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7, damnit. 7.

Pricing the 3-way = STIR.

What's the opportunity cost of holding shares at 100 v $100 invested in STIRs?

Long vol arb: 1) calc integer skew (no annualized vol-fig) 2) price skew or switch lock 3) price expectation (trading days) via wknd-delete within front end 4) Price 3-way (option menage) 5) convert to COB-order and/or camouflage with redundant execution 6) select highest delta pos/RBH req 6)...

natural flies are equivalent (puts or calls) broken wing flies are equivalent regardless of ratio (132C = 132P) A skip strike in say a BWB = a 22/11 asym-condor. Used where you would utilize a BWB but in skewed mkts. The synthetic is the forward. So XYZ cash is trading at 100.00. The 90-day...

There is no way that you could arrive at a 10X return where vols were in the ticker and over that period of time.

volswan/deus isn't close on the structure. He opened a Discord for skew locks and had hundreds of subs but not the structure.

A buddy of mine has traded these to (nearly) 3K lots index.

The swan guy/deus guy is a factory worker who tells ppl he's on a desk. Anyway, he used to DM me stresses and shift vol up 800-1000 beeps to make it appear viable. He has no idea what he's doing. I was blocked. I've never traded one longer than 30-days to exp. No issues trading these to 1,000...

@earth_imperator, there has been vol-smiles pre-'87, typically in calls in SN (even index) and since the listing of futures options. Also smiles on index due to lack of spread (NBBO) liquidity, but we await the wisdom of a guy who doesn't understand synthetics.

@Xela doesn’t trade. There was no structure that returned 10x in the time frame of this thread, you’re completely FOS.

New policy to only offer live quotes after commish is paid.

Only exploitable under those Draconian terms or hedged with spot. Having a halo rep does wonders. If he'd shorted 5Y var he wouldn't have avoided MTM.

lol.

You ignore skew and the forward and call it corruption. May as well call it magic as you're in no way able to monetize it. It's artifact of institutional hedging bc markets weren't corrupt prior to 1987.

lol read your opening post.

I mean, I did the math and posted it here, was like a 15 vol-fig when were were running 13 listed? Would you short, MTM, a 10Y tenor 200 beeps over ATM? He had an $8B -mark (13 mark against 5 prem) when I wrote that post. He never mentioned his MTM loss on his annual report. He did the...

He shorted mid teens on vol. Why would Buffett hedge? It was his thesis (multiple expansion, strong earnings, etc.) Well, I doubt Buffett has ever uttered multiple expansion outside of derision.

omg.

Well, it worked out as he wasn't forced to MTM. You think the timing or structure was genius (or both)? He shorted 1540 SPX and we hit 667.