Search results

What's that thing they used to say? "If you think you don't have a blind spot, it's just in your blind spot" or something like that :sneaky:

In general, any stop assumptions (especially when trading options) are very tricky. If you run the same strategy with no stops, your results are going to be way worse as well as assume that slippage gets way worse when you're stopped out. Not saying that it's not viable, just saying that it's...

It's either a slow bleed or a bullet to the head :confused:

Not really, though. We’re all falling for lower-loss scams all the time, it’s called politics, advertising or religion. We also had huge confidence cons where very smart, connected people got scammed out of millions. Scammers use the combination of “air of authority” and strong emotional...

It's a thing, right? Someone blows up bigly, "he's a real risk taker, just got unlucky". The guy I am talking about actually blew up a few times (he was at a bank before).

In Russian roulette, you have a chance of profit of 5/6...

I do know a trade who lost a billion selling cheap vol. But as we all know, when you lose a billion, you automatically get a re-do.

What are your fill assumptions at stop-loss? I’d not trust a backtest for this (if anything, I’d say a more realistic approach would be to see distribution of all returns in the last hour and see how that compares to vol pricing)

I feel like given how thin the risk/reward, you’d need to overlay it with some vol and (ideally) directional analysis. Between fees, slippage etc

Yeah, I was reading about it and was perplexed. Maybe it’s some legal loophole where they get PFOF-style payments but in a roundabout way?

Meh. Deep learning is very good at performing cognitive tasks that humans excel at, like recognizing cats in pictures. While there are similar pattern-recognition tasks in the markets (mostly in the HFT space), most of the longer term forecasting is based on tabular data and deterministic models...

Tinkered with it, but not enough to find anything conclusive. My prior is that is very prone to overfitting so it's hard to commit to it in earnest. For long-term research, I'm more excited about using DL to extract medium-term alpha from micro-structure signals. In all honesty, though, most...

I use a fair amount of statistical learning techniques and I've had a positive experience with offshore researchers before (though it was in a more formal setup at a large fund). However, the above makes it impossible for me to consider your services. Someone who's a potential competitor can not...

Given your other deep thoughts on things finance, this means that the article is likely to be complete trash. ps. The article is total garbage, the author does not understand the concept of short market funds, the concept of shorting and naked shorting - and the whole website is an amateur project

Yeah, I saw it later! All good :)

Just for completeness sake, there are special situations when early exercise makes sense even through option theory tells you otherwise. Usually, these are either related to tradeabily of the underlying vs the option or due to some special features that would not result in adjustment of the...

Oh! What is it used for? Are there religious ceremonies that are conducted in Sanskrit?

The idea of trading earnings vol is a known strategy, MMs are well aware and the implied vol is more efficient. Has nothing to do with the weeklies or strike intervals.

So the general idea is that calendar in spooz is driven by the forward interest rates and expected dividends between the two futures expirations. But also, the very same forward interest rates and expected dividends determine the forward price of the S&P options and those things are very liquid...

If you show a bid or an ask in the calendar, someone will trade with you (it can be arbitraged against the SPX option forwards).