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Selling weekly 25 delta calls at 4.5 vols qualifies as lunacy :)

Actually, selling OTM index puts has been a great trade, on average performing better than the index itself (risk adjusted). My boss used to say that “selling risk premium is like sleeping with strangers”. I think it’s a good analogy - you want to do it when it’s attractive and you don’t want...

I have always maintained that being short various forms for risk premium is a perfect retail trade. - Their horizon is in decades and not months, so they can survive a year-long drawdowns. - They do not have a risk manager to tap them on the shoulder at the worst possible time. - If the size...

It’s trading the same number of contracts. The index is replicating a “30 day constant maturity futures contract”. To keep that maturity for N contracts, every day they have to sell N/30 of the fist and buy N/30 of the second.

Dude, seriously? Every day the ETF manager is buying the second futures for a higher price and selling the first futures for a cheaper price, thus locking in a loss with every rebalance. Think about that for 15 min and tell me how VXX decay is NOT a due to the upward sloping curve.

Actually, the missing bit is “acceptance”. Some things are useful and rare, but without universal acceptance value is not there. Bitcoin is definitely useful (at the very least as a vehicle for shadow economy), scarce by design but acceptance is still lacking. If we see the user base at a...

It would be identical to trading the curve and VXX time decay is exactly from contango, just in a different form.

Yes, I know these trades and (for lack of a better description) am intimately familiar with one of the legs. There were a few variations of various degrees of exoticity, from a vanilla 10 year put on SPX to 15 year worst-of put on [SPX, NKY, SX5E] x USD. It was a very smart trade for them. The...

While we are talking about lies... I would like to call bullshit on the exhibit below. You were a quant? My guess is that you don’t know the first thing about options math and trading in a professional setting. In fact, from what I've seen you struggle with very basic concepts.

I trade Thailand as one of my markets - tricky market with local/foreign shares and some other quirks. Going there (gone every few years for rock climbing) is fun. More fun than trading their markets.

Honestly, dude, over last 25 years there were something like 50 occasions when VIX moved over 20%. Even if you would have happen to make money on all of them, that’s t-stat of 8. Accounting for the backfit (did you mention how many free variables you have?), that would be barely passable. If...

You mean 98 and 2001, right?

Dude, on that date VIX (not ETF, the index) went up 51% overnight.

True that and, as I said above, the manager has to be HOM first and foremost, which negates this risk.

Well, it depends. If most of the managers net worth is also invested in the fund, this risk goes away (in fact, most FoFs insist on that these days).

I was just going to write that activist funds do this sort of things all the time. Buffet is one of them. From the investors perspective, there is a positive - you know more or less where the money is and why. There is a bit of assymetry risk since, assuming a standard fee structure, you get...

It's a very different risk premium and with it comes a different PnL profile. Gamma is a gap risk vehicle, so you pay/collect way more in good times and have a much quicker draw-down/recovery cycle when things turn bad. Think of it this way - imagine a curve with 1m at 9% and 1m1m at 10%. The...

Would not say anything bad about it - maybe not the top name school, but looks solid. I was mostly referring to the fact that he got his PhD late in life and his desire to do everything under the sun without any experience in the field. PS. My school is still better than his :P

Not to sound condescending, but how well do you know the modern quantitative trading landscape? It's a very different world now from 20 years ago.

Yeah, a true recipe for success, right? :D Add an unreasonably high margin to that... The popularity of the VXX/VIX among retail makes me wonder if a formulaic delta-hedged straddle ETF, something like the put-write index would be a success. It's not very hard to do, it's just a question of...