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No, you can get all sort of bizarre looking implied vol profiles across the strikes (like the "W"). But the idea is to still use black scholes implied and combine it with some vol expectation analysis.

AfairPut (c)

https://www.imperativex.com/ - literally does NBBO-benchmarked execution

Strangle vs strangle is the most straightforward way to do that, just pick the right ratio.

Those things pigeons are dropping on your head are not lost packets :D

A very smart trader name Larry Liked to collect lots of carry He shorted some yen And was recently canned But found a new job in a hurry

Yeah, “you either eat well or sleep well” (tm)

I hear carrier pigeons have pretty good latency!

Notational value … like “sanscrite still has some notational value despite not being spoken for millennia”

If you’re doing it to make a punt on rates, it is worth checking if you get more or less dv01 (change in contract value per one basis point change in rates) using this vs SOFR or FF futures. I am too lazy to do any math right now, but my intuition tells me that using actual rates futures is more...

Actually, it's not that simple. The equity cash basis (the calendar spreads in equity futures is a forward basis position) is driven by (a) funding rates because a bank carrying a basis position would have to fund the stocks (b) cost of balance sheet because the bank would be consuming valuable...

Did not want it to come across as a promotion: https://read.amazon.ca/kp/embed?asin=B09BY2PZXF&preview=newtab&linkCode=kpe&ref_=cm_sw_r_kb_dp_QGE8T8WR6JEXVFQ6CYB4 Can't figure out how to get a preview, but here is the link to it

I think it's missing cocaine and strippers - does that come in a different set?

I recall meeting a guy with the same name, who used to be in the ags pit - is that him? Very nice feller

For those who actually do want to learn about factor risk and how to think about the world from that perspective, I can recommend a really good book - send me a PM.

It sounds to me like it’s a requirement from their custodian or something like that. Most probably they want to prevent it from going negative and they pass it onto their clients regardless

How are you gonna survive without all the wisdom this guy is dispensing?

Yeah. It’s a reasonable approach since you could never lose more than the margin.

It was an honor to even be nominated for that!

Mkay, (A) you do understand that covered call and short put are both synthetic puts? So you only make money if the market is going up, by very fucking definition of your positions (B) the gist of the strategy is that you are long underlying and short vol. Granted, this year was a great year...