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Is he the dentist that used to run a huge drug empire a while ago?

"Now, this is entertainment for you!"(c)

Not true. Ratio of the premium to the spread is the risk-neutral skew-adjusted probabilty of the stock expiring beyond the lower strike. Obviously, that is going to vary depending on the vol and on the skew. The degenrate part comes from the interplay of the two components of your selection - in...

Ok, now that we mentioned schooling, let me make a couple points. First, lets clarify the actual trading style. You are not really selling volatility per se, you are trading the terminal distribution. My understanding is that your selection is based on the following criteria (a) proportion...

I knew a girl like that once. My wife did not approve...

A lot of testosteron in this thread... Anyway, HC, could you clarify what exact criteria do you use when you decide to enter into your trades. Lets break it into two separate questions (a) how do you decide on the timing and level of vol? (b) how do you decide on the structure of the trade?

A good estimate of the risk-neutral probability of touching a boundary could be obtained directly from the options market prices. A touch probability is twice the price of the narrowest call spread divided by the width of that call spead. This number takes into account the skew and volatility...

Yep, and the ones of us who are employed by banks or large funds are working the same corporate gig, including all of the drawbacks (kissing ass and taking names, meetings, suit and tie, get to work at 6 am etc). PS. I think all of you should see the "I trade size" clip again...

It is still a normal listed trade, withan exchange print etc. The only difference is that instead of taking a price off the screen (which is usually pretty wide and small in size) you trade with a "human marketmaker". Another way of executing is to talk to a broker that will shop your order...

Even trading for a solid firm carries a lot of social stigma these days. You just cant win - if you trade for a bank, you are the scum who created the crisis, if you run a book for a fund - you profiting from other peoples pain.

Broker-dealer, e.g Morgan Stanley or Goldman or whoever - the more the better. If you are running any significant amount of capital, its worth the effort to quote people rather then trade on screens.

Get yourself covered by a bunch of IBDs and quote them for the full size. In general, unless you are talking millions in vega, you will get prices tightee then the screens.

If it's delisted, the shares and options would still trade on the pink sheets. If, however, GS goes back to being private via stock buyback, the stock will be fixed at the buyout price and the option will (for practical purposes) immediately.

In this case, why would you want to bet on a specific company (that, for all you know, might get rescued)? Why not pick up some puts on XLF or decide on the cheapest generic index?

Most obvious test is the bootstrap, (in absense of a "draw" distribution, in which case you should use the Student-T test). There are more complex and smart ways of doing it, but i would recon these results don't even pass that.

Well, thats flawed logic. Vol-wise these puts are super-rich, so it's not a good vol play. It's not a good delta play either - if you are bearish GS, just short the stock (gonna be cheaper) or buy ATM or close to ATM puts. Otherwise, you are willing to pay for a lottery ticket that does not...

lemme think about it a bit

I think he means notional value which is meaningless - a billion dollars of curve options or eurodollar options is small trade, actually... what an ass, or, more probably, a really-really smart pundit talking his book.

Not true. If you own the stock, you will get paid the borrow, so there is no edge in trading a synthetic forward at all.

Seems like a fair amount of money is chasing the fund community so this might be the right moment to start up a fund. This said, I am a portfolio manager in a billion+ fund, so my vantage point might be different.