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There is a lot of truth in what you're saying, and the few times I've seen Taleb being interviewed, he comes off as a condescending a-hole (just like his BFF Nouriel Roubini). He only rears his ugly head whenever there is a financial crisis (once every 10 years) to give you his "I warned you"...

According to Professor Taleb, the downside put skew is not steep enough. Or maybe the vol smile should be less linear and more convex, more parabolic on the far-out put wings.

The continuously compounded daily returns of a stock or equity index are generally accepted to be normally distributed, which is a common assumption in most option pricing models. While the price of a stock or index is lognormally distributed since its price cannot go below zero. Often times...

I've held calll ratio positions like this that were winners on both rallies and corrections. Skew flattening works in your favor on a break, and the sticky delta curve behavior works in your favor on a rally. Gamma is not really a factor in either scenario, maybe on a melt up rally. The...

1x2 ratios (backspreads) are a no brainer in a super low vol environment with a flat to negative skew. Unfortunately, that only happens on the call side. When the VIX cash is printing historically low (sub-12) and the smiles are historically steep, then selling 1 ATM @ 10% IV and buying 2 upside...

For run-of-the-mill stocks and equity indexes with lognormal prices use ln(K/S)/σ√t = 6 and solve for K (strike) to get your desired put option.

You would think if you're going to sell every option on the board year-in and year-out, you would at least be long thousands of "teenie" puts to hedge against a crash. Maybe they did have some downside protection along with their short deltas, but obviously it wasn't enough. They are probably...

Accord According to the Professor Taleb the 6+ standard deviation puts are priced too low. But who wants bleed money being long them for 10+ years before you realize your 10,000 to 1 winner?

Selling "mispriced" far-out puts will eventually blow you out. The nosebleed IVs (vs the rest of the smile), juicy high skew, low prob, and nice theta income, make them really tempting to sell. But every 10 years you'll lose everything during a black swan event. I know of a prominent large...

The hardest part of owning any option is watching them decay when the market is rangebound, and waiting impatiently for the inevitable big move that may not happen in your desired time frame. Inventoring option premium is mostly a losing strategy. Buying options is all about timing, and then...

Go long the BNO ETF, which tries to track front-month Brent futures and spot. You'll make money on the roll yield during backwardation, which currently is the case. https://www.etf.com/BNO https://seekingalpha.com/article/4354735-oil-brent-backwardation-comes-sooner-expected

So your basically ratio-ed. Short the "meaty" put strikes, and long about twice as many far-out winger, lottery ticket, black swan outlier puts

Stock market returns exhibit a more leptokurtic distribution vs a normal distribution. Leptokurtic distributions have fatter tails (higher kurtosis) which is a better representation of reality The tails, outliers, and black swans are always mispriced because most option pricing models assume a...

To lock in "kinks" in the vol smile you have to delta hedge to lock in the IV diff anomaly. The hedge is done once...and then done again the opposite way when you exit the trade. To minimize the vega/gamma risk you need to ratio the spread appropriately. On Reddit, he points out that because...

He's net long mostly high-skewed put wings that will underperform unless we a get a convincing break below 3000. Position bleeds money and doesn't provide any protection if market stays rangebound or grinds lower. Overall position is a big loser if we creep back down toward 3000 and sit.

Yes, on the rally his gamma exposure shrinks as the market moves away from his long puts, but his deltas are always moving in his favor when short the calendar...just increasingly less in his favor as the market rallies away from those strikes. His long delta position on the rally may or may not...

1- Yes. He's long the more gamma-rich closer-to-expiration puts, short the more vega-rich longer-dated puts 2-Long gamma positions benefit from large one way moves, even if we're grinding higher, as long as you're letting your deltas ride enough to cover the theta. The more we rally the more...

Strategy loses money when market creeps lower and overall IV increases the same across all expirations, which adds losses to your losing long equity portfolio. However, to your advantage, markets rarely "creep lower". Overall strategy can also bleed money (time decay) in a range-bound market...

So you're always short put calendars (long front, short back), then eventually buy back your short long-term puts at a lower price, while simultaneously establishing a new short position further out on the term structure. In short you're scalping your back end to finance your permanently long...

Selling covered calls to finance expensive puts is not rocket science and definitely doesn't make you "the greatest options trader that ever lived." You'll get murdered at market bottoms/high vol environments initiating this one-trick pony trade. You would have gotten killed during the March...