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Some friend of mine made an interesting point that you can think of bitcoin as a synthetic put on a basket of EM currencies. The more people are looking to move their cash out of their country, the more acceptance and value bitcoin is going to get.

For delta hedging to have an impact on the underlying you need rebalancing flows that are a large portion of volume. Something like that is unlikely in automated OMM business that’s geared mostly toward picking off retail flow. You do, however, see that type of effect when dealing with chunky...

You are misrepresenting what I mean by the “noise”. All things you mention are a true signal and, if anything, should be amplified. The noise would be situations where the abuse is exaggerated or completely lied about. An unrelated example. Take the Soviet Jewish refugees in the 80s that all...

Well, do you believe a crime (besides prostitution) has been committed here? Or, in case of DSK or Kobe Bryant? It’s not clear, at the very least (the fact that it’s a civil suit is very telling, IMHO). It’s not a problem of women’s rights and equality (I am an active supporter) but a...

I certainly don’t feel bad for Howie. My problem with all these stories (Dominique Strauss Kahn, Kobe Bryant, this situation) is that we get desensitized to these types of accusations. First, you are exposed to a multitude of stories like these. Then, at some point you hear about some Sudanese...

That sounds low. I would guess upwards of a buck. The colo fees alone are going to be a few hundred. No you do not :)

Allegedly barked then, right? My point is that the situation “a young college student stopped by to look at his art collection, but instead was beaten and raped” is very different form “a prostitute that specializes in S&M came in for a regular scheduled session where she got paid 2-5 thousand...

By simply reading the article, it comes across that - it was a repeat business arrangement and the ladies are professionals that specialize in this “specific area”. - the engagement ended, the ladies are looking for an extra payday (note that it’s a civil suit, not criminal). - to boost their...

AMM business has been amazingly shitty as of late. Most places are struggling to cover costs (tech and personnel) and it’s not gonna get any better until a blowup of some sort. PS. I can’t say I feel horrible about PFF businesses having problems.

Nah, the majority of the basis variation comes from dividends dropping off. The effect of expected changes in rates is very minor. Simple math - 1 point of SPX basis is about 4 bps. Dec FOMC is on 12th, say there are 10 days left from it to expiration. That would mean that a 1 pt change in...

http://catb.org/jargon/html/A/All-hardware-sucks--all-software-sucks-.html

I just went to their web site. The "free trades" thing, man.

Yeah, even small kittens now cost a fortune!

Think it'll work?

That's the aforementioned beta behavior - it's closer to a sticky strike. I am describing specifically how in low vol environment SPX starts acting sticky delta, especially in a rally. MMs say that "vol surface is floating" when that happens.

So that's sticky delta behaviour - for example, you buy an SPX call at 6 vols and when the market rallies vol actually goes up.

My questions would be along the same lines I'd ask myself about a strategy. risk: how correlated are you with the market? do you only go long or do you go short too? what are your transaction costs? in total, how many trades where there (irl and in the backtest), what was the average return and...

It describes what happens to the implied volatility of a fixed strike option when the underlying moves. Let's say the stock is at a 100 and there are 3 strikes you care about 95, 100 and 105 with implied vols of 12, 10 and 7 respectively. You buy a 105 call because you think the vol is cheap...

For equity index options it's mostly sticky strike (or, better described as "beta-vol"). When the vol is low, though, indices start to behave in a sticky-delta way in a rally.

I assume it’s an AMM shop attached to a large HF, right? Biggest does not mean the best. Biggest does not mean the brightest. It just means what it means. Best example is Citi :D In this case, they are happy to pay for flow and take down a log of volume. If that’s the shop I am thinking about...