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you need to know what to sell - the key word is "vol" Yeah, I get lost too, but I've always attributed that to the fact that I am just stupid :)

Every community has a lingo. Ballet dancers speak of batmans and jetés, rock climbers speak of underclings and gastons. Option traders speak in Greeks and structures. You can’t be a proficient option trader unless you’ve learned enough of that jargon to communicate efficiently.

I think the article is reading too deeply into what is mostly a flows-driven story. Part of the the story is the level of vols, people are hedging closer to the money and people are substituting calls for stock. Part of the story is driven by the structured notes (specifically autocallables - as...

1. Thank you! Today I learned a new word that I will certainly use again :) 2. I have to agree, the guy is literally spamming the board with his bullshit. I found him entertaining at first, but it's been long overdue.

Wait, I was under impression that you were a doctor working at Brown (either a urologist or a proctologist). Or a basketball player. So now I am questioning reality!

I have a fleet of couriers that take a bicycle to the exchange. We recently upgraded to electric bikes and our trading turnover has doubled! ps. If you’re trading manually, it’s kinda irrelevant. If you have an automated trading strategy, you can get pretty reasonable latencies (like mean tick...

Given a hyper-grid of various parameters, what’s the standard deviation of sharpe ratios across that space? Cause if your SR varies from 0.3 to 0.9 and you barely have 6 years of results it’s all spurious. Even if it was not curve fit, t-stat for sharpe of 1 and 6 years of results is like 2.4...

Maybe I misread his original post, but I was under impression he takes a subset of the strategy returns and runs some descriptive statistics on that. One can argue that it has some merit, e.g. you can have a mean, median and 1% percentile Sharpe ratio, which would tell you how bad things would...

Basic metrics like TUW, worst/n-the percentile days or quantile sharpe will inform you of these problems just as easily. Here is the main point (and I think I’ve clashed with @globalarbtrader on this topic in my previous reincarnation). Backtest analysis and strategy optimisation is the least...

You’re right. My main point is there is no clear benefit from doing this. You have x trading period with corresponding results - obviously not gonna learn anything alpha-related by shaking these things around (as no new information is being added) and any risk analysis benefit is questionable...

It’s not Monte Carlo, it’s just re-sampling. There are standard statistical approaches to doing it right, but IMHO is mostly masturbation

sure... 5y tenor, forward premium ok? I can do size!

I know it's a new concept for you, but a call and a put (European, with the same strike and expiration) are related through put/call parity. If the data shows different IV for these, it means the underlying is being modeled incorrectly.

Are you going to fix the forward prices that you use for calculating implied vols? Pretty much every underlying has different implied vols for puts and calls with the same strike because of this.

No. But you have to have an ability to take delivery of or deliver bonds (since the notice period starts).

What are the markets with a robust warrant business these days?

No, that would be treasury basis and On/Off-TR. But yes, the whole space exists purely for the arb, so when it goes it goes. PS. This said, if you're a small player, there are a ton of profitable itty-bitty things to do in the space (not coverts proper, but related instruments)

He's got a point, actually. Futures vol (including VIX futures, but for a different reason) tends to increase as the contract approaches expiration. While it does not change the pricing in the strictest sense (since IV is backed from the price), it does change the idea of your expected vega PnL...

If you have multiple 1-sharpe strategies (with true statistical significance yada yada yada) that are uncorrelated, you can easily be running at Sharpe higher than 2. Even a collection of Sharpe 0.75 strategies that are not correlated to the market, have a T-stat above 3, are based on an actual...

Faking stuff works. Facebook is fake social interaction. Coke is fake drinks. Dominoes is fake pizza. I don't consume any of it, but I sure own these stocks.