Search results

Indeed, futures are more liquid and will tend to "lead" the price of stock during the periods of volatility. It's very unlikely that anyone except HF index arbitrage desks would be able to profit from the actual lag between the two. The "derivative" bit just means that the final payoff is...

He's totally right, short sellers have very little rights (even non-retail ones). If it's a hard to borrow name, you can get bought in and sometimes it happens within a day. C'est la vie.

So you are making a statement that the fraction of companies that are lying so high as to make any fundamental data a coin flip. It sounds a little bit like a conspiracy theory, don't you think?

Oh, is that so? LOL

That's not what I was after, I was wondering simply why you have such an emphasis on liquidity profile for contract selection considering your own size? Ps. Sorry, maybe I was not clear - it was more of a general question across all your futures. I am sure you explained it before, too.

They are probably one of the better "lower tier" firms, but by no means a gateway to success. Working for a market maker has a bunch of drawbacks, main one being that you are mostly learning how to make money using their (very good and fast) infrastructure. One would probably do better and...

Futures carry is not my space and I might be missing something. What is the rationale for choosing the most liquid contract given that your size is a negligible fraction of liquidity across the curve? Or do you assume that you will get the best execution quality this way?

Besides the obvious ML stuff (e.g. NLP for news or filings analysis), there are pockets where SML techniques have proven to be very useful, for example where you need to be combining signals from multiple factors. I, however, have never seen it as a source of alpha.

Have you actually verified it to be so or you just expressing your feelings?

Just FYI if you are using VIX or VSTOXX as "implied" you will be getting consistently incorrect results. I will "leave it to the reader" to work out what exactly the issue is.

That's not really true unless you are sitting on some captive flow and are trying retain your edge. For most people, the risk management is secondary to alpha generation - if you do not have alpha, you can't generate revenue no matter how well you manage risk. A few comments: 1. Systematic...

Digital Gulag would be a great name for a business :)

How does it work out for you in terms of capital efficiency? Do you have portfolio margin and thus can generate reasonable ROC even on delta neutral plays?

It's been a few years - used to be a nice French kid that spoke to me on var swaps

Lol :) the general idea is that for a physical commodity, spot price will be the most volatile and then subsequent futures will be progressively less volatile as the spot volatility is dampened by the mean reversion. That's why for most physical commodities ATM vol curves are inverted

A while ago, TFS gave me a polo shirt. There was only one member of the family who was the right fit (XXL):

OK to poor? Liquidity in VSTOXX futures is a joke. Today $1.2 million Vega traded in Octobers, total open interest in Vega terms is 12 million. In fact, the lack of liquidity probably makes them perfect for a private size trader. PS. The only way to trade options on VSTOXX is OTC. Been there...

The real question is "what vol to use" :) oil futures implied vol will be underpricing the spot vol because of the Samuelson effect, so maybe take the options on the front contract?

Yes, good money can be made making markets in that stuff. Lots of money has been lost doing so :)

I will answer in more detail tomorrow, but in general you don't want to have variance swaps in the book unless (drum roll) you want to be exposed to variance swaps. So no, MMs would just try to run a balanced(ish) book and avoid f*ck ups.