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It's actually rather simple and you don't need to worry about all the mystical supply/demand stuff... Delta and gamma will give you an approximation of the change in the value of the option for a given change in the underlying. Roughly, assuming all else equal, for a $1 move in SPY, you can...

When you say "no change in volatility", what do you mean precisely? Do you expect the vol of the 249 strike after the SPY moves up $1 to be the same as the vol of the 248 strike before the move? I am reasonably sure that if you answer this question, you'll be able to explain whatever you need...

There was other data that came out after NFP (ISM)... Moreover, as the mkt digested the NFP numbers, they turned out to be not all that terrible (a lot of seasonal distortions likely).

The OCC publishes memos which tell you what happens... The relevant one is here: https://www.theocc.com/webapps/infomemos?number=41751&date=201709&lastModifiedDate=09%2F01%2F2017+07%3A56%3A41 You can search for all the memos here: https://www.theocc.com/webapps/infomemos

A model, such as SABR or CEV, which, in your context, is to be used primarily for interpolation still needs to be calibrated. In the absence of any OTM option prices/vols, the choice of model is kinda irrelevant, since you have no information that would allow you to determine if a given...

CEV and SABR are commonly not used for FX options, for a variety of reasons. There are lots of papers out there (particularly and mostly by Uwe Wystup) that describe the various methodology. For instance, this: https://www.econstor.eu/bitstream/10419/40186/1/613825101.pdf

Do you think people in Venezuela benefited a lot from the move in bitcoin?

As of last nite's close (VIX official settlement of 11.70), these were the option closes: 12 puts - 0.65 15 calls - 1.64 25 calls - 0.56 If my arithmetic is correct, that translates to a mtm PNL of arnd $1.8MM.

Agree with much of this... For me, the original had some moments that I can only describe as "magical", for lack of a better term. Kenji Kawai's music had a lot to do with that.

I am a big fan of the original and I've heard that the new one isn't as good. A little worried to watch it as a result.

This time next year, Rodney... This reference might be a bit too old and British for y'all, but there you 'ave it.

It seems that they have been talking about this China blowup meme since at least 2015.

Well, the announcement that he's shutting down the fund after a 30% YTD loss also came this summer. It would seem that the switch to a more "opportunistic" approach may have come too late.

Well, you suggested he was long in the 2022 - 2024 area, so I it's the spread I looked at, rather than the Z7Z8. If I were long some part of the yield curve, yes, it would be 100% fair to say that I am long rates. In rates, as well as in commodities, it's reasonably well-established that the...

That's ok... TBH, over the years here, I think I've had this very discussion, I dunno, but it feels like, 1000 times. So it's kinda hard to muster the enthusiasm necessary to provide insight. Sorry about that.

It's not quite clear that GE contracts will be going away... There will be much brouhaha well before that happens.

Not this silliness again, surely...

If I look at the WTI curve, I don't see the phenomenon you describe here. Specifically, in the past 12 months, I don't see a particularly large move in the curve. 2017 YTD, when Andy Hall's fund's return has been reported as -30%, I can see that the curve has gone from very slight...

In this case, it appears quite simple... The price of oil has changed in the market. Andy Hall, seemingly, has not been able to accept it.

From what I can see, performance hasn't been great. Most importantly, it's been very volatile. For instance, I see some headlines that suggest that they lost 17% in July 2015. Looks like, overall, they were down arnd 20% in 2015, up 26% in 2016 and now down 30% for the first half of 2017...