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Do you have experience with it? I've heard conflicting things about it, especially about some stability issues. We looked at it briefly when we considered PBing with IB, but decided against it. Pretty reasonable interface, though.

Nothing bad about a strategy setting up twice a year if the signal is sufficiently strong and "fool-proof". You just have to have many strategies like that to achieve diversity. For example, calendar trades on indices usually only set up properly after large volatile shocks, yet they tend to be...

Root-time vega is regular vega rescaled by the root of time (rtVega = Vega / (sqrt(t)). It is a better representation of volatility risk for relatively short-dated trades, as the curve moves in a root-time manner (e.g. 1 vol move in 1 year bucket would usually be accompanied with 2 vol move in...

Disagree. The first and foremost "secret" is presence of a real opportunity.

No. I am saying that since most of these strategies are systematic and usually low capacity, one should never share what exactly he/she is doing. If you look at how many opportunities in vol went away over the last 10 years, you would understand. Simply disclosing the trades could be enough...

Dude, this is not a beauty pageant and most of us are not trading for an ego trip. If you have a real way to make money with low risk, why would you want to share it with the world at all?

If I recall correctly, you have over 10mm AUM, so you are able to trade them as a qualified entity. It's a strange world for someone who traded vol in the US, the skew is flat and the dynamics of the term structure are very different. Lot's of opportunities, though.

The amount of delta-hedging is pretty small, given that you are gamma neutral at inception. As you are drifting away from spot, you will actually gain gamma because shorter-dated options have much higher change in gamma per change in spot. As I said, given that you by definition have hedged away...

This is mainly targeted to sell-side traders/MMs who are managing variance books (which I did for a few years). It's not as big of a deal as you think, I've had variance basis positions of millions of dollars in vega notional. The main pain is managing the deltas.

Well, your exposure is forward vol (you are long root-time vega, unlike in a calendar), so the main exposure is the overall level of vol. The slope of the term structure is going to be influencing the level of the specific forward vol, but unless you are trading an event in single stock, you are...

No, you need to buy more of the back month to be flat gamma, usually do these ATM strikes.

You certainly could neutralize your initial exposure to gamma by trading a gamma-neutral calendar and in this case you have a near-clean Vega exposure.

I live a few blocks up from there, just trying to think of the place... Are you sure it's 3rd ave and 78th?

My general experience is that there is tons of opportunities in Asian indices, stand-alone as well as against the ETFs (e.g. FXI vs HSI). I am sure there is even more fun stuff to do in single names. Problem is that, in general, you have to chose between having a life (i.e. my wife would...

In my experience, for conditional trades to work, you have to have a view on the level of the underlying. Do you think that in a sell-off Yen is going to outperform EUR? Also, would you do this currency hedge ratio neutral and if so, what hedge ratio would you use?

It is an interesting micro-structure question is what happens if you place a limit order at 94. If you are looking at a contract with reasonable liquidity, sooner or later you will get done either because some M/M will sell at some other strike and will fill you at 94 (the usual case) or you...

Being long vol at the wrong time is just as bad as being short vol at the wrong time. A number of people blew up last year being long all sort of risk premium (vega, gamma, var switches) - all of them were playing for the repeat of 2008. No matter how you go about it, you can get fucked. To...

I used to trade Asian indices a lot, but lately I found that I want to get a good nights sleep :) Do you trade Kospi options too?

Well, I've seen a few models so far, but I've never ventured outside the professional environment (banks and funds): -- In discretionary space, e.g. global macro or discretionary vol trading: ---- (a) hire a trader to trade your capital using your business model and your edge ---- (b) hire a...

Maybe this was asked before, but what is the point of doing this for you, Mav? I understand that you are making some money on each of the training stages and maybe making a little on the PnL split once the trader goes live (assuming that your risk control is good enough). However, while I did...