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^That. You can get a 20% discount if you can do the calculations yourself (personally, I would not trust the vendor vols or greeks anyway). But the data is probably as good as you are going to get and they give you both a snap during a liquid point of the day as well as a closing print.

If anything, something being very prominent and liquid means that it's pretty efficient and not worth trading. IMHO, of course.

First of all, the two are indirectly linked via realized volatility. Realized volatility is the change in price - to cause vol you need to change the price, to change the price you need money to flow in or out of the asset and that's volume. So volume usually spikes at the time of high realized...

It's not the process of the delta hedging that requires a human touch here, it's the judgement to pick a stock that might move after hours and is pinning the strike. More importantly, even if every aspect could be automated, nobody in the right mind would implement it as a strategy for a market...

Darth Vader would be the recipient of my funds. He is a typical activist shareholder and, as far as I can remember, he got the results he wanted at the board meetings.

Let's assume that you are not facing any scalability issues (and thus not forced to change any parameters due to liquidity or risk constraints, which for AHL was not always true, I'd recon?). If your primary objective is to preserve the smoothness of your PnL profile, you can actually optimize...

I think what they are trying to say is that all large dealers see similar flows. It's probably true (except when it's not :P - like some bank might have a special relationship with someone). However, it's hard to really know what people already have on the books that's gonna roll closer (e.g...

Realized skew (i.e. holding a skew position to expiration) almost always statistically overpriced. Given the way incentives work in the modern markets, it's to be expected that anything with an asymmetric return profile will be somewhat overpriced. However, because of the very same incentives an...

I think you have me mistaken with someone else :sneaky:

I'd not read too much into his presentations/books, as his recommend process is very specific to ML-based strategies. Stuff based on ML has a lot of parameters flapping in the wind and is very much at risk of overfitting. Hence his idea of limiting the number of backtests and never using...

Is the general idea that you buy cheap options at/around the close and delta hedge them until the exec cutoff time (possibly at zero(ish) vol? Perfect retail trader strategy, if you ask me - severely capacity constrained and requires a human touch.

Look, there is no higher math in basis, it's as simple as an apple pie. You have futures and you have a basket of the cash stocks that will compose the index when the settlement print occurs. The difference between the price of this basket and the futures is mostly due to funding and expected...