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Spoke to the guys that liquidated his book (you could guess the name of the firm), they said it was a LARGE skew position.

Are you sure? It's $50 x E-mini S&P 500 futures price, so the contract size/notional is actually about 65k.

Interesting. How long have you been doing this? One would imagine that a strategy where you sell the wings that far out would be super-leveraged to the level of implieds and you should see some pretty nasty losses every once in a while. I don't see how setting a stoploss would help, as you could...

Out of curiosity, inception to date, what was your biggest drawdown as a percent of capital?

Yes even though the skew most probably does not justify it. Evaluating VIX options both in terms of term structure or the skew is notoriously hard.

I would say that's not the wisest trade out there - you are selling puts on an asset with a positively-sloped term structure and thus you will have a pretty strong negative drift. While I agree, vol of vol is high and selling it looks attractive, I would be very reluctant to sell puts with a...

Yep. Also, I've had good experience trading VIX 1x2s (or any other ratio spreads). Obviously you have to evaluate the skew and the current level of vol - both buying and selling ratio spreads works, but in different conditions.

Well, it certainly could be, but beware that a drop in VIX does no nessesarily mean that implied volatility has dropped (in fact, sometime you get both a decrease in VIX and an increase in fixed strike implied vols). Also, you have to realize that theta and gamma are the two sides of the same...

Dude, we never finished our BBG discussion on "what things are cheap and convex and will help you if the world blows up"...

Well, most of that effect is already baked into the skew and he only cares about the fixed strike reset which is usually fairly small. His main source of pain is theta, lets face it - it is such a waste of time.

Well, here is a question for you - if you look at S&P across shorter periods, do you think after a big 1-3 day directional move the price is more likely to continue going or bounce back a touch? If you think it's going to continue on it's way, you should drop the losing side of the straddle and...

I would say my preference is to trade forward vol in some shape or form, be it root-time-vega flat calendars (gamma vs vega) or gamma-flat calendars (true forward vol locks). In distribution-constrained assets I like 1x2s and various other static distribution plays.

Don't forget that you are buying calls on forward variance and thus will have a couple forms of decay - one is actual option decay and the other is roll-down on the forward variance curve. This makes buying outright calls on forward variance a pretty bad deal.

I assume you are talking some sort of algo or stat arb strategy. Here is something for you to think about - are your strategies long or short realized volatility? In general, mean reversion strategies are long realized volatility and trend strategies, as well as various fundamental strategies...

Well, nobody is really trying to forecast inflation for the 30 year period, in all of these trades you are just trying to forecast the changes in long-term expectations of inflation. For starters, it's worth reading http://www.treasurydirect.gov/indiv/research/indepth/tips/res_tips_faq.htm to...

Start with reading Tuckmans Fixed Income Securities. Once you done, ask again :)

They had multiple long end bets that went wrong. The story I've heard was that it was two separate trades, one was a large spread of swap spread trade (10s30s SoS from my coverage) and another one was the 5s30s TIPS steepener (in real yields).

The price action today was a combination of shitty 2y auction and my former employer getting fisted by the market in the long end. I would say a 5y/30y flattener is in order here, supply tomorrow plus long end buyback plus end of month extension. But it might be a bit like peeing into the wind...

Yes, I do. I presume you somehow care about their indices? I only say things like this to high convexity blondes...

Well, a simple value on value scatter plot of auto-correlation against volatility (same rolling frame) would give you a general answer. What you are probably going to see is that at low values of volatility autocorrelation can be positive (trending) or negative (meanreverting), while at higher...