Search results

Funny, I don't follow this stock, but my actuarial model is flagging it as a vol buy (well, specifically suggesting to sell Apr/May ATM calendars RTV flat). Seems like short-dated vol has been a good predictor of events in this stock and Vega is highly event-driven.

In short, you are saying that it's a great illicit monetary tool. I agree, if bitcoin was a fairly stable and liquid currency, it would be a perfect tool for buying drugs, money laundering etc. Except, there is one problem - at one point or another, you have to pay for bitcoin using regular US...

All of those features are features of a precious metals or diamonds. Why am I not putting all of my net worth into uncut diamonds and bullion? Those intangibles so far are valued by the black market mainly. You do know that cigarettes are a currency in Russian prisons since they posses most of...

The problem is that unlike internet which had "parents" this has a few hackers behind it. The whole hoopla about it being "bankless" currency is going to be its demise to - something that's transacting also has to be borrowed and lent. Also, what's more important, what prevents me or you of...

Store of value is determined by more then just scarcity. The two key factors are utility (what can I do with it aside from storing it) an global perception (I.e. who else thinks that this is a store of value). Gold (or most other PMs) have industrial /consumer uses and millennia of history as a...

Conceptually bitcoin is an electronic precious metal, since it's scarce by design, it's easy to transfer and is divisible enough. Unfortunately, at the current state, bitcoin is nothing more then an "bearer" promissory note with uncertain value. However, what makes...

Well, at the time economics was still a part of the overal "social science" field and, Marx (plus Durkheim and Weber) was most certainly a founder of that field, in a sense of providing theories that can be tested using the scientific method. Well, as much as anything in social sciences could...

Simple B/S is usually enough. Before you start building something, what is it that you are trying to model? E.g. are you building a relative volatility model?

I assume you only care about down-n-out puts and up-n-out calls, as they are a nasty ones. You barrier could be "decomposed" into a vanilla option and a digital, which in turn can be thought of as a broken fly. So, you are short gamma at the strike and short a risk reversal around the barrier...

If you are trying to make markets in digital options, all you really need to do is to replicate the delta/gamma profile. So, even if you have a meaningful mismatch in terms of expiry, you simply trade a risk reversal to offset the gamma/theta and dynamically manage the delta. The real art is to...

Most traders i know found GARCH to be of little use for trading. In general, minor improvements in quality of prediction are less important then predicting exposure to shocks and their impact. So, your ability to incorporate information that is external to the price series (e.g. macro, events...

It is really about identifying if risk premium built into an option is rich or cheap. There are numerous ways to look at it and each person convinces himself that his is the best. Important factors to remember and take into account are past/upcoming events (e.g. if there was a 20% earnings day...

Personally, I don't have a problem with your approach, you seem to be doing all right and as long as it works for you it works for you. What I do have a problem with is that you believe that everyone else is wrong for using a more quantitative approach (or in fact, for doing something different...

You can win, but for that you have to predict something right (price of the stock, volatility, relative value, whatever). There is no magic to being short options or long options in the long run. Right. So you are trying to predict the terminal distribution based on the idea that options are...

" it's either a slow bleed or a bullet to the head " (c)

There might be a million reasons why someone wants to buy an option. He might have a view on the direction, on the terminal distribution, on realized volatility, on implied volatility etc. I am pretty sure an option buyer understands that he has much lower probability of payout, but when that...

First of all, probabilities can not be take in isolation. You high probability of winning a small amount is offset by a low-probability large loss, so while it's nice to win every day, the day when you lose you are going to be crying. In the end, you have to be able to predict something - either...

You realize that options cost money for a reason?

G2 and First New York are the ones I know about. Also, in Chicago there are multiple places_in the style of Bluefin, which is more oriented toward market making.

I am posting from a cell phone, so I can't check, but are you sure you are using the right forward for your pricing?