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Is this an institutional book? Not trivial to manage the expiries on a diverse book.

how much of your pnl actually comes from anything other than Vega, theta/gamma, or delta? Because my experience (before covid) was that implied vol moves weren’t that big to produce enough pnl volatility to earn. And other risk factors were even smaller. Since covid it’s been a different story...

I disagree. I used to think like you but changed my mind last year. Flies and whatever are atm vol bets where you burn some vig buying tail protection (which I agree is generally expensive). But that extra Vega or so you give up allows you to trade bigger size in general to maximize your dollar...

why not theta? They earn theta and are generally short gamma at inception. In fact they generally have very little Vega at inception so they aren’t great implied vol bets. Trading Kurtosis takes millions of dollars to make thousands and that assumes you can trade on the mid.

Anyway. I actually think you are a decent guy. But I think you are missing some knowledge which can help you. But you disagree So good luck to you.

he had exposure to another pair that he had no signal in. So his trade generation model isn’t very robust.

It’s not condescending at all. You had two signals that put you into a position where you had no signal and didn’t realize it. You are postulating on an exotic derivative without understanding all the implications of black scholes (for example it doesn’t actually rely on the assumption of log...

you can’t even trade this structure can you?

I think you would really benefit from reading some Finance fx books. I mean this genuinely. the snide remark about the triangular arbitrage should have resonated with you about a flaw of your trading strategy which could be causing you to lose money or lower your earning potential.

I would use a binomial or trinomial tree with local vols implied by the surface and run montecarlo on that.

suppose it’s 200bc. How do you explain an apple falling from a tree.

In all seriousness I think you would benefit from reading some finance books. you aren’t a bad guy but your knowledge about forex and options will greatly improve. everyone knows that long term capital failed on a tail event. That doesn’t discount the black scholes model. Just like bill...

there are formulas to calculate it. I said so earlier but I don’t know them. Exotics traders utilize them every say. You said there was no formula because option theories are biased to the short sellers and the market makers. I can tell you how our exotics traders did it but I couldn’t...

?? You are out of your depth here and are ignorant about it. I am out of my depth but I know why. prob the only active poster I know who can answer it will be sle. He make markets in those products.

how can a zero sum product favor one side when you can trade either side? second prices actually do move in log normal space for the most part.

the secret to waging war on the internet is to expend as few words as possible while making the other person expend as much. this tactic was highlighted to me in the Conservatives Book or God (the one that has replaced the Bible in many churches): the art of the deal.

this is all wrong. it’s possible to price the implied probability of this using the vol surface but someone with more knowledge than I about exotics would have to chime in.

Car prices on bringatrailer have gone bananas.

delta is the primary reason. you would expect the option to go up by (6.59)/2 + gamma related change + implied vol related change Since the vol is implying a 15%ish daily move (i haven't actually checked but it's a very high number), you should see the option basically go up by about 3.75 which...

yeah. The stock is immediately locked up for delivery three days later.