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Sorry, i am a moron - i was thinking calendars in The Asset (SPX), just now realized it was Apple.

Long vega, short gamma or just plain long forward vol? What metrics do you use for these trades, out of curiosity?

In the end, it's the incentive that drives all of the stupid decisions in finance. Personally, I think a fairly straight forward solution would be to pay all senior bank employees in a special class of preferred shares that only pay divs when the firm is profitable and make sure that these are...

Your point, rather plainly, is that you are the only smart guy in the room and everyone else is a moron and "does not get it". Otherwise, it appears, you have nothing factual to say and have no useful analysis to add.

I take it you got nothing factual to say about the topic? In any case, the actual derivatives market risks are really not as scary as people paint them to be, especially once you net them out. What is scary is the amount of concentrated exposure to single "key" counterparties. While agressive...

Liquidity reasons or the rebalancing costs? You definitely get more vol of vol on lower-priced stocks, in my experience.

So a backbone vol move (volcor) vs skew implied vol cor? Sent you a PM about that...

Yet you argue that everyone else (who actually done the analysis) is wrong. Quod erat demonstrandum.

What is your point? PS. I did not give you any metrics, I just said that the one every idiot references is the dumbest one.

Nobody is being arrogant. A realistic analysis of the derivatives exposures can be found elsewhere and the issue has been discussed ad nauseum. Notional size is the dumbest metric out there. For example, to get to 100k in dv01 of fed fund futures, you need approximatley 2,300 contracts which...

What is the measure of "large" here? You know, 10 inches is a very large size for a penis and a pretty small size for a vaulting pole. Are we talking notional numbers? There is plenty of information out there, the clearing houses, BIS etc.

based on your gut feel - how much of the strategy is true systematic alpha and how much is your own ability to time risk premium? Personally, I don't do "classical" dispersion unless the correlation levels are stupidly rich and I certainly would never do crap like var swap dispersion...

so more of a "directional" dispersion thing? trying to understand how you pick the names (the usual "secret" in bespoke disp trading)...

Not true for people trading convex instruments of some sort (options, risk/liquidity spreads, credit etc). PS. I have seen people with high risk-adjusted returns on low capacity and with low R/A returns on high capacity, never a combination of the two. The first one rather quickly displaces...

Actually, continually selling front month variance would give you even a better a Sharpe. PS. you beat me to it already by referencing LJM

Yep, everyone is at fault, from the home buyers and realtors (blatant cheating and fraud) and all the way up to the Fed and the country leadership. Some are less and some are more.Personally, i think the MtM-linked annual incentive model on Wall Street is one of the bigger drivers which gets...

A simple question - if GSEs were not warehousing any risk that turned out to be truly toxic, why did they blow up so spectacularly in 2008?

Problem is that both articles are mostly political and neither do real analysis. The second one "uses" data to prove a political point, the first one uses some data-driven conjectures but neither hold water. It's clear the GSE did play a part in the whole mortgage mess, at least from the...

I envy you. Generically, if you are the kind of person that can take a mid-day nap (i can not, too neurotic), you are best suited to trades that do not require active management. For example, set up a screen that will check on regular basis ratio of implied volatility to recent realized...

variance swaps trade OTC (in IDB or with institutional clients)