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Actually, I am willing to bet that it's not true. While it's very easy to say "if you bot vol here you made out like a bandit", in general picking bottoms in vol is just as hard as in any other asset. I am sure people who ONLY buy options as a strategy have done very poorly over the years...

I would never implie that any kind of options would be overpriced ALL of the time, but that they are overpriced MOST of the time. I used to run a swaptions book at a dealer-broker and saw a lot of people that in general where better sellers of gamma. I am on the buyside now and these guys are...

It might be the most natural thing to do for you, but for an institutional money manager the most natural thing is to buy stocks and protect them with puts every once in a while. There is a number of assets where the demand for vol outstrips the natural supply. JGB options is another example...

Off the top of my head, S&P vol is systematically rich. A lot of single stock vols are systematically cheap, especially the ones that have a lot of revcon activity. By the nature of the beast, there are significantly fewer systematically cheap vols, but plenty of systematically rich ones...

Well, it's a fair statement that some implied volatilities are systematically rich and some are systematically cheap. The real question is what volatility of P&L you will see over time.

It's a non-fungible forward - there is no such thing as "intrinsic value" in VIX, just like there is no such thing in Eurodollar futures, for example.

Off the top of my head, i can right away suggest that VIX over 40 does not mean that your front futures will settle over 40. In May 2010, front vix futures traded around 35. What you are suggesting is protecting your OTM gamma with OTM vega/volvol. It is pretty easy to backtest if this has...

This is odd - I think I spent a few hours in preparation for any of these and passed with flying colors. The last one I took was series 24 and series 4, another pain in the ass as you are climbing up the corporate ladder. Pretty sure all of my registrations are lapsed by now, thank god you don't...

Generically, you can find something like a diagonal spread where you would sell one of the wings in the front and buy ATM (or closer to ATM) at longer expiry. If the skew is high enough and the term structure is inverted enough, you would be long gamma and long theta at the same time. In other...

It's pretty easy to prove to yourself that index options are systematically overpriced, any historical simulation would show that. The real question is when (does the strategy actually lock-in additional volatility edge) and what (is the strike sold provides you good risk/return ratio)...

Volatility Trading by Euan Sinclair

To be very-very precise, in many markets you could frequently structure a position where you are long both gamma and theta, however you are going to have a massive vega position which will become your primary risk. If you are doing vol arb, you absolutely have to read the book I mentioned

So, duration is the sensetivity of a bond to change in the interest rate. If you have duration-weighted your spread, that means that you are neutral to the paralell shift in yields (e.g. if both 2y and 30y yields move 5 bps) and only sensetive to relative changes (if 2y moves more or less then...

For starters, what instruments are you trading, bond index ETFs?

Down through the countless ages You'll find it everywhere. Somebody makes good wages. Somebody wants her share.

Actually, transferring H1B from one company to another is pretty easy. It does need to be re-approved and just requires Labor Department to sign off. On Wall Street and "across the street" you see a lot of people on H1B visas from all over the place. Never had any issues with them and I am a...

Taking a quick look, our stat arb team is made of 4 Chinese + 1 American. Our vol trading desk breaks down to 3 Americans, 1 Chinese, 2 Indians, 1 Russian and 1 Persian. Other places (both large IBs and hedge funds) are just as diverse and full of immigrant scum. These people are probably in...

Bullcrap alert. H-4 America visas do not allow their holders to work in America, and as a result, a spouse or dependent will not be permitted to seek or undertake employment without applying in their own capacity for a USA work visa. USA H4 visas do however permit holders to study in the USA.

It's a free market economy, in case you did not know. If you can't compete with workers from India, China etc. it just means that you don't have the right skill-set or desire to work as hard as they do. Quit whining and grow up, people!

Theta is gamma in reverse. Or, to be less cryptic, theta decay is the gamma gains you are losing(or gaining) at each time interval. So, no, you can't isolate theta from gamma. And with gamma comes delta, so you have to dynamically manage it. One of the reasons why people invented variance...