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<< decided against arguing cause it's counterproductive >> Of course it is hard to admit that you're wrong, that's in our nature. Losing money, however, is not a mistake, it's part of the game. My approach is to stick to my strategies and have a process for scaling the risk in different alphas...

It is easy not to have a losing day if you're running strategies with a Sharpe of 15. Problem is frequently, your profit does not cover the costs, which in HFT space are substantial. I don't have the figures on hand, but I think Virtu had a PnL of 700 million (raw revenue on their financial...

The latter. It's very easy to find an edge that works on a tiny amount of capital (say under a million), it's a fair bit harder to find an edge that works on medium amount of capital (let's say from 2 to 20 million) and it's downright hard to find an alpha that can be deployed on a 100+ bucks.

I'd recon PM team turnover at any large multi-manager is upward of 30%.

First of all, you were saying that Max Ansbacher is long vega and gamma (while his being short the wings was my statement). That's not the same as being long the wings. You are not serious, are you? In any case, I was merely making a statement that there are guys that are selling optionality...

Not for nothing, but I don't think the first charts look like SR 4. Something is not right.

Some sort of lookahead bias?

I quote from your initial statement: Do you think being long gamma or vega would even soften the blow in this situation? There really is no hedges against short gamma on gaps. PS. I don't know much about what Ansbacher does not, but when he was at Bear he was literally just short wings all...

Not really. I know a guy who had 30% of his net worth in XIV in Feb. He is a super-star macro trader, yet made that type of rookie mistake.

Decades. For example, Max Ansbacher has been around for 40 years or something like that. He sells equity vol in various shapes and forms, mostly vanilla OTM puts. Used to veer into light exotics (like he used to sell WoPs when correlations where attractive) too. I think he buys back the wings...

Not my preferred strategy, but that's not really true. Institutional finance (especially sell-side) is not a good indicator since most of these guys would get their risk cut at the bottom of the drawdown and could never recover. There are several options sellers who've been around for years and...

It's pretty much impossible to get a perfect backtest so there is really no good reason to make it more complicated. That's especially true given the product (FX is pretty friendly to test trading) and his desired Sharpe (I'd say anything over 4 should be tested live pretty quick)...

Well, about that - since in most cases you know that any latency-sensitive strategy will sooner or later start bumping into your w2w latency, you might as well right away write the actual execution engine in C++ from the start, right? I mean yes, moving execution from your desktop and finding a...

Also, a sinister thought is that since he's running a 200 yards, it's not wise for him to point out that true opportunities are capacity constrained :)

Here is the paper with the new research: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3177539 Here is a quote from his letter: "There isn’t one. That is, there isn’t a pure size effect (there is a paper). In fact, there never was a size effect. Among other issues, the data used to...

There have been at least 10 3-SD days last month alone :p

So in the spirit of debauchery, I have to bring up the Baltic Wet Index... When world was on fire back in 2008, all sorts of signs were coming up and circulating through Bloomberg message. So one day I get a message about the Baltic Dry, how it's dropping and it spells the apocalypse three...

"She straddled him weakly" It makes sense, but you are probably going to pay a lot of transaction costs vs the expected decay. Also, don't do it blindly but rather develop some way to decide if the intraday volatility is rich.

My suggestions (the following might contain some random letters as I am significantly high at the moment): (a) instead of using spot + div/borrow, use the implied forward for both SPX and SPXU. For each strike find (call-put) and then find the two strikes straddling the zero value of that. Use...

He is a former bank trader and he has a paid chatroom for retail? Hmm...