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GAT, I had a few comments on your posts about the (dis)advantages of being large and small when it comes to extracting alpha: [retail]- a smaller player has a massive advantage when it comes to cross-sectional strategies due to smoother weights [retail] - there is a garden variety of regulatory...

Two words: reverse convertible :)

I always wondered what exactly do they do. After all, the death rate is more or less constant at one per person :)

Indeed. The only people worse than insurance company are life settlement people :( There is a price for everything. If you are a smoker, they would still sell you life insurance, it's just going to cost more. You can do the same with options.

If we take a late retirement and an early death, we all should be OK.

People die at random, but that does not seem to deter the insurance companies from selling life insurance.

Bid is hit. Offer is lifted. :confused:

The straddle was priced near-perfectly at mean historical earnings move so there must have been sellers. Nice move and a good contributor to dispersion book which is a savior this year

I think bitcoin contract has a chance, though I think they should have made it physically settled (feels that something like bitcoin should have an active EFP market). This has low chances of success because it’s a liquid OTC product that’s well established and has little interest to...

Also known as LIBOR-OAS. I will make a prediction that it will be a spectacular failure :)

is neither :)

Same thing, yeah

Yeah :) it’s also useful to understand the various artefacts that can be produced by it (which is why it’s sometimes useful to winzorize the data, use digital correlation or use basket vs component variance instead)

Both VIX and SPX SQs can make for interesting options or delta one trades if you have a strong directional bias going into it the night before. VIX has been especially exciting for a variety of reasons.

Hmmm. Maybe, just maybe it’s 13 handle ? :)

It really depends. Knowing a fair bit of stats helps a lot for pretty much anything quant related. Knowing a little bit of linear algebra helps a lot, especially for stat arb type of stuff. Snippets of calculus help for options trading.

You heard right :)

Actually, exactly the opposite. Your comissions might be higher, but your liquidity requirements are lower by orders of magnitude. I can think of numerous cross-sectional strategies where as a retail trader it would be easy to achieve Sharpe of 1-1.5 after transaction costs that are simply...

Today, I was looking at the 5 day trailing realized vol and for a second thought that I forgot to annualize it :p So yeah, vol is LOW.

As a retail trader, you have a number of advantages, some of which you have listed below. I have written elsewhere that a retail trader can make pretty good returns on capital if his strategy satisfies the following - (a) capacity constrained and either (b) requires work that’s hard to automate...