yen And got recently canned But found a new job in a hurry

If all you're after is deltas (are you, it's not clear), you don't need a "model". In case of sticky strike, delta is just black scholes delta. Correction to black scholes delta for sticky delta can be appoximated well enough from the slope of the risk reversal. Similar correction for sticky...

“If you think money can’t buy happiness, you’re shopping at the wrong place” — my wife