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The only reason the curve is above x is that this genius position is carrying short ATM vol into CPI. Just brilliant. Feb 13 vol is sticky due to the implied figure on CPI so the vols will rise on that tenor. Market rallies and it will be skewed as well.

It's almost neutral vega.

It's called the stupid. You're carrying two lot naked risk in the back which brings the req to $200K under RegT.

You do if you live in Caracas.

Why isn't your algo ranked there?

Nine trillion dollars.

He's been transformative (in a good way).

Mor0n, the utility of the inside strangle (more costly!) is as the long combo of the long box arb. The reason you're taking so much sht here is bc 1) you don't know this and 2), your assurance that it's inferior ignores the utility in arbitrage. Like when you recommended a conversion in shares...

I referred to RegT as a PM-account would not require a larger debit to manage the inside strangle vs the outside. This fcking idiot quanto is why we can't have nice things. He discovered the inside strangle of the box arbitrage... AKA, why not to use your dick as a hammer.

This thread is worse than a quanto thread.

Anyone could have bot 10-delta calls. The caveat is conviction.

Earns 11% below 18,500. Loses 1% above 18,600, net. The real value gigi is the roll down vs. market beta.

Stating the obvious that the guts of the box-arbitrage is inefficient is pointless. RegT will require the strike width in addition to the strangle debit. Wow. What a discovery. But yes, @earth_imperator, you'll be able to trade more of the outside strangles in your $300 CashAccunt. An analog...

Passive? Put $85K in 1Y Bills -> short the Jan25 50/100 digital in calls on the NDX struck 500 over the Jan-synthetic (18500/600 cs). The bear call spread will run $5K in req and you'll earn that back on the RFR. Returns 10% (or more) inside a year below 18,500 NDX. Break-even above 18,600...

It's only an 8 Sharpe. ;)

What's that on your lip?

https://www.dailymail.co.uk/news/article-12974087/trump-e-jean-carroll-defamation-trial-updates.html

I'm going into guest mode but the 12.5/15 call spread is 1.25 here. Ppl are ppl. Bob, GL dealing with these idiots.