Search results

And what would happen if it continues to sell-off like it did in 2008? :D

Well, VIX does not really trade in itself but when a proxy for it trades (for example, the strip on the futures expiration day), the level would always be above the vol swap if you were to quote it due to the effect I described. Since the VIX in question is spot, there is no question about...

I don't think that's right. Vix is a fair strike of a variance swap with some minor tweaks. Var swaps trade at a premium to vol swaps due to the expected convexity of the PnL, not level. Simply look at the following: VarSwapPNL = (vol^2 - strike)/(2*strike) VolSwapPNL = (vol - strike) So...

Well, actually a VIX fair strike of a variance swap which would be somewhat higher than the expected volatility due to Jensens inequality, right? Expected volatility would probably be some 100-120 bps lower. If you are thinking the market is close to the bottom you might as well go long via...

In either case, could you explain why do you think you would be able to extract money from the markets? I.e. what is your edge?

Hard, but certainly not impossible. The real question is why do you think you want to work for a hedge fund?

15% @ 30% Seriously, though. One month as a Jan expiration or fixed date? Observation on spot VIX or futures?

Well, that's a big part of the secret sauce for almost any volatility trading strategy so I can't really give any hints. In any case, it would depend on the asset - what would work for FX options would not work for bonds etc.

I just wish people understand the product they are trading better before saying things like that. In the modern liquid vol market, an options model serves as a interpolation/comparison tool more than anything else. Black-Scholes framework, with some minor tweaks fits that purpose well enough...

I am not going to argue, just go to https://www.pretrial.org/ and read their material. It's a virtually unregulated industry with a bunch of assholes ripping faces of poor people (in fees and unreturned collateral). PS. it should be pretty obvious that it's a shady business simply by the...

As a side note, this is as much of a blood money business as it gets (IMHO, worse than payday loans).

I think it will still work in phone/text mode only, if I remember right.

Any dumb phone can allow for that level of privacy at a fraction of the cost :) https://www.ebay.com/itm/Original-NOKIA-3310-Black-Unlocked-Classic-Mobile-Phone-Bar-Style-2G-Network

It's quaint knowledge, not quant knowledge.

“The ships hung in the sky in much the same way that bricks don't.”

Calling that a poker face is an insult to faces!

He is a criminal. The guys at big banks did nothing wrong. Law and order prevailed.

Yes, Abacus got charged with mortgage fraud. It was a landmark case, prosecuted by Cyrus Vance.

Yeah, TRUE HFT technology right there! :p

Delta is hedged with the underlying (or futures) as you say. However, sooner or later the book will be leaning too much in the convexity Greeks - like too long gamma, long vega etc. The MM would usually hedge that by skewing his markets towards the risk he wants to cover. An overly large...