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Oh, not THAT again :) In general, volatility strategies have a tendency of being more capital intensive. That’s especially true if you delta-hedge. Once you start doing something that has relative value components, returns on capital shrink a lot. There is also a matter of access - there are...

That’s not their business and they do not have any desire to run it. Different risk, different capital requirements etc.

My question was if you felt that earnings moves are better expressed in SDs multiples of the ambient days or relative to historical earnings moves for that stock. E.g. you see a stock that moves 1% per day normally but is pricing in a 5% earnings move. However, historical earnings moves were 6%...

I think the fact that single names are volatile and are subject to nasty surprises is the reason to trade them :)

If you had told me “35-40% win rate and 0.6 information ratio” I would not be arguing. I know event trading well, but maybe you you have a really smart selection process. However, once you pitched 2+ IR, 75% win rates and 80+ ROC, on a long risk premium strategy is really too good to be true. I...

Like anything driven by supply and demand, implied volatility does go up and down. Obviously, if you have a position in options, you will make or lose money due to these moves. It could be reprice of the event or simply a bid for ambient volatility. However, there is nothing systemic about it -...

It's an interesting question, does the market price the earnings move as a multiple of the ambient volatility or does it price it as an outright move. My experience is that it's the latter, since the earnings move is idiosyncratic to the stock, while the ambient volatility is largely explained...

It was pretty clear from the start that Virtu was gonna get rid of all non-UHF types of business that KCG had. Plus, KCG was a multi-manager setup while Virtu is a one-team-one-scream. Some of those people were kept on for a while to ensure smooth transition, some left on their own.

It’s simple. 252 is just a number of business days in a year, but it’s just an annual factor. Imagine that you have a stock that normally moves 1% per day but also has an upcoming earnings that normally is 10%. If there are 10 days left to expiration, your implied vol would be A = (1%*sqrt(9) +...

Why, your motivation is pretty clear. You’re running a service to make money on the subscription fees :D I do, however, question the ability of your clients to make money based on your subscription alerts (described somewhere before). That’s the key difference between you and an OPM trader...

I would imagine that the key difference is your actual cumulative volatility position. What do you think your net root time vega was in any of those spreads? My sense is that anyone who was long index vol this year, either outright or via any smart spreads did not fare well.

There are several reasons for it. First one in my case is health insurance, unfortunately. I have a pre-existing condition which would make it impossible for me to get coverage otherwise. Second one is economy of scale with respect to infrastructure At the fund i have a lot of things taken...

Wouldn't it make sense to actually have currency on your instead of a substitute? :)

Not true :) Imagine this. Markets tank and the realized volatility increases above the approved levels. As an emergency responce, The Powers (see below for the complete list) come up with an emergency plan to keep the peasants content. They sell VIX futures in size. The supply of Vega from the...

I’ve spoken to them a few times - conceptually, they are running a relative value strategy, so it’s not all long vol. Smart business model. Though I think returns weren’t great, he’s floated by the fact that’s he’s the counter-asset for many portfolios. There are a few other guy trying to...

A currency trader named Larry Liked to collect lots of carry. He shorted some yen And was recently canned, But found a new job in a hurry

“I love money. I love money more than the things it can buy. There's only one thing I love more than money. You know what that is? OTHER PEOPLE'S MONEY.”

It’s a hard trade. While an increase in volatility from these levels is likely, it’s not guaranteed to be catastrophic. Even if it is, by the time it finally arrives you might bleed so much that you would be completely out of ammo. I knew a fair number of people who got bearish in the...

There are two separate “threads” to learning about options. There is options mechanics - the pricing, what makes them behave the way they do, how to execute etc. Then there is “how to make money with options”. The two are interlinked if you planning to trade volatility, but you can be an...