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It’s actually easy to estimate the amount of capital you’d need to move any given security. It’s expensive and not profitable (in fact, exactly the opposite) A truly successful manipulation requires “passengers” - ie people that participate but do not benefit.

LOL, no. Not everyone who post a non-marketable order is a market maker. Providing liquidity is not the same thing as making a market.

Hmm. You can back of the envelope the value of the option by looking gamma to theta relatio. That’s like determining the value of the car based on speedometer and a fuel gauge, right?:)

You are capping your upside without limiting your downside - so you're "willing to own the stock" but don't like it too much :D

Out of curiosity, what exchanges do you guys offer?

That’s kinda inconsistent with history - Republican presidents are generally bearish for the market. Obviously, it can be correlation rather than causation, so take it with a grain of salt.

It was fairly tame, portfolio half-life of 2.5 days - we interviewed a bunch of people from there when it shut down

Right, how did that work out for XIV and SVXY? Realistically, if a provider of any of these large option "yield" ETFs makes a decision to unwind their books, it's going to be in response to some extreme market movement (unless they make an executive decision of not being in the ETF/ETN...

CUDA works fine under RHEL on H100 (for example), though you have to use their proprietary drivers. It’s the consumer grade hardware that has problems.

Oddly enough, it is. I use TimeGAN package and made my own metrics of “similarity” based on a variety of characteristics and it seems like it. This said, I only use it (obviously) for stuff that heavily path dependent and not for alpha research - things like thresholds for delta hedging...

Supposedly using something like GAN allows you to keep all kinds of latent features like autocorrelation and response to discontinuity.

I found synthetic data very helpful in dealing with path dependent aspects of the strategy, for example on placing stop-loss and take-profit levels. My main gripe is that it’s hard to convince yourself that synthetic data is truly similar to real life.

“ And like that, poof. He's gone. “

I heard @poopy is Keyser Söze…

The level of economic literacy in the thread is staggering.

Do you mean the basis packages? I think their new variance swap futures would be a better way of trading these packages anyway (so it would be m2 * T - m1 * t0 - vix[m1, m2])

I am sure they love it :)

My understanding is that it's going to be a separate order book for each symbol, you transact on the symbol but get filled as a spread. Similar to how listed spreads work in the futures space, while role of COB is played by the RFQ there. The idea is that it would create concentrated liquidity...

That’s not what I said at all. I said to try shorting SPX against every dollar of exposure and see how well you do. That is, make it market neutral, at least in dollar terms.

It's a long-only strategy, so you want to think in terms of market-adjusted returns (which is especially true since everything rallied like crazy from the bottom of the COVID crash). Instead of doing outright returns, see what the the returns look like if you subtract performance of SPX for...