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I just did :mad: unreal... Anyway, one thing I can say - once you start talking to various providers, you realize that (a) everyone sucks and (b) everyone has an agenda

Yeah, but ignoring some people (e.g. yourself) will give me sanity.

I think though times is the new normal for the industry. From what I hear, bonuses are going to be slightly down to flat across the sell-side and in the places where they are bumping people up slightly, it's because last year they cut them massively. Anyway, talking of advanced/professional...

Yes, a forward vol position will do it for you - e.g. via a theta-neutral calendar. It is still going to have negative expectation on average, because of the term structure effects. If all you care is SPX vega, you should just buy a VIX futures and delta-hedge it.

Well, the easiest way to price it "value-added" would be to charge a license fee for every execution, maybe with some cap. If you make it compatible with multiple brokers, bla bla bla... profit will ensue :)

I think a better way of putting it is "it's pretty easy to get scalped by gamma when you are short premium"

It's not about complicating things, it's simply about running a balanced business that does not blow up. There is a reason I run over 20 different distinct strategies and keep researching new ones. Are we supposed to be impressed? Ok, I have a PhD in the same field (computational biology, to...

What exactly is the problem with that statement and with the trade specifically? The fact that you have never done conditional spreads does not mean it's a "recipe for disaster".

A statically-held calendar is a distributional trade, not unlike a butterfly. A delta-hedged calendar is a different trade, you are trading forward implied volatility against spot implied vs realized. However, some people here started the trade assuming a static distributional trade and...

Nobody is disputing the definition of beta, I just merely mentioned that beta and correlation are two separate concepts. In any case, the definition of beta is (mainly) for portfolio to broad market, even estimating beta for a single stock to broad market is a fishy proposition. Many stock...

First of all, what do you mean by "beta correlations"? There is beta and there is correlation, two separate things. Second of all, beta works on shorter times scales and you can (and I do) make money using short-dated options in single stocks (not necessarily pair trading, though).

Livevol goes back to 2004, the other source I bought from (historicaloptionsdata) goes back to 2002. I think the longest data out there is from 1996, but you don't need data so far back.

You can build an OIS curve from the FF futures, that's no rocket surgery (or even build both LIBOR and OIS curves and have forward measures)....

Any IBD can cross an option between customer and post to the exchange (as long as it's within NBBO), most large guys internalize option flow. Is there something different about Knight? Actually, maybe there is. Let me check it out, I know someone who has a reasonable clue.

You should avoid any takeout names to begin with, irregardless if you are trading options or delta-1. If you really feel paranoid, you can instead do it in spreads (e.g. call spreads or put spreads).

Resurrecting this thread.... So, I decided to double up on my key instruments and bought VIX and SPX options from these guys. The whole EOD package (with "vols" calculated) was about the same price as the whole set from 2002 from one of the other dealers, which made me cringe but ok...

If you feel like starting an open-source project, I will contribute in any way I can :D Yes, a professional-grade volatility trading system (or futures trading system, or stock trading system) that was free or near free would definitely benefit a retail trader.

Nice. Here, a lot of the flow is internalized first (read - the retail traders get raped, which is why retail commissions are so much better then institutional). Sometimes a Vega-neutral trade, and sometimes just a chunk of risk. You price it according to your current lean, try to lay off some...

Well, that would imply that it's not systems that play a key role in profitability of a market-making desk, especially institutional market making desk. It's the ability to leverage upon chunky client flow (primary) and good risk-taking skill-set (secondary and of diminishing importance these...

Well, I would "adjust" that statement by saying that if you are truly trading term structure (delta-hedging) then it's a different trade. Assuming you are doing it root-time Vega flat, you are trading gamma against forward volatility. If you are trading it gamma-flat, you are taking a position...