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Martin Skreli strikes me as someone who has made a lot of money off convexity bets while seemly not understanding it. It appears that he got wiped out more than once shorting bio stocks. The OREX trade being the biggest one (which lead to his current fraud trial) In his videos he routinely will...

http://www.zerohedge.com/news/2017-06-28/goldman-looks-policy-error-fed-finds-something-unexpected Hatzius doing a great job as usual

I found some data on the VXO to see what vol did back then. This is the VXO intraday high only (so it represents the 'margin call' risk)

The margin call issue is probably why Taleb says that anyone selling options, without offsetting positions, need to have a minuscule book and why market makers don't get involved in big directional positions. The backtests often miss that risk (who assumes the VIX can go to 200?). Niederhoffer...

A mistake I made here, the 87 crash was worse than the paper author made it out to be because one of the periods the author said was worse than the crash was the period pre-87 crash (so part of September and early Oct 87) which to me, is pretty much the same thing. If someone blows up pre-crash...

During my research I also run into a paper by Taleb that raises an interesting point https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1012075 So he says that people making markets in this stuff try to have as neutral book as possible, this suggests that they don't really know how much...

Also I did a bit of digging to find the most extreme % changes on a monthly basis for the S&P Composite (total return) First thing that jumps out is that the idea that markets 'don't crash up' is debunked, a 17%, 19%, 28% or 51% monthly positive return sure looks like an upside crash to me...

The most interesting options paper I read so far is this one https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1519274 http://www.fields.utoronto.ca/av/slides/08-09/finance_seminar/broadie/download.pdf It talks about how, for instance, put options are simply levered short plays on the index...

Having said all that, options is not really my speciality, I'm still forming my views on that. At this point I can see both sides of the debate. I do think writing options have its place in a portfolio, also I can see buying them making sense. At this point I would say both of them should be...

So there was that discovery that 87 wasn't even that bad for put sellers "It is somewhat surprising that period (b), which includes the October 87 crash, was not the worst month for selling puts – in fact, it was only the forth worst after periods (a), (c), and (e). Even though the decline in...

I have been reading some academic papers for my put buying research and it confirms my backtests, OTM put buying loses money but it appears to also hurt risk adjusted returns as well. So it looks like I wont need to buy data as this seems to be consistent across the papers. Yet I don't...

Long-term put options returns

Nasty bear trap BTC and ETH. These things really looked like they were done for, then it just rips $250 like it was nothing

The Fed is incresingly hawkish http://www.zerohedge.com/news/2017-06-27/did-feds-fischer-just-ring-markets-bell

"For example, during the mid-2000s, financial conditions failed to tighten even as the Federal Reserve pushed its federal funds rate target up from 1 percent to 5¼ percent. Conversely, at the height of the crisis, financial conditions tightened sharply even as the Federal Reserve aggressively...

Another diss. The subtle message is 'I dont invest like Taleb, he doesnt run my fund so dont worry, my fund wont fail like his. invest in mine and it will be fine'

I just finished listening to the book "The Dao of Capital" by Mark Spitznagel, I found it a very good book, much better than I thought it would be. One of the things that struck me is how much of a subtle diss to Taleb he mades through the book. Two instances And then in the final chapters...

Interesting finding in my put buying strategy research: "It is somewhat surprising that period (b), which includes the October 87 crash, was not the worst month for selling puts – in fact, it was only the forth worst after periods (a), (c), and (e). Even though the decline in the underlying was...

The Silicon Valley folks also tend to get saved when they grow a little more skeptical (as opposed to being a perma kool aid drinker) and sell their shares, usually in those private placements, IPOs, offerings etc. They get to keep some of their wealth if/when their companies blow up. Perhaps...

What is interesting is that these typical WS assholes usually get rich when they drop that act and get optimistic. One day they wake up and think 'maybe I can work at Goldman Sachs and earn a big bonus', they will get in touch with contacts, apply for internships, jobs, etc. And then one day...