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Because other second derivatives for most options aren’t going to be significant enough, while gamma will be. I am also completely omitting some other risks like rho and sensitivity to dividends because they are less important in most cases - however, if you are short a 10-year option on SPX...

My prior would be that a lot orders on the touch will be UHF market makers who might pull while you are transmitting the order. So while it's liquid, your fills are not certain. PS. I recall a study (by QB?) that quantified top of book participation from various players in equity futures, but I...

Indeed, 1918 was the right year. 2018 was very offer-side :) I am not an epidemiologist so it's hard for me to have sophisticated thoughts on the topic beyond the standard common sense stuff. However, it seems to me that any infectious disease with high enough fatality rate and a real-life...

On the other hand, he seems pretty passionate and confident about him being right. It's been a while since I felt like that about anything (except maybe my dog). Market microstructure (at any level) is a tricky thing to study unless you are in the trenches. The best example are the evil HFT...

You are talking about a very specific case where the overall payout is rigged against the participant despite the asymmetrical payout. Usually, you see these in one-sided markets like lottery or insurance. Now, imagine a lottery-like payout (e.g. 100x payout for WSB poster who bought a far OTM...

I assume x is the change in the underlying price? You can derive it from the overall PnL approximation pnl ~= dS * delta + 0.5 * gamma * dS^2 + theta * dt + vega * dVol and the fact that your delta at the end of the move will be delta(dS) = delta(0) + gamma * dS

Since we are quoting papers, how about this (I think the source is a bit more reputable than someones masters thesis): Anyway, my calculations are consistent with what the actual market practitioners (i.e. quant PMs and traders) use, not what some academics have concocted to attract attention...

I think it's pretty obvious that all high-end athletes are doping, but only some are getting caught.

First of all, it's not huge compared to the underlying assets. More importantly, it’s irrelevant how many distinct products there are or what their trading volume is, it’s the cumulative NAV that matters in this case. Here is a back of an envelope calculation for you. I specifically made it...

Very unlikely, these ETFs are linked to very liquid assets. The impact of the rebalancing would be roughly proportional to the square root of the order size to overall volume. Let’s take UPRO - if the daily change was 3% on SPX, the leveraged ETF would have to increase/decrease its exposure by...

2-3 percent is not “absurdly low”. It’s the same rate as the Spanish Flu in 2018 am that killed tens of millions, just about 1% of the global population.

I think it's more about the speed of (a) information transmission and (b) speed of execution, than true market efficiency. It's very hard to tell what would be the fundamental impact of coronavirus (could be the end of the world and could be close to nothing), but people don't want to be long...

I thought the whole point of your strategy is selling OTMish puts on high vol names. If you wanna sell outs on BAC why not just sell puts on SPX? ps. BAC is down 4.9% today - selling tomorrow’s put for 3% sound like a good risk/reward to you?

Dude, you don't get it! He found a magic spread! See below:

Let me modify my statement to a "proper futures broker" :D

Has not been my experience. I have quoted as small as 10x in stuff like SPX riskies and got back very tight markets. This said, it might be a relationship thing. Anyway, how would you quote something tied via COB? I guess you can add the combo to the spread legs but then you're forcing them to...

Dude, you can call the floor and get a market on the spread. If you quote a tied spread in SPX you gonna get a very tight market unless you are a true baller.

To quote some movie "shit, fuck, Jesus". While I've never heard any good things about them, I must confess to having an IB account. It's the broker that has reporting relationships with most firms on the street so it's easy from the compliance perspective - I hold a few dollars worth of SPYs...

I think the simplest suggestion would be to deposit more money, take the stock and hold on to it for a while.

On a BOX? Incredible. I assume you pulled your money out of that place right after you found out?