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Fairly standard stock replacement trade for a long-short fund - 20-30 % ITM. Probably trying to play the run-up into the earnings. Really, USD 25MM doest not qualify as "serious size" for a company with 500 yard market cap.

Is that so? Maybe you are not covered by the right people :)

That's more for investment banking, IMHO :) Conan: So what are you doing here? Subotai: [holds up chains] Dinner for wolves.

I think Conan the Barbarian is a far more inspirational movie to watch if you want to work for a hedge fund.

To continue you paradigm, your best bet would be to find a place where a go-cart would have an advantage. I.e. go somewhere where you would bot be competing with the likes of myself.

My infrastructure is not built to compete on latency, so I don't do anything that qualifies as HFT. Otherwise, the type of stuff I do is all over - my mandate is very broad. Some is intraday, most, however, is what's called "medium-term".

Of course, since it's a risk reversal, what he holds at expiration is less then his maximum delta pivot. A totally realistic scenario is where he's got delta one(ish) against his 15s and VIX quickly rallies above the 25 strike

sorry, my statement was to Marty, not you (posting from a small phone is challenging) The best trade to do on the follow is to sell 12p against delta, IMHO

For his max delta? He's got a 1x2 on, so... you know, the 2x leg...

His max delta would be just over 50k short futures contracts if he's delta-one on the high strike calls. Of course, by that time he'd get fired and the whole shenanigan would be unwound at fire-sale prices (pun intended).

LOL :)

I know the guy who took it down, so yeah that's the trade. Real money client, AFAIK

Yeah, there are no free lunches but there are cheap lunches :)

Nope. A stop loss does not change the expectation of pain, it simply spreads it across time (so, instead of one large loss you will get a few smaller ones) plus due to mean reversion and transaction costs it makes the pain worse. Think of it this way - if stop loss orders really worked, you...

Well, a seller has a positive statistical expectation, but he pays for it with asymmetrical return profile. Simply said, an option seller is getting paid for talking on other people's pain.

Sorry, do you mean to imply that you have a tool of some sort that can discover new sources of alpha and implement a strategy to extract them?

The sources of alpha and (the sources of risk) are not automation unless you are talking about proper high frequency trading. For example, 80-90% of every one of my strategies is automated, but automation is just a way for me to get more done, there is nothing magical about automated trading. In...

There is a garden variety of methods to guess if the option is rich or cheap, from simple IR/RV comparison to more complex stuff. Most options are statistically rich, since a rational player would always prefer to be long convexity and should be willing to pay a premium for it. Ultimately, you...

what, in your educated opinion, makes "automated" special? From my perspective, algorithmic trading has it's own set of risks (plenty of known algo trading blow ups). There are many ways of making money in the markets (systematic and non-systematic, too) and "automated" trading is a small...

You also got guys that happen to buy a lottery ticket at the right time (btw, Soros falls into that category somewhat, with Taleb being squarely in there). Unfortunately, it's very hard to attribute success in this business. Is 3 jets enough? :)