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:D Are you gonna use your alternative delta for hedging it?

Meh, in dollar terms, the volumes are still an order of magnitude lower. More importantly, mini-futures are a retail-centric product. The product is adding new customers that are hungry for leverage and don't have the capital. Also, HFTs are very happy to make markets there since it's almost a...

I’d bet that it will be DOA - there is too much liquidity in VIX and it’s hard to push liquidity elsewhere. Of course, if and when it materializes, I’ll try to get involved.

All right answers! We are doing so well!

Maybe.

lol, that was a preview of what 2020 will be like: https://www.institutionalinvestor.com/article/b1m6kkzscgqrl0/How-to-Lose-a-Billion-Dollars-Without-Really-Trying My favorite quote is “Someone YOLO’d a pension fund.”

Not really, you patent a specific product not an idea of a product. Unlike a specific chemical drug (e.g. viagra), vaccines have a lot of details - type of vaccine (live/killed/recombinant etc), delivery mechanisms, dosing etc.

I don't have any outstanding debts or any credit cards except for my amex (which cycles though 100-150k per year in monthly expences). Yet my credit score is very close to the upper bound.

You do realize there probably will be multiple vaccines by different companies? Even for polio, way back when there were two different types, both getting FDA approvals (including the joint venture USSR/USA one).

I don't know, other retail shops (hearsay, as I don't trade options in my PA). Maybe it's a less common product so they can get away with it? Or maybe they give you a directed option in addition to their SOR? FWIW, 35c/c for directed flow (which is not PFOFed) is very reasonable.

Of course. Option flow is the juiciest of them all, cause you get all the good delta plays on much wider spreads and a lot of it is non-marketable limit orders.

Yeah, just buy calls and sell puts. Guaranteed money machine! :strong:

Both vol indices and bonds are risk-off assets, so it make sense they go into the same bucket Side note: short VIX/V2X + long bonds works as a hedged carry trade of sorts if you use term structures for each as a signal, though I have not thought about that trade in zero/negative yield environment

Makes sense! Thank you!

Well, what is your interpretation of delta? The reason why delta exists is to let a trader know how much stock to hold as a hedge- but please, do continue as this is exceedingly entertaining

Yup, it's the efficient frontier, solving for the best alpha/variance. Unfortunately, QP is a numerical method and it is a bit too slow for my taste. I recall vaguely that there is some method based on simple matrix inversion that gets you close enough to optimal in most cases, but i can't...

A bit off topic, but I there should be enough mathematical talent here :) I have a small number of “alphas” and a covariance matrix (well, a synthetic covariance matrix, but never mind). Is there a quick and dirty analytical approximation to minimum variance portfolio? Actually doing the...

As long as the overall options chain has OK outstanding interest and some volume, it should be ok. A market maker will be happy to provide liquidity. Think of it this way - if you are first to trade this particular option but overall market is very liquid (eg an SPX weekly option that just got...

In the world without government bailouts, they would innovate or die (and in death give their spot to someone more innovative and more efficient). Instead, they trudge along at a leisurely pace because of the implicit government guarantee. I certainly would call this a "comfortable" position to...