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yeah, exactly. Don't get me wrong, I'm not looking for a rule of thumb to evaluate my position. That's done with analysis software since I've sometimes so many positions on that it would be impossible to analyse them by hand. But I'm a bit paranoid when it comes to software outages that I...

ah, got you now :) Basis is futures vs. spot, yes Fence is just a RR with another option added...sell call/buy put/sell put. Similar risk profile. For me a risk arb is everything that includes trading two instruments against each other that have the same cash flow but have different higher...

5 ticks?? Dude, that's just 50cts on 6k notional in a market that has 20%+ moves in a couple of hours. You'll lose more by blinking in the wrong moment. And at least you won't have to complain about those crazy margins, right??

I hear you. Staying with this examples of fence vs futures the main risk is that you have basis risk as well as skew delta. Let's say you're long underpriced basis via fence and short overpriced via futures. You don't hedge anything skew or vol so your jackpot is a strike touch at expiration...

Dude, thanks for the reply. I'm started toying with 25d fly and the 25d fence as indicator but have found it easier to just fire up a 3D surface chart^^ I guess I have to make use of these more to draw any conclusions from them. At least in theory it makes a lot of sense.

Yes and no. I run a global relative value book, most of is is either direct replication or riskarbs but recently I went into vol trading, too. Depending on skew it's sometimes advantageous to spread a risk reversal against a futures contract instead of spreading two futures...but a fence is a...

well...most of ETers are talking like they have.

Read the article again...and again and again. If you trade on exchange (stop calling it a broker), then you face counterparty risk. Nobody will trade this with 9 figs on unregulated exchanges not even if the risk was spread out across a multitude of them. The point of the article is that you...

That's BS. If it was trading at fair value, it would automatically gain float. Imagine it traded at 1 million bucks tomorrow, there would be a lot of HODLers willing to cash out to improve their standard of living now e.g. to buy a house instead of waiting for another 20 years. So as it...

hm...not really. I've fallen on my face so much by bucketing exposure. I don't trade equity options only futures options. So I prefer to think in term buckets at least since there is substantial basis risk in my trades. I've read somehow that you can decompose a portfolio of European vanillas...

thanks for the reply. Well, I pretty much run a vol arb book and I analyse it via software where I have all the higher greeks as well as up and down gamma/vega However, I asked myself what if I don't have it because it crashes or I'm not on my desk and need to make a quick adjustment. For me...

yeah...a bit too dirty :) Lets say you bought ATM puts for 20 vols and sold 25 delta OTM calls for 30 vols you're long skew delta. When spot moves towards your short strike you gain 10 vols plus you also gain some vols as the put moves OTM asuming skew is symmetric. Vice versa you lose when...

So if you for example trade a risk reversal or a fly you're exposed to skew delta asumed sticky delta. If you want to stay neutral, you have to account for skew delta by either over- or underhedging. We all probably run fancy software that allows to shock the book and view the surface over...

I hope you don't trade options. If you asume basic BSM model, you hopefully realize that it's a no arbitrage portfolio of two components: 1. the option 2. replica of the option via underlying trades. So if statistical vol realized by underlying trades is larger than the option premium, you win...

no

Here's the thing. You need a 3rd party clearer so your collateral isn't on the exchange. Do a bit of digging...you've just scratched the surface. BAKKT and CME are ghost towns in terms of volume and they will never gain traction since they are closed on the weekends

then you're not doing enough volume ;) Jokes aside...the days where you could impress anyone with 10m volume a day are long gone. Do 1k BTC a day and you will find the good deals

Do enough volume and your fees will go down a substantial amount.

Has anyone checked if there is a dividend or similar corporate actions outstanding? Options are priced on forwards, not cash

pls, pls for the sake of your accounts well being. Read some books before you even think about short selling nonlinear financial instruments. no need to thank me