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No, not 10 min before the close, 10 min before expiration. There are/were reasons special to SPX - by that time, options are pricing off cash stocks and there is potential for some deviation. It’s less so today, as there is a lot of people trading “match cash close” in futures and MMs use that...

In both cases, these were equity sales-traders - emphasis on “sales”. Most people now know how to use their broker front-end tools and do not need a monkey to answer the telephone. I have not spoken to my equity coverage person like ever and don’t see a reason too. People who are doing actual...

From my perspective as a PM, it would never be a decisive factor that a person trades well in his personal account. However, it’s definitely a good conversation point and can be a plus. So it totally makes sense to bring the trade records with you and be ready to discuss in detail. Same for...

As a general rule, any position that will get you face time with traders can potentially lead to being brought onto the desk. I have seen the following examples - at an IB, quants (mostly to exo desks, though), IT, controllers and middle office. At a fund it’s harder to move to a pm group (even...

There are so many options besides prop and BB dealers.

Yup, that’s it. WINdows Emulator :) I have an elderly Pentium running Linux seamlessly as my home server - so yeah

That does not feel like a proper dark venue in a stock sense of that word, though, especially with MMs having a peek at it, albeit post-factum. There is a reason a lot is still printed OTC, I guess.

Didn't Finney die fairly young like a decade ago? MS index desk used to trade with some guy that was his protege from the 90s and I vaguely recall someone mentioning that. Anyways, I would not be surprised if Mr. Brown here did work somewhere in finance. Question is, was he doing something...

I used to run Ubuntu (Mint is an Ubuntu-based distro) on my laptop. It's super stable, fast and not memory-hungry. You can run Excel via WINE, Excel 2010 works perfectly, macros and all. PS. switched to a MacBook recently which is Unix and yet it's so nice :)

But of course I am, as you say, chickenshit. I do not claim to have worked for "the biggest options trader", tell tales about being hired on the basis of live calls on spooz for a week or boast of owning jets and sports cars. Unlike yourself, I got nothing to sell and nothing to prove.

It’s the American Way. Success, no matter how spurious, is worthy of admiration while failure, no matter how well justified is a subject of derision. On the subject, besides the area-specific issues, I’d name excessive leverage and lack of liquidity. These have been key or at least contributed...

Are you using some sort of expiration level prediction or trading them on break-even basis only?

There was a very nice study done by someone at DB (I think) that shows how your "percieved" Sharpe grows over a number of optimization passes. It looked pretty scary, IMHO. My approach is "hypothesis -> study -> first pass strategy -> live trading in small size -> improvement based on real...

It's a tricky topic. Personally, I don't touch almost any ML-derived "strategies" with a vaulters pole simply because I don't like trading without a strong prior hypothesis (I have looked at some NLP-based stuff, but that does not really count). My sense would be that because of the non-linear...

Thai market is not as mature as many others and has a bunch of interesting opportunities because of that. I'd not worry about the IT infrastructure, if anything, it's good that it is less stable and fast. As an ancient Chinese proverb says “Muddy waters make it easy to catch fish".

Are using a neural network to solve for your factor weights or do you use to find the actual alpha factors? In the former case, the overfit risk is minimal, while in the latter it’s pretty high (and will require you to iterate through in/out-of sample to find anything stable)

I’d be very skeptical of any back tests and methods involving the tail events. A very small number of parameters will let you fit the history very well without much relevance to real life. In real life, you end up either with a bunch of false positives (and keep buying puts) or you end up with a...

I’d imagine level of negative selection in your fills will be inversely proportional to the ratio of your target timeframes to that of the faster players and directly proportional to your volume participation.

I guess I stand corrected - just went through the math in the prospectus and it does look like roll amount CRW is weighted weighted by the notional value of the futures. This way you get roll proportional to the ratio of the futures, not to the absolute difference. Although at these levels...

I am surprised that someone who does research for a living would make such a blatant error.