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Not that it matters, I was answering a question from @qlai However, I will ask a question now - do you try to forecast volatility/distribution in any form or do you use some price-based break-evens and such?

"true story!"

I did not ask a question, I was making a statement. My statement that "delta neutrality converts real life distribution to a risk neutral one" is not vague at all :cool: This remind me of:

Did I ask that question? :P On a serious note, delta-hedging a portfolio in a trending or a mean-reverting market is Options 201 (advanced, but not too advanced). However, it does become a very advanced once you start thinking about the dynamics of the implied volatility as a function of the...

Sorry, what's the statement you are trying to make?

Theta is probably the most telling greek. While everything can be misleading, if you receiving theta you are short risk somewhere. Delta neutrality just means that you are neutral with respect to the underlying direction at this instance. The idea, simply speaking, is to convert the exposure to...

I have not looked at the details, but it looks like a hedge fund like structure (AUM scrape + 20% performance fee) that's wrapped into a share vehicle. And they are doing stuff like "long BTP vs Bund" which is an absolute return strategy (although, it looks like a big portion of the exposure is...

He's short downside, so his gamma (at least expressed in % of unit-delta, not dollars) will go up as the underlying sells off toward that strike. You are very well organized, I'll give you that at least :)

Call me stupid, but I don't understand how you could lose less on a short-gamma position then on a delta one position, if you had the same initial delta (let's say your delta was flat on Thursday night). Edit: Nothing against the idea of having a negative delta lean though I'd argue that it's...

From the Lone Star State!

Yeah, great idea - so your delta will decrease (because of the short gamma) as the underlying sells off which is when you need short delta the most :p Something does not agree between the two bolded statements, I think :D

You added a short option to flatten your delta? That's an interesting approach.

Fed Fund futures are pricing in a 50% probability of a rate cut by the end of this year. Pretty incredible, all things considered.

In fairness, there are plenty of funds that have been producing nothing but noise over the last 5 years or more and yet they managed to keep their AUM. There are plenty of managers that had a lucky strike once or twice and now are milking this in fees. On the other side, pretty much every one...

I think the article is a bit misleading. It's not that 25m is where "riches start", but it's where PWM bankers are willing to take your calls these days. Private banking has been pulling away from the middle tier over the last years. There are several reasons for it. First, it's the costs. Rich...

Not sure what you are going to use it for, but for what it's worth, sensitivity to the little fluctuations in the long term is pretty small. Your best bet is probably to use a rolling window that would be always behind your estimator.

Mine is operating at a 100%, but that capacity is pretty fucking small :(

Pop off to the bathroom, work one out anytime you can. And when you get really good at it, you’ll be fucking stroking it and you’ll be thinking about money.

I have to disagree with you on that one. I've interviewed a lot of people from all sorts of places and can formulate an opinion about what is "the state of the art" in the industry. Granted, my view is framed by the PM perspective, so I don't really know what's happening in the back office, for...