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Using your incredible C++ powers, you can define whatever underlying dynamics you want and price it using Monte Carlo... very straight forward, you can even add bells and whistles like continuous knockout barriers

you cynical you! :D

I'd say the key question - can you short the stock and how much would that cost? I seem 'em .45 @ .49 on screens, better bid. At current ref (8.89) and assuming borrow of 6%, I'd pay the offer (that's vol of ~25% which is about half of historical realized, using Bloombergs model).

This is a very useful feature if you are doing slower-turnover liquidity provision (a.k.a "scalping") and have to figure out when is it worth catching the falling knife and when is it best to move your foot out of the way. The general idea is that you can build custom adversity logic, like...

No, "they" did not tell you "only". Instead, "they" told you that such a model will also tell you how to efficiently cross-hedge VIX options with each other or with SPX options. This makes market models very useful for market making or for risk-managing a diverse book. But it's not very useful...

When you say "personally done research" do you mean that you have done experimental work in a virology or a related field? FWIW, I have a PhD in biophysics, a part of my dissertation was on the structure of some viral proteins and antibodies to them. On occasion I still read original papers in...

Even if you do all of your development in an “off line” mode (like I do), the decisions you make have a lot of emotional implications.

It's not really the same thing. Vast majority of analyst recommendations from the banks/brokers are mostly clueless and useless (like 99% of any sell-side research). It's not like they have massive positions that they are trying to push. The whole idea of research-to-media based shorting...

Even as a systematic trader, you are going to provide some human input. Things like turning off strategies, scaling alphas up or down, deciding that some result is or isn't an artifact can be very emotional decisions (and frequently becomes such when money or career are involved). Then there is...

Lol, sorry, so many people have asked me about Russel calls that I naturally assumed that’s what you were talking about. BIIB looked epic:

Market makers where pretty short Russell and IWM upside gamma (on the back of some structured trades and also listed positions did not help), once the market started going up "cause certainty is good", they had to cover their delta thus taking it even further. The spooz followed shortly.

He's buying CDS. You can roughly translate this trade as shorting corporate bonds and buying US treasuries. The position is duration neutral (*), there is nothing there to indicate his view on the US rates (or any other rate market, for that matter). * for those who are very anal, long CDS does...

It still gotta be one death per person, no? :D

Not sure if we are talking about the same thing then. Imagine that we have a security ABC trading at 100 @ 101. When Alice places a stop buy at 105, she expects the broker/exchange to place a market or a limit order only when the security reaches 105 but not before. When Bob places a marketable...

Not really. A stop order (of any kind, limit or market) adds a condition that you hit a specific price level before your order becomes live. A marketable limit order is simply a limit order where the limit price is equal or though the current touch level (e.g. marketable limit buy is one where...

It's called a 'marketable limit order' and is an equivalent to a market order as long as it crosses. Yes, if the book remains static, you will get a pro-rated fill upon sweeping the book like you're suggesting. I.e. even if your marketable limit is through the current touch, you would get...

Nothing that I say here can be said to someone in person. It's all dry, technical stuff and she would just fall asleep.

Wait, how does that work?

You get an extra hour to OCC deadline (IIRC), I could check with my prime on Monday. It's not like the institutions never fuck up exercise instructions, e.g. BAML lost some serious 8-digits a few years ago on an early exercise arbitrage trade (yup, "awesome"). PS. this is why I have been...

Open interest is now 5 contracts (3 in Nov and 2 in Dec), looks like a massive success!