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Yeah, it seemed like the legal team wasn't totally sure how the vix could be manipulated, much less HOW it WAS manipulated. They called me to pick my brain about the process. Most likely I'm the only ex-vix market maker who took time to chat with them when they called. The lawyers asked me a lot...

https://www.reuters.com/article/cboe-lawsuit-volatility/update-1-cboe-market-makers-targeted-in-vix-manipulation-lawsuit-idUSL1N1S42H3 I've been called by multiple different lawyers about this already. Anyone part of this class, or know any specifics?

No, on settlement they ALWAYS trade the entire strip. This is ensured by the EFP orders from the vix market during the SOQ process.

They already gave you the answer. The CME adjusts margins in a very formulaic way. They stress test % moves, as well as standard deviation moves higher and lower. Then they compare the margins to those tests. If the margins arent within certain ratios, they adjust the margins. Easy. In this...

CIS is my hero

alpha dog condenses a day of trading into 3 minutes

I'm starting to see gamification take off in the trading world. This game for instance just popped into my daily google search results: http://alphadogfasttrading.com/ Does this work? As an ex-options market maker, its a bit simple. TBH, i had a blast playing this game though and can see how...

http://home.ubernerdz.com/index.php/2016/11/15/bad-election-day-forecasts-deal-blow-to-data-science/ It seems the Wall Street Journal has learned to write headlines from the tabloid news networks which shall here remain unnamed. You picture some evil giant called Big Data getting deservedly...

Options swing trading in vix < 15 market environment = death. Also, the OP's logic...LOL.

I understand what you mean. The liquidity works for my needs as well. Liquidity is still an immediate concern for the spxw's. As ive already stated, a portion of the large market makers will not quote them. The quoted market on the screen is going to be tighter in an electronic spxw contract...

Not true. Liquidity is the most immediate concern with the weekly options... but you are correct in that it isnt for a lack of volume, exactly. For the record, i trade every short term expiration. I love the weeklies, amazing products.

The daily expirations do provide unique opportunities for both buyers and sellers. Karen is a one-hit wonder. Her time in the limelight will end in spectacular fashion in the next crash, along with all the other open-ended vol sellers. There is a better way.

Weekly options certainly have some liquidity issues. Many of the large market-makers wont actively quote the weeklies. It is appropriate to be aware of the potential for slippage, especially during the first few cycles.

We have done a lot of trading tech consulting, though i have never been a pure HFT and probably cant guide your project alone. However, we were options, equity and futures market makers for years. 2 years ago we started developing longer term strategies, 1 year ago we stopped the short term...

My company is analyzing a new long/short equity index trade using PCA to model the values of various equity indexes around the world. Question: what are the implications of NOT converting all historic prices into the same currency (US dollar of course) to measure the basket and create the...

Wall street guys have unlimited leverage, as much capital as they can stomach, zero transaction fees, access to the best technology/quants, a self serving regulatory structure, and inside information galore. Whereas you or I may have a beagle, Wall Street keeps the FED as a pet. We are all...

What were you looking at to suggest a downmove? I was looking at market profile which suggested a bullish bias, especially if we saw a follow through, which we did

Well, there's the downside puts and upside calls, but the EFP strip is from one expiration, not two. You are thinking of the vix cash calculation. It does seem innefficient, but the CBOE has taken steps towards streamlining the process, and now allows the variance strips to be traded without...

Yes, the other side of the EFP vix transaction is a variance strip in the SPX.