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What fraction of that 40% do you think is due internalized institutional flow? I should know that number, but I can't recall it.

It's awesome that you have graced us with your virtual presence, then :) I could not care less if you have a track record (institutional or otherwise), I was simply referring to the fact that you want someones account statements as a proof of ability. All I am saying is that the thought...

I guess that's why you are not working for a fund :) Retail trading has zero correlation with what this kid would be doing at a fund - different capacity, product set and different thought process. For a PM role, however, that's kinda the first question - do you have a track record? After...

So the guy does everything, from markets microstructure to climate change statistics :) By that token, I have a PhD in physics (from a good school, unlike this guy), maybe I will write some papers on behavioral psychology or defense policy. PS. PhD from "University of Arkansas Fayetteville...

Well, there are but for institutional traders - you can trade variance and volatility swaps. CBOE attempted to introduce variance futures, but they failed spectacularly.

I am pretty certain when SPX futures where limit down at the open in August 2015, VIX was up more than 32% (it closed up 40ish from a mid 20 handle, if my memory serves me right) - can’t verify it because I am on my cell phone. Anyway, the key argument is that all your efforts to control...

As a matter of fact, if - a strategy is built on a good prior hypothesis - the effect has good statistical significance - and the number of free parameters is low (preferably none) it's a perfectly OK thing to do. In fact, you would be better served building a collection of simple strategies...

So if VIX goes to 20 overnight, first you post a massive drawdown and then, since the vol is higher you make better returns on capital?

I can’t imagine there being a true contagion risk due to vol sellers, simply because none of them are systemically important. Even with the contribution of short gamma from all outstanding short RP, it’s not like it’s going to take S&P down 10%. Blow up will happen sooner or later. That’s a...

I am surprised Kama Sutra did not make the list.

Well, you’re obviously pitching your strategy (if not, than indeed it does not matter) and most people would want to understand what’s going to happen in a stressed market.

I am very happy to see retail trading the VIX derivatives, it creates a lot of opportunities for me in relative value space. So 3.5 yards of volatility exposure is roughly what, 300 million 1m fwd vega?

Ok. What was the highest level of VIX and biggest change in VIX level during that period? :)

Would you like a pony with that? :D In case of options data, you get what you paid for. I have a daily dataset and even once gave a subset for free to someone here. However, for various reasons I have decided not to ever do it again.

Is this a live strategy at least? For a risk premium product, 2 years is a pretty short period and therefore there is very little statistical significance to your results. Think of it, you are a récipient of the first moment at the expense of shorting the third and fourth ones. If you have...

While that’s true, it’s worth distinguishing a speculative position against a hedge one. In case of equity vol, the “chain of custody” is roughly as follows: 1. Equity owner buys an index put outright 2. Dealer index desk that has sold the put hedges delta and covers the convexity 3. That...

It’s not the strategy that stopped working (not like “oh, shit everyone is doing it and it’s tapped out”). FX carry used to work well due to the relationship in volatility of interest rates vs FX. It’s basically used to be a form of risk premium and now it’s gone, in part due to central bank...

Yeah, I don’t need anything sophisticated - simple rules to dump different things in different sub-inboxes and some simple scripts to export them.

Not this stuff, these are more along the lines of tactical sales and analyst notes and intraday runs for things like var swaps. PS. My iPhone want to correct “var swaps” “bar taps” and, most importantly, “analyst” to “anal yeast”. Ouch.

I am not a big enough fish to ask for a special treatment of that sort. It’s stuff like analyst research or daily runs, so nothing “large scale”, but I still want to automate the saving process