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Why? If anything, publishing an index helps market the products linked to it. Even if they would create an ETF on it, it would be a good thing for the exotics world.

rolldown looks good, i agree the fly itself does look dislocated my concern would be the delta aspect of it - the fly is well corred w spot

Well, think about it for a sec - which one has more credit risk, 6m deposit or 3m deposit plus a 3mx3m forward rate lock....

Maybe you're right and I should write a book like that...

Well, it's more like Scholes and Meriwether model :) Except their spanking was a pretty intense one, from what I remember

Yes. I would say that Volatility Trading is the only book out there that takes a real, comprehensive approach to the subject. To get any deeper, you would have to read some good sell-side research and build up some experience of your own. One thing is for sure - in this business, a spanked...

yes, they certainly do, in variety of forms. in fact, a fairly common exotic structure is one where the company mandates a wall street firm to repurchase some amount of their stock over X days at VWAP + a discount. The reason for discount is that that firm has a right to complete the purchase...

I've found that it is useful to think in terms of root-time vega (vega divided by the square root of time to expiry). Brings options of similar maturities to the same scale.

I find it amazing that people percieve risk in one direction only. Do you not feel that with Greek bonds trading at recovery levels and other PIGIS debt trading close to that, the tail risk is that EU+ECB will mount a sucessfull rescue? I talk to a lot of people and i've yet to hear of anyone...

Hmmm... Go long 10y Greece risk, short 10y Italy risk?

I have no idea what you mean - is omega angle some measure of the skew? What is horisontal and vertical risk? First time in 15 years i hear this terminology...

Well, best way of describing it would be "distributional arbitrage" so it combines both direction and volatility. To be honest, my issue with these guys is not that these strategies are totally wrong, I do believe that there is alpha in selling wings. It's that they (a) frequently do it...

Here is a suggestion to you - what do you think is the "historical" value of your portfolio? Actually, do it two ways. First, simply take the history of each asset and take the percentage returns of each asset over your horizon (e.g. if you have 25 business days take all 25 day returns) and...

I have not traded any commodities for a while by now, but lets take it to a general level. Say if you are trading implied vs realized, wouldn't variance make more sense since the skew is, in general overpriced vol-wise (and you are not running the risk of re-balancing your delta at the worst...

Interesting indeed. How many trades do you do a month, in general and how quantitative is your selection criteria?

Well, but would you rather trade a short straddle or a short variance swap which would include the skew?

could you expand a bit? sounds either very interesting or very vague :)

That is the issue - if you do not pay attention to the level of volatility either direction (too high or too low), you are going to end up in pain. I, personally, have nothing against being short gamma or long gamma, but I am against doing thing "because it's a mechanical system". If you have a...

Well, you can't deny that there is a fair amount of risk premium built into the skew at certain times.

My understanding is that he blew up on the cash/CDS basis, coming from someone who was working for him at DB and is still working for him. I think his current Greek position is a great trade - carries right and has limited losses in case of default. He might have some MTM pain should Greece...