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In that case, why not choose S&P 500 instead? Similar returns, similar sharpe rate. I will ask again - why gold? what makes gold a "currency" of choice, why not palladium, diamonds or some rare sea shells? PS. and you are wrong about the manhattan real estate, it appreciated way more then...

Sure, give me a few min - at this particular moment I have to make a decision that could impact the quality of my life :)

I would say dispersion in low volume ETFs is the best capacity constrained strategy around at the moment. My other suggestions would be looking at vol in leveraged ETFs (again, low volume ones are frequently mispriced) and look at earnings vol for mid/small-cap stocks. I'd be happy to discuss...

Or it relates to your ability to arb your internal (treasury) funding if you work for a bank. Though these days arbing your internal funding as bad of a crime as mismarking your book. There are unicorns out there, though, as I said before, there are usually the size of a New York City roach :P

Because it's the fair price for a digital option and you could perfectly hedge it there (barring transaction costs).

It is an interesting question indeed. I could not find any hard data except for the sales history on my current place and the previous place I owned and the results would not be conclusive. Previous place was a converted industrial space, so it's appreciation is laregly due to renovations...

I am flattered - you actually replied to every one of my comments from yesterday. That makes me feel special (or makes you a stalker). In any case, it is pretty hard to find even a single knowledgible trader that would be willing to work for 100k, less so a thousand ones. The key problem in...

Do you think if you would have buried an ounce of gold 50 years ago, it would buy you more or less real estate in Manhattan today? :confused: Again (and I am sure someone wrote this before me) gold is a commodity. As commodities go, it might be perceived as a way to store wealth but overall...

Actually, some of the probabilities are known perfectly well. Lets take a super-simple example - probability of s&p being below or above the Fridays close this coming Friday is 50/50. If you think that it's mumbo-jumbo and the price is different, give me a call, we'll trade. It's the fact...

To be a great trader you need some talent, granted, but to be a run of the mill PM at a fund or a market maker at a bank is a learned skill. Harvard graduate has an advantage there, as the school gives you good quantitative background and, most importantly, the skills needed to learn things...

I was long GLD (P/A, my trading at work had no commodities exposure at all) from 2005 up until two weeks ago. I do believe it's a bubble as the typical "this time is different" has been said more then once. No, really? A leveraged balance sheet crisis is nothing new, there are records of...

Taking in position in a leveraged ETF against a regular asset (e.g. SPY vs SH) is a good way to bet on autocorrelation of returns. The real question is weather the borrow rate is above the carry you make on the realized autocorrelation.

btw, on an unrelated note, forward variance minus VIX is still a great buy...

Where exactly do you see put/call parity distortions in VIX options? In general, VIX combos trade pretty much on top of the VIX futures.

Erm, my sense is that the guy does not know his ass from his elbow, trading-wise. Who is he anyway? I like algos, they make my life easy. If I need to sell 1k of eminis, I can send them TWAP over 10 min, or arrival price, or match the cash market on close or do many other things. Algos...

It is far more interesting to look at the underlying implied vol term structure, as it would allow you to go back as far as early 90s. It is also instructive to look at Nikkei term structure as S&P500 is in the same place right now. Generically, (having done these two studies) you find that...

Out of curiosity, do you hold delta in S&P futures against your VIX spread/fly positions to immunize it against skew and makie it a pure term structure play?

I'll take that challenge - whats the prize?. I got solid practical insight from reading his internet wisdoms - do not read his books or reccomend his books to anyone.

Exactly!

I wounder, would it use diferent process to delta hedge short gamma positions vs long gamma positions?