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"Darling, I've been with you for 10 years, but in volatility-adjusted time this is more like a 50 year wedding aniversary"

Hmm. Out of curiosity, two more questions: (a) what's your Calmar or MAR ratio? (b) what sort of capital are you running? Under assumption, of course, that you fully understand whatever tail risks you are taking. My general experience has been that at a strategy level the higher your Sharpe...

I hope you were not short TVIX :) I think this insanity still has ways to go but once it's over, it will be an awesome short.

You gotta give it to the guy, at least he got lucky on this one. The returns on the ATM straddle or a strangle were not as stellar as guessing the direction right. On a different note, I think the company is great: "unmet needs in obesity, diabetes, obstructive sleep apnea and sexual health...

Hmm.. What products do you actually trade? Doesn't your bank have it's own data repository? I find bloomie to be very rudimentary for analyzing vol...

Exactly. A the trade inception time, you want to be using only 50% or less of your total capital for margin. In most cases, I'd let it be. Volatility trading is a lot about reversion to mean and you do not want to cut your positions at the worst possible time. The whole idea of having some...

Sorry, I must be misunderstanding you somewhere. There is nothing predictive about any Greeks and 3rd order greeks are no different. If i say that I am long delta, i am predicting nothing, I just know the response of my book to the movement in spot. Same way, if I say that I am long dVega/dSpot...

I've seen a pretty wide range. Personally, i feel comfortable having capital usage of 50% or below - it's especially true in the OTC setting where the dealers/PB could switch the rules on you overnight. Also, the general thought is that if you are running a net long risk premium book you could...

In terms of understanding your position in terms of risk premium, theta is the most important Greek. No matter what the gamma/vega/vanna/volga are, if you are paying nominal theta, you are long risk premium and if you are collecting you are probably short risk premium. It gets murky in a...

Interesting that my screens keep identifying both DNDN and ITMN as "great gamma buys"...

Knowing your ROC tells you a lot of things about your risk and liquidity parameters. In fact, ROC and risk-adjusted ROC are so important that many PMs calculate ROC for each sub-strategy separately. E.g. if you have a relative T/S book, a relative gamma book and a relative skew book, they would...

Ha, good one - got a rise out of a bunch of us. I was going to leave a response similar to what atticus said. My experience is that instead of second order greeks you are best of looking at actual market scenarios. If you are building a portfolio in excel, it's fairly easy to run simple...

I got a few not exactly trading, but investment-related questions - looking at Thailand as a future retirement spot as well as potential investment to park some cash. What are the locations good for a retirement property? What are the real estate prices like these days? What are the trends...

not sure if that's true. do you mean fixed delta skew (e.g. ATM - 25d put) or fixed moneyness (e.g. 100%-90%)?

Sorry, what exactly do you mean by "skew going up"?

First of all, the only people who actually have an "edge" are marketmakers. They are buying low, selling high and are trying to lock that edge in. Everyone else is just trying to extract alpha out of the market. Second of all, thinking that you know something that nobody else knows is an...

well, nobody else would do it for him :)

Even more recent, it was a great time to trade var>vix futures... magical trade, too :)

I happend to know for a fact they are holding partial exposure, from 30 percent and up

what ratio would you put this one in, root-time vega flat?