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I have to think it was more than that for 2008 (down 40% and vol up 200% start to peak). I am also a bit surprised about the last summer - even with the market only down by 6%, she must have faced some serious margin calls given how much leverage she's carrying. PS. It is possible that she...

She's gotta be one slick sales person, cause some months must have been pretty painful for her investors. Do we know how well did she do last summer?

A number of questions come up once you are involved., Do you hedge (calculate deltas) at implied volatility or at some volatility that you have decided on? Do you assume that volatility stays constant at you strike (sticky strike), moves with the spot (sticky delta) or follows some other...

* Share everything. * Play fair. * Don't hit people. * Put things back where you found them. * Clean up your own mess. * Don't take things that aren't yours. * Say you're sorry when you hurt somebody. * Wash your hands before you eat. * Flush. * Warm cookies and cold milk are...

If you are long an option and actively hedging delta, mean reversion is actually good for you. Lets imagine for a second that you bought an ATM call on SPY (about .5 delta) and sold delta in 50 SPY shares against it. Now, the market declines - the positive convexity of your call will decrease...

Well, for all we know she did blow up (either in 2008 or 2010 or 2011) but managed to convince her investors to stay with her. In the end, running a fund like that one that is built simply selling risk premium is more about managing expectations then trading. PS. in general, you should never...

This is priceless!

Extra nickel goes a long way! Long time ago a sales person in your former shop said "this sle guy, he'd sell his mother for two basis points", so you could just envision what I'd do for a nickel!

What is the difference? Both are bets on overpriced implied distribution and both are going to suffer in extreme market environments.

How is delta-hedging overnight with futures going to protect you? To protect from negative convexity you need positive convexity, there is no other way. I doubt her prime broker will take her down to earth nature into account when front ATM vols go to 45 and spot drops 15% in a week.

A cursory glance in excel will show you that there have been numerous times over the last 10 years (is that how long she's been around) when S&P moved -100 + 10% * SPX over 8 weeks. In fact, even though she only does trade about 12 times a year, she would have gotten totally canned at least...

In the spooz, you can concoct a collar that would be long vega and long theta. Of course, it would not be long vega when you need it :)

You can either do it vega-neutral (in which case you going to start flattish gamma and neutral vega) or you can do it premium-neutral in which case you will start short gamma and short vega, since you have to seriously oversell the call leg. If you are planning to actively delta hedge it, you...

There is no such thing as "the best way", if you are buying risk premium your either are going to bleed or be forced to sell some other form of risk premium against it (if, however, you do believe in free money and Santa Claus, please try the SJ options thread for some tasty snake oil recipes)...

Like everything, it makes sense in moderation. If you mindful of the risk and have thought extensively about ways to monitor your risk, you can do it as a meaningful part of your portfolio. I would not, though :)

This is probably an additional risk scenario implemented by your brokers (proper PM includes only 15% +/- shifts for single stocks). I'd say first you should figure out which position is bothering your broker and act accordingly. The shift of 20% is perfectly reasonable for single stocks, so if...

Got it now - you expect the user to provide the dividend yield. I was kind-off thinking that you strip a discrete dividend curve from the option chain and the user only has to provide the dividend dates. That's the "right" way, I can post an excel example for a single slice so you can see the...

I am sorry, being a bit thick here. Did you write a dividend curve stripper based on quantlib functionality or are you trying to tell me that quantlib contains a pre-packaged dividend curve stripper?

How do you calculate the forwards/drops, using the OTM calls and ITM puts on the chain and bootstrapping?