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Well, I have not and would never bleed or even cry for any of my employers :) However, I can speak from decades of professional experience in quant trading, both as a book runner on a dealer side and a PM at a couple funds. If there is one thing you learn is that there is nothing new under the...

Name something that you can do on your Linux box (if you own one) and can’t do on your wife’s MacBook? Apple might be many bad things, but there are two things it does well - it works and it has a native version of MS office. Every Linux machine i has required fucking around with drivers, my...

If this was the only event, sure it hurts, but as long as you controlled the size (read - was not stupid) and have plenty of other events coming up, it's a blip on the screen. If that was your "big day", then yeah, it would be mighty painful.

Or, if it's somehow can be perceived as a carry strategy, be ready to defend that it's not.

That's so not true and it totally suprised me when I switched from my Ubuntu laptop to a MacBook. My office neighbor is an HFT PM and he said something along the lines "if you think OS-X is restrictive, you have not used it much". You can do pretty much anything as an OS-X power user as you...

I find that there are two separate degrees of discussion. There is theoretical “what if and how about” which most professionals engage in all the time without holding back much. A chat along the lines of "in my experience, cost of risk is a better way of smothing out your transaction frequency...

@OneChicago - is the idea to compete with SS swap business that primes are providing? I can see how that would be interesting and beneficial. Are you going to provide a smart EFP setup too?

I don’t see a good reason for you to be up at this hour unless you’re changing diapers :)

Dude, all they are doing is killing the tax arb in the structured notes. It will not effect anything listed.

Can I call and make snide remarks? :)

Withholding tax from US market participants is not the same as transaction tax, you know.

It would be surprising if anyone truly knowledgeable would care to steal your ideas. You’re a smart dude, but it would take 10 min of reading your posts to figure out that you have no real alpha to speak of at the present. On topic. On average, my experience with IT people moving into trading...

Calling it “The Lynch” fund would bring certain inappropriate associations that are only suitable for the private equity firms :)

A blindfold for yourself and aprons for everyone else.

Very interesting, thanks! I don’t know anything about energy markets beyond snippets of what I overhear from fellow PMs or friends. Ps. This said, I have to think that this particular friend knows what he’s doing at least a little.

Partly, that’s true. Partly there is some level of mean reversion present probably and some is filtering through from the oil curve term premium. But let’s say it is purely a synthetic call option (which it can’t be, since weather might also turn out unseasonably warm). There is nothing wrong...

If you remove the seasonality, there will be some residual term premium (positive or negative). It is a risky trade, nobody arguing, but statistically speaking it can be harvested. I have a good friend who does exactly that in various OTC energy products (ones with lower seasonality are more...

Oh, I see - when you said "time value" you look at it vs spot, not the forward. I would describe this situation as "the put is pricing below the intrinsic value vs the forward". In short, you are saying that someone has mis-priced the forward which should never happen in the modern world.

Because there are no free lunches, the DITM call will be trading at or close to intrinsic based on the expected early ex even though the put would have some optionality left. No arb, nothing to see there.

Interesting. The only professional traders/PMs I know that have been fairly secretive about that process (rightly so) are HFT guys - it's clearly a tricky topic for them and smart ways can contribute a fair bit. Definitely my strategy pipeline is not a part of my alpha, it's merely a tool...