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I mean “outlook programming”. For example, I’d like to automatically save PDFs from the broker research emails and scrape market quotes form some of the OTC quote summaries.

can someone point me to a good outlook tutorial? Need to up my email Kung-Fu a little

Imho it looks more like “we want to be an asset manager” type of move. Some funds like AQR have done it explicitly, but I think that’s where all bigger funds are headed cause performances have been disappointing.

Dude, I was just making a theoretical remark regardless of what the OP is planning to do :) I think 50k could be better spent on hookers and blow, though

No, both borrow rates and dividends lower the forward and thus increase put premiums. Increase in financing rate raises the forward and thus increases the call premium.

If you have solid alpha that’s not sensitive to latency, there is nothing unreasonable to try to use electronic market making as a venue for trading volatility or dispersion. It’s still a fair bit more hassle - I’ve never done it so not sure about the exact nature of it but i have looked into it.

Just a word of warning, this is only true for European options.

LOL indeed. Various modifications/variations of the Bachelier formula were used in the options pits way before him, in the 20s (“delta sheets” was a common tool). There were a couple firms that have invented models that were pretty much identical to BSM was before too and kept it a secret. I...

Yeah, could you elaborate on that “high level math”, I never heard of it? As a general statement, its hard to overstate the role of luck when it comes to making it into the top X standard deviations. Brains, hard work, connections and all that good stuff will only take you thus far.

First of all, he himself does not trade anything, he’s a bookie. His success, while admirable is as much product of luck as his brains and hard work. Second of all, the fact the he personally does not like/understand some particular product(s) does not mean that there is no future for it. He’s...

Someone said something like “it’s high, but it’s meaningless” - I was just saying that if there is a chance of it getting to the strike, what you realize along the way will be pretty high. When you are forced to refit that normal distribution so the fourth moment is expressed via second one, you...

Wasn’t that what I was saying? :) the fact that it’s a far wing will support the price and this make the IV higher, right? PS. Actually, if you think of the type of gap required to get to these low delta short dated options, vol that’s “implied” is not that unreasonable

So that option opened at 62 vol and has been around 50 handle the whole day. I assume the op had delta against it?

It’s a tricky question - my and Rob were just discussing it and agreed to disagree. If the option was closer to the money, the expected decline in vol would be very dramatic, on the order of 50 vol (to give you a sense, my model gives Friday ATM vol as a buy at 37 and a sell at 44 or higher)...

You do realize that you are holding a 90 vol option with 4 days to go? if the Vega does not get you, than the Theta will. PS. My model gives a 12 vol decline for tomorrow morning

Yeah, it’s been pretty reliable considering how rough I am with it. It’s cheap to park at my garage - 500/month for it vs 650 for something full-size (or just under a grand for something that qualifies as “exotic”).

Stored separately or on the same platform? What do you define as “huge”? You can get 1TB for USD10/month on most major cloud storage platforms, it seems

LOL, I think I was genetically engineered to hate every place outside of Manhattan :) PS. I think I am staying with my Fit for the next year - nothing I saw I loved

There is a bunch of "quantamental" funds that do more or less that. As long as the process is rigorous (e.g. apophenia in the form of chart reading is not) and quantiatively sound, it totally fits the bill of "systematic trading". Everything else is very flexible. For example, in my space, I...

When did I write this, out of curiosity? Probably the former, though it's hard for me to remember what my definition of a system was way back when. I drifted more toward a systematic approach over the last 7-10 years. Partly it was because I got a broader mandate with the resulting...