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WTF, my shitty hood (10028) made that list too at #48: https://www.forbes.com/sites/samanthasharf/2017/11/28/full-list-americas-most-expensive-zip-codes-2017/ Fake News!

A good friend of mine trades these, lots of interesting stuff to do apparently - especially if you have a fair understanding of the capacity for various players.

https://en.wikipedia.org/wiki/Cryptocurrency_tumbler

Indeed. For a second I thought we are having a civilized conversation on the optimal execution, but I guess not really. Most of my strategies lose 20-40% of theoretical alpha in transaction costs. Higher frequency stuff pays away more and lower frequency stuff pays less, but it's a meaningful...

I am just saying that trading a spread and trading naked options are somewhat different skills. If you have a good call on price, trading spreads makes more sense (assuming you can overcome the additional transaction costs). If you are trading volatility, it makes more sense to trade naked...

Out of curiosity, what percent of alpha do you think you are paying away in execution costs, slippage etc? PS. It sounds like you are one of 'em 80% win ratio people, so having discussions about negative selection bias in taking liquidity and such is probably a waste of my time

If there is one thing that many people learned recently is that hoping for sanity is not a strategy. I have so many friends who were supporting Trump in the presidential election because "he's an executive, he will do the sane thing the moment he gets elected". Look how that worked out.

While tongue in cheek, the general idea is that eventually idiosyncratic movement adds to less than the movement of the market, even if it composes a big portion of the daily variance. It's like those Russian cars - every part is moving separately but the whole thing gets to the same...

LOL. Do you really believe that there is any correlation between the corporate tax rate and the levels of wages?

Options are priced off the forward price of the stock which includes all expected dividends. That means if there is a 50 cent dividend coming up, the put is going to be pricing as if it's 50c further ITM and the call would be pricing as if it's 50c further OTM. Because of the put-call parity...

A retail customer (or any non-MM participant) is almost always best served by working an order. Yes, you are not guaranteed a fill (* but guess what, you are not even guaranteed it if you try to take liquidity) but you are improving the expected value of your execution. Someone might be...

I think there is selection bias hiding in these words somewhere :)

I would be down to pay more if I got something for that money. Health care? Higher education? Retirement and social safety net?

If anything, you have to be "more right" on the spread than on a naked option. At the limit, a spread becomes a digital bet, i.e. if you trade a very tight call or put spread, you will have almost not exposure to volatility (as would be evidenced by negligible gamma and Vega). On the other hand...

The belief about VIX expiry being manipulated is rather outdated - the new settlement process (circa 2015) makes it expensive to do so. What you have seen is an actual demand for the strip due to the arbitrage trades. Anyway, that’s an aside here.

That was my belief too, but @ET180 is stating otherwise.

In finance there are so many trade-offs that this approach is most sensible. At some point, I was trying to get a project going while working with a partner PM. He was a perfectionist programmer and literally obsessed over things like "we gong to have a script sending emails in this format" etc...

Do you think this is something that people commonly do? I.e. liquidate their losing positions and opening a short put at lower or the same level?

I have gone through these a little while ago. There are pros and cons, obviously. If you own physical real estate, on one hand you are not marked to market, but on the other hand you are completely illiquid. You get nice tax advantages but your transaction costs are from 8 to 10 percent, which...

Besides the challenge of managing a large asset base, most of these traders weren’t good risk takers to begin with. At an investment bank, you usually are a receiver of transaction costs, and you are highly plugged-in into the information flow. A trader in a fund is trying to extract alpha while...