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To quote my very first boss, RIP: "There are priorities in this business. First, don't go to jail. Second, don't get fired. Third, don't lose money. Lastly, make money"

Without going through the code - do you windzorise your return series before computing correlations?

Don't take this as a discouragement, simply a statement of facts and that you would have to work harder than most to realize your dream.

Well, there is a modicum of term premium, so something to exploit just not an arbitrage.

Maybe I am confused or missing an important detail in this logic. To get the div, you need to own the stock a day before ex-date to be allocated a dividend. Since the put will be pricing off the ex-div forward price, I don't understand the arbitrage scheme. You can always find a...

Well, I am pretty sure MMs have done ok even without this strategy :) There are people who make a living trading event vol (I used to do that myself in certain classes of stocks) but spreading it in any way is a market maker type of trade.

For a market maker it does make sense. However, if you are a net payer of transaction costs, simply trading the straddle is the way to go - otherwise, you are paying 3x the costs which erodes your expectation a fair bit. Also, chances are that you will get shafted on the Vega after the event.

I was just fucking with @ajacobson - my mandate is mostly to trade volatility in various shapes and forms, but I do some other more stat arb like stuff as well. It's gonna be hard. If you were more of a hard core compsci hacker type, there is a fair chance of getting into the door at some HFT...

Well, like anything, it’s only partially true. Yes, you can and will lose big on some trades, but you can diversify that problem away. Selling the earnings straddles is a statistical strategy that favors a smaller player. If you can afford to trade only a few contracts per event, you have like...

You are short a call which means if you have a counterparty that’s is delta hedging they would be short the stock against it. If the stock is hard to borrow and is bought in, the delta hedger is likely to cover his short by early-Xing the call. For a normal stock, back of the envelope...

Well, you don’t think you’re being offended by the round number more than anything else? If I recall correctly, top of the line Samsung is listed for 899 at the moment.

Actually, mostly in Asia. At my previous gig, I did some convertible-issuance related things in the US, but there is only that much I can do as a one-man band.

As a side question, do you believe that your back-testing/optimization methods are a part of your alpha? I have definitely found it not to be the case for myself and most people I’ve spoken to.

Unfortunately, I am forced to own two separate cell phones - one is a iPhone provided to me by the employer and the other is a personal Android. But yes, my next personal phone will probably be an iPhone.

Of course it does. In fact, I do some covert barn business myself (outside of the US, cause that’s where the juice is).

I have made the switchto MacBook Pro from a similarly priced laptop (one of the fancy Sony ones). I will never go back. It’s just a. so well made, down to tiny details b. SW/HW is properly integrated c. gives you both the stability of *nix and application range of a retail operating system

I was gonna say something witty about convertible bonds but iPhone did it for me: “covert barn” Worth saving for posterity together with stab art (stat arb) and vile Arab (vol arb).

Dude, volatility products are dead - it’s all about crypto now :) @Moon - a few questions - what exactly do you want to do? - why specifically options trading? - do you program and in what language(s)? - give a brief list of your coursework?

Yeah, the expiration day is fun. It’s especially fun if you are managing a book of barrier options.

As a survivor of a few Wall Street firms where “go big” was the culture, in the end it’s about ego more than anything else. Technical aspect aside, all of these guys had one thing in common “we know better and we are never wrong”. When you think this way, any size is OK. Sometimes these people...