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Usually, quality of your PnL (e.g. Sharpe/Sortino or such) is a trade-off vs your transaction costs (i.e. PnL per trade value). So the more you trade, the smoother your PnL is but the more you pay in TCs. If you have a way to tell that you have a slightly better or slightly worse trade, you...

I meant to ask how you determine the amount of Spooz delta you carry for an given futures position? Like I have a "smart" VIX model that tells me that a var swap would have delta X, convexity adjustment would have a delta -Y etc, but I suspect it's an overkill.

Well, you might have a positive expectation on a rare event but you need to keep the investors money for that event to arrive. Indeed, his main thesis (having actually spoken to him in person years ago before he became a celebrity) was that gamma is overpriced and kurtosis is underpriced. While...

Out of curiosity, do you use proper var-swap (with appropriate adjustments) based deltas or some form of ad hoc beta?

Well, first of all that moniker is already taken. Second of all, what he was doing was very different from your approach.

I don't think you understand what exactly a market-maker does in the modern market. In any case, "pricing the infrequent events" is so difficult because these events are so infrequent. I've yet to hear anyone being able to do it consistently and not bleed to death (as it is the case with NT and...

LOL, how did you come to that conclusion? FX options are one of the most liquid vol markets out there, comparable only to equity index vol.

You do realize that both of them mostly trade various forms of relative value as opposed to simply "buying options", right?

Also, if you had a colonoscopy, how did that feel? :)

Out of curiosity, why? Annoying format?

well...

Trading OPM covers a lot of ground, from helping your uncle manage his 401k to running a 10bn hedge fund. Different strategies, different models yield different results, so it's hard to generalize.

I made a million and a half KRW while reading this. There, 7 figures for you :P

I was constrained by lack of capital, unfortunately.

To quote Linda Evangelista, "We don't wake up for less than $10,000 a day." So, in case of systematic strategies (which is what I do at the moment), it's a question of the extra hassle and maintenance. Eventually, you have way too many strategies and life becomes messy.

Purely scalability of a given strategy. It might produce good ROC and really nice risk metrics. For example, I have some strategies that have really high turnover and as a result, produce ROCs of 50-75% and SRs of 5-6. However, at some point, the total output is so limited that the strategy is...

Oh, I understood it as "it's been going so well, I might turn to washing toilets for enjoyment". Hence my suggestion.

I think the plan should be, if cleaning toilets really turns @d08 on, to make enough money to buy a bankrupt mall...

"the sheets" :)

E-minis. The index was around 1k at the time, IIRC.