Search results

If memory serves me right, the losses to the gold holders were pretty significant (dollar was "devalued" from 20.6 to 35 dollars per troy ounce). I am sure that felt just great...

You could see a small difference in the mid prices, due to funding. Last trade prices, are, obviously, irrelevant in the options world - you don't know if they were executed off the same reference price.

In general, success of a trading manager at a bank is driven by their ability to appropriate the gains (even if their juniors made the money, it is always "their idea") but blame the losses on someone else (juniors, risk, systems etc). That's what "managing up" is all about.

No, root-time vega flat is the same thing as notional-flat for ATM options. In general, you will find that implied volatility moves in manner that is inversely proportional to root of time to expiration. E.g. if 1 year implied moves 1 vol, 3 month will move 2 vols. Usually, when people talk...

That's me all right. I am trying to price some renovations for my apartment and want it cheap (no granite counter-tops, please) - seems like contractors think that I am flush with cash and that I will listen to their bullshit. Anway, some simple analysis. Once you actually think about it, 9...

So, you are short a forward (put - call = forward) ? :D

Actually, getting a volatility day-count basis for futures is a pretty tricky question. First of all, how do you treat overnight sessions? Do you count Sunday as a full trading day, or maybe as a partial one? What do you do for US holidays when the floor is closed, but Globex might be open...

Yeah, that applies to anything of time-value - accrued interest, for example. Do you lend money indiscriminatingly knowing that you will be getting your interest?

No. He is reducing risk by going long delta and short vol. You should try thinking in terms of instantaneous risks, not in terms of terminal payoffs and you will get it.

Not true. He is using short puts as a way to offset other risks in his book. Imagine that you are long volatility/short carry or even simply short the market in other ways, selling puts might be a prudent way to reduce the risk of the overall position.

Hard to say, it would probably take a few years to properly take off. Also, the key reason to use R is not the language, is the user community. For all I know, by the time anything like that develops, I'll be retired and climbing full time in Thailand or Patagonia.

So you too "ride what the team gave you" :) I do agree that Matlab makes most sense given what you guys do.

Out of curiosity, what sort of stuff do you guys do? Vol PMs/funds that I worked-at/dealt-with use Excel, R, Stata and Matlab in the order of preference. FI guys seem to like Matlab. I don't even think the boat matters, it's whatever works for the team or whatever the bank/fund uses. Long...

Most of the misery comes from being forced to play politics once you reach a certain level. If your book is making a 50-100mm, there is a lot of people around the firm that want to stick their hand in your pocket. You end up working really long hours and the content of these working hours is...

Revolution wll do all of the above for a price that's a fraction of a full-blown Matlab+packages and you get institutional-grade support. R-studio will do most of it and I love the R-studio server. I am not even talking about a vast variety of markup/doc tools, graphing libraries and...

Thank you for calling me a bottom feeder, I appreciate the vote of confidence. This is my view of the industry as somewhat successful insider. I am no Gutfreund, but I have been doing this for the last 15 years and have been running large structured/options books at a few IBs/funds. Could you...

Of course, it's very nice to think that people involved were idiots (some were indeed), but it's only a part of it. There is a lot of politics to running a structured product business and where the book gets marked is a big part of it. There is like a million ways to estimate where various...

Well, lets be honest, plumbing is not rocket science. You just need to have an engineering mindset and be coordinated enough to use the tools. Small jobs do not require any experience at all and yet a plumber will take an arm and a leg. PS. In Manhattan, plumbers and electricians are indeed...

An option is an option, assuming the same economics (strike, expiration time etc).

I think when they say "average salary" or "average income", it's the median, not the mean. Even though if you are taking a small enough group (which Wall Street workers are, just 160k of them in the NYC), mean matters as well for understanding the skew of the distribution. It's an interesting...