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Two questions :) (a) Why would you expect anyone to early-X an option in event of a crash and forego the residual premium (I have seen that exactly once in my life in very specific circumstances)? (b) Why would you think that assignment is bad for you?

You right and I am wrong, I got it backwards. This said, American feature hardly ever matters (unless funding goes totally bezerk) so one can safely consider them all European options.

It's a reasonable approach in some ways - the stock to index correlations are known to break down (e.g. on company-specific news). Just as a side note, this calculator also has market-maker and broker-dealer margin (CPM is customer, RBH-BD is broker-dealer and RBH-MM is market maker in account...

How so? Weekly (Mon/Wed/Fri) and EoM options are American, expire into the futures instrument. It's only the quarterly options that are European and expire cash based on SQ.

It's very rare that a market making book will have something as well defined as "a fly". You get hit or lifted on something (hopefully at a good price), you book it and skew your markets to cover the risk. Sometimes you get lucky and cover in an identical option, sometimes in something close by...

This is not exactly right. Depending on how you structure it (the belly ATM or the belly OTM), flys can express somewhat different views. For example, I trade a fair bit of ratio flys (@taowave you know the name for those, right? :D) in the indices, but in my case i do them with bellies OTM...

That mythical trend-following skew that sometimes comes and sometimes does not...

If you really want to get specific, it's the difference between jumps vs ambient volatility. In essence, if you rescale your time-series by the forecast volatility and returns with the sample become perfectly normal, it was a change in volatility regime. Ambient volatility is usually fairly well...

Dude, you're such an ignorant old fart - the right way is to YOLO everything on a single name/strike! It's like you don't know what options are for or something...

I am just saying that it's important to know whos lunch you are eating and who's eating some food off your plate. This does not mean that minimizing your execution costs is not important and that you should not invest a significant effort into it. If you really wanted to know, you can do some...

In fairness, these guys are treating crypto as a cheap option as opposed to "the next sure thing". They are not hodling nearly as much of their capital/NW in crypto as an average crypto enthusiast. Even the companies that decided to invest into crypto infrastructure are still very tentative...

Also, it worsens the climate change because of all the heat generated by friction!

SEC Charges Robinhood Financial With Misleading Customers About Revenue Sources and Failing to Satisfy Duty of Best Execution https://www.sec.gov/news/press-release/2020-321 I'll just quote: “Robinhood provided misleading information to customers about the true costs of choosing to trade with...

NYC has powdered water all over the streets at the moment :D

Well, it's not as simple. Indeed, index adds/deletes are known in advance. However, many funds are mandated to only hold stocks that are part of the index and replicating ETFs are simply holding the actual index weights. So there is always some mechanical action around index rebalances and the...

It's all right, we are having a general discussion. My main point is that most of alpha for a retail trader comes from looking at capacity constrained opportunities, not from building execution infrastructure or finding some unusual alternative data sets. That's why I was so surprised that you...

Apparently, you're right: https://en.wikipedia.org/wiki/Grizzly–polar_bear_hybrid I suspected but was not sure - glad I asked!

Is there a God? What is the right way to eat oysters? Could polar bears and grizzlies have babies? PS. I'll think of more things I am not sure of...

I think she was there before he started, they met while they where both working at DE Shaw.

That could be because either (a) you actually make money on execution (i.e. you have an edge, like the market makers do) or (b) you lose less money on execution (no edge, you just optimized your execution process to lose less). Which one do you think it is? PS. A more analytical approach would...