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There are still some index arb opportunities, but in reality you are arbing funding levels, margin financing etc. It gets especially hairy on quanto index futures etc where you are trying to arb convexity. To make the long story short - it's not worth the effort unless you have a balance sheet...

I wanted to see if you would be a good fit for a summer job at our fund. We do vol arb, stat arb and some fixed income arb/RV. Does not look likely, sorry - knowledge of math and programming experience are too important.

Any programming skills? How good is your higher math and stats? What do you want to do you if you grow up? What kind of trading do you want to do?

What are majoring in?

My cycling partner and I have a running joke where he presents himself as a master plumber and I say that I am a book keeper... He is a urologist and i, well, i am running a book :) I just asked my buddy how much he paid for his Park Avenue apartment in 1976 - he said about 1.5 million...

Well, realistically, the house used to cost a 100k, but NYC was,erm, not as desirable at the time. I know someone who bought a nice Bleeker street loft for something like 25k, but she had to live there for 30 years to actually see the neighborhood improve. Guess what - you can buy a brownstone...

So smart money actually sells flys or calendarized flys :)

Dude, my boss is a billionaire (I think he worth a couple yards, within some standard deviation). I don't think he has a bodyguard, he drives a fairly simple car and he is certainly not the tycoon you are describing.

Oddly enough every time you make a certain amount of money for an extended stretch of time, you'll find that you are not making enough. You could live well if you're rich and you could live well if you're poor, but if you're poor it's much cheaper.

Obviously, everyone has different natural abilities. This, however, does not preclude them from being pretty successful in pretty much any endeavor. Yes, its unlikely a deaf child would become a concert pianist, but here we are talking about relatively modest aspirations. Education is a tool to...

Yep. Unfortunately, that is true, it's just sometimes I wish there was more real technical talk here.

Well, the reality is also that unless you are trying to get into a "binary" profession where you are either a star or a nobody (sports and arts are the two most notable examples), you can get pretty far on sheer discipline and tenacity. For example, there are plenty middle managers that made it...

yeah, my coworker just explained to me the whole process - he does a lot of these, apparently

Sorry, being dumb - it's been a while since I've looked at equity vol. You sell deep ITM calls vs delta, no need to trade anything else.

Delta - neutral, not full delta. The actual risk is being short gamma. And you are right, deep ITM calls.

Well, not exactly true - there are a lot of hedgies that do div arb. You sell a lot of puts, delta-neutral and hope that there are some people who did not get the memo and forget to early ex.

This does not make sense. Are you buying TBAs or seasoned paper? Are you holding them at your PB as cash or repo them out? What exactly do you mean by spot rate - current TBA coupon?

Fed is holding mostly Agency MBS that are a bit higher on the coupon stack, considering that the current Fannie coupon is 4.5. Guess what - that paper is actually trading at a premium and they are marking it at flat. Sounds like fraud to me - they are under-reporting their MtM gains...

Holy socks of Jesus! Seriously, what is he gonna do with all that money?!!!

10 month is definitely insufficient for any reasonable analysis. Have you done back testing, in-sample/out-of-sample? what sharpe do you produce? what sortino? what is your correlation to the market you are trading? What is your worst projected drawdown? etc, etc. oh, yes, and most important...