Search results

0.3 * 0.25 + 0.4 * 0.35 + 0.3 * 0.18 ~ 0.27 no? import numpy as np w = np.array([.3, .4, .3]) v = np.array([.25,.35,.18]) V = .21 x = np.outer(v,v) * np.outer(w,w) e = np.eye(len(v)) o = np.ones(len(v)) r = (np.power(V,2) - np.sum(e * x, axis=(0,1))) / np.sum(x * (o - e), axis=(0,1))...

Some notes and thoughts: (a) LOL. What a widow-maker trade that was! (b) Actually, volatility was priced rather conservatively by every counter-party (despite 5-way comp) - the main risk that nobody took into account was their own funding. LOL again. (c) This guy seems to think that Buffet...

MMs tend to be delta-neutral at all times. So as the underlying moves and options delta changes due to gamma, they buy or sell more underlying to keep themselves flat delta at a book level.

Do you mind giving a short summary before I commit to listening to a 1.5 hours of rambling?

Erm, it's mostly bullshit. Spoofing does not really impact the market nearly as much as people like you to believe. It does impact the HFT market makers a lot and their loud moaning is what you hear though the various media. In short, here is how it works. When someone is spoofing, they place a...

Marker makers hedge continuously, so the answer is no, it does not matter if the options are OTM or ATM. The whole premise of short gamma squeezes depends on two factors - (a) MMs have to underprice volatility on these options - in this case the change in delta will be more violent (b) the...

Actually, priced both in a reasonably good pricer (predictably, back of the envelope was way off LOL): Sep 21 - 14.5% mid Jan 22 - 31% mid To be honest, 15% Sep feels like a good buy given the shit that's going on

@ValeryN could you share some thoughts about your research and monitoring tools? I.e. how you display stuff intraday, alerting systems, backtest exploration tools? I am primarily interested in the infrastructure aspects of it (i understand that the actual details can be very proprietary), so...

The general idea is that at a very small scale you can size every position by the strength of the alpha and ignore liquidity constraints. As the GMV increases you'd have to apply some sort of liquidity scaling (lets take a simple one, capping size at 1% of ADV). So at a very large scale you can...

lol! Mkay, my back of the envelope price for 4500 one-touch is even odds (you never gave me a quote) which feels fair Same notional, i.e. gun range tickets in LV? I always wanted to go, just never had a jungle guide :)

He was asking for CFE gateway which is futures (VIX). In any case, as per Rithmic, they have discontinued CFE support due to lack of interest from the users and brokers.

You can call it whatever you want, as long as you accept that it's random and you have to be prepared for it. Don't forget that life is far more complex than a deck of cards - so think of it as 3D poker with 10 decks played against Dr Evil and Dr Doolittle at the same time :)

Hmm. I don't want to comment on the level of spooz (*) but i do think we gonna have more of these explosive rallies (*) though I am tempted to do an over/under vs current level - the winner pays for the gun range tickets in Vegas?

Thats perfectly fine. Something tells me that we play in different sandboxes anyways :D I have zero passion with regards to the topic, but I do have an opinion. This business is all about dealing with randomness, both quantitatively and emotionally. Just like in poker, the best you can do is...

Why is that concept so hard to accept? There are known unknowns and there are unknown unknowns. In case of COVID, it was an unexpected event that had nothing to do with market fundamentals or the economy - the very definition of the black swan. Same goes for Fukushima, 9/11 and many more things...

Dude, I get that this is ET but did you actually read what I wrote beyond scanning for the key words? They were short calls on realized variance, not calls on stocks or indices. Call on realized variance is similar to a call on VIX except instead of expiring based on the VIX settlement price it...

I am too lazy to go down the link, but if this was Allianz Structure Alpha guys they were selling capped/uncapped variance (essentially a synthetic call on realized variance struck at very high levels) and hedging themselves with VIX puts. Because we had a massive spike in realized volatility...

Just FYI, the guy gets a lot of stuff factually wrong so don't look there for the details of the actual trades.

Exactly

Right, t-stat = sqrt(n) * sharpe, so n = (t-stat / sharpe)^2 ... I love it when math just works :D There are factors to go both ways. For example, if you have a strong prior you can be comfortable with a lower sample.