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It's going all right for me, but I want to be able to take Patrice to the office. Actually, met a dude a few days ago - their fund is in a brownstone on the Upper West Side and the two partners bring their dogs to work.

That's investment bankers, M&A types :)

I recall a day when one of the index arb guys at Bear Stearns traded 50k spooz MoCC instead of 50k SPYs MoC.

I aspire to be a dog walker, but there seem to be very little time left after the end of the trading day.

When I was 8, I was working a local paper route over the summer. I had a choice of employment at a local boutique ice cream parlor instead, but I felt that experience in public service might yield better career perspectives. Alas, it was not to be. One day, while throwing a copy of Hicksville...

I was actually hoping for the “most handsome” award :) on a serious note, I think whatever success I’ve had is very much due to luck.

Isn’t that technically illegal? As in the MM to be a separate firm with a designated routing, no?

Lol, 56% @ 62%. I would have happily paid the offer there (and would have made out handsomely since then :P) You sure? I did it on a phone calculator and it sort-of made sense (delta-adjusted to ATM and divided by 0.4). PS. Just did it on BBG and yes, you are totally right - there we go, the...

If I recall correctly, it was ref 14.6 or something like that, what's what I back out vol based on (not that those 400 dollars would matter). I'd recon a fairly tight market would be 160 @ 220 vol, so say 62% @ 72% percent of spot. There will be a fair bit of trickery there, depending on the...

OP is a troll. That makes any opinions he expresses irrelevant :)

I guess. I was just giving a general idea :) For example, if I was a vol seller via put or call spreads, thats where this method would really shine - in fact, I'd recon that despite the higher costs due to split executions it would be still worth it.

Is the quantitative idea that every new time point along the trend increases probability of next one being along the trend? Thus adding to the new trade has improved probability of success?

Put the winners in your qualified account and losers in your taxable account... or at least do that based on expectation (i.e. the alpha leg of the trade and the hedge leg).

Except S&P does not have 30% volatility :)

There are some funds like that, true, like Pershing Square. Then there are funds where you have a multitude of smaller PM groups, like Millennium or SAC (sorry, Point 72). Then there are funds that are these large aggregations of specialized groups, like Bridgewater. It's hard to generalize...

So far I have downloaded the 32bit version of kdb+ and was going to start playing with it in my spare time. Nothing I do at the moment really requires it, so the whole migration is going to be a slow.

That is an understatement of the year :)

Well, that measure is going to be correlated with the absolute level of volatility since 1 SD (as measured by the ATM vol) is going to be further in high vol times, thus taking higher volatility. So it's a measure of general risk premium, not a relative representation of vol path.

Yeah, I am not sure that's an endorsement in my book :)

Yes, call buying has been a way for people to dip their toes into being long vol for the past year. And indeed, we are seeing the same thing but from different time frames.