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Yes, I use T = trading days / 252 for a variety of reasons, one of them is that variance settlement is based on trading days / 252.

We bootstrap our own div curves, calculate our own vols, but then again, we are a proper hedge fund. If I had to pick a vendor, I'd say SuperDerivatives is the way to go, but they are not cheap.

Guys, I am blushing :cool: True, true. There are bits of it that are subject to opinion - e.g. what delta method to use or how to calculate time to expiration. Some issues would point out that the numbers are are simply wrong. I have not used any of the the mentioned vendors except for...

Why would a non-HFT trader want to build an OMS on his own? There are plenty of products out there that do that do it well enough and your job, as a trader, is to find where alpha is, not to optimize order handling for the 15th time around. I am pretty sure there are even some open or semi-open...

There is like a million reasons why both implied vols and Greeks could be off from each other. (1) First suspicion would be that that forward prices are incorrect. Have you checked the dividend/borrow curves in both systems? (2) Then, I'd say time is the issue. Do you know, maybe one...

Jeff, out of curiosity - on average, how much lower then the closing price of the option are your limit buys?

In the long run, a good education is a skill-set to learn new things and be flexible and systematic in your thought process. Any vocation can be learned after sufficient trial and error, while the systematic aspects of the thought process (unfortunately) have to be chewed and fed. I think the...

What does collateral process have to do anything discussed here? We are talking about the asset purchasing program, not the the discount window and the garbage that banks are allowed to pledge. The only stuff bought by the QE program is agency paper - Fannies/Ginnies and some home loan...

With consistent returns like these, I hope you own a house of pure gold by now and ride a unicorn to work.

(a) If you are trading untied in retail size, I hope you guys don't just trade the screen bids and offers. In general, you are better served by showing a limit order around mid and waiting for the stock to move enough to make some MM hit or lift you against delta. You will almost certainly do...

All books are gone. Thanks for the attention. PS. I felt bad throwing these out and my Mrs is adamant that she needs the closet space for her shoes.

So far, you don't want to even mention what it is that you trade. Fine. In that case, what did you study? Could you tell the audience here what is the name of the street where the Math building is? Physics building?

I have vague recollection that at that age most of my career aspirations at that age where to make MD at my current firm, which I thought was the sh*t. I also remember that most of the time these thoughts were trumped by thoughts about sex.

I don't have the time nor the energy to go and deal with them. Also, I don't think deductions would help me this year :(

Oh, really? What are you trading? At least name the area (credit, rates, equities) or better a specific product class (e.g. single name equity options or structured rates), otherwise you do sound like you are taking a piss.

I don't think so, at least there is nothing on their website.

So you are below your target of 4 Sharpe for the year? Maybe you should have more then a single strategy? PS. I just did a quick check of my capacity constrained book - the Sharpe over the last 6 years has been around 4.2, which is a bit higher then my expectations (the number is based on the...

Some books have been spoken for, however, "should the mission fail" they will be back here. The residual list is: Inflation Linked Products, Benaben A foreign exchange primer, Shama Colateralized Debt Obligations, Tavakoli Baron's Dictionary of Finance and Investment Terms (haha)...

Well, I have made a lot of money over the years in this business and yes, I have read these books. However, as we all know, correlation does not equal causality. PS. I think the last book in the list is exactly about people like yourself.

Aside from tick-data and live vol, I can't think of any other providers of the intra-day historical data for options. Maybe you can suggest one? In my experience, tickdata quality is ok and their software does a reasonable job aggregating the data into 1 min bars. No matter what the...