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rtVega = vega / sqrt(max(21, busDaysToExp)/252)

You want to divide vega by the square root of time, not multiply. Let me get you an example on a couple of real options.

So my first impressions with QuantLib is that (a) it was easy to install and build for basic things (e.g. European/American option pricing) (b) I have no idea what's under the hood (c) custom products require serious hacking (no payoff language) (d) I probably need to hire a consultant for a...

No, not really. You are missing an important variable here :)

The idea is the short-dated implied volatility moves around more then long-dated, right? Which means you need to be dividing by the square root of time to get root-time-weighted vega. So, a cursory look (also, I am flooring the front at 1m to expiry, otherwise root time vega tends to blow up)...

Unlikely. It's a 2nd order risk and rarely will result in a "oh my God, wtf happened today?" moment.

Take vega for each option and scale it by then square root of time. That's your root time vega. If you want to be roughly insensitive to the first order moves in the vol surface, it should add up to zero. PS. Today's changes where roughly root-time consistent. I see June and Sep root-time...

1. Analyst reviews! Every word of it was an instant quote. 2. Pizza with caviar! Utterly horrible and perfect at the same time PS. I guess the next episode will be the last one :(

How well did your strategy do in 2008 and in the fall of 2011?

Yup. You short an 60% put with a digital kicker (so it's a put spread plus a put) and buy 100/120 call spread. That plus a zero coupon bond. Forgetting the funding component, you can DIY a 2-year booster fairly easy, especially when vol is high (OTM shorts will make it net short vol).

So you want the cake and eat it too? Plus, you'd like to fuck the baker while at it, right?

For a 100k? DONE!

Between Amazon and Fresh Direct, I literally have not done any physical shopping in over two years. I'd imagine there are plenty of people like that.

Well, thank you for the honesty :)

Sort-of, yeah. There are serious differences between the two political systems and because of that there is a lesser expectation of an upset (IMHO, I am not a political analyst by any means). But also I think the consequences of Le Pen winning might be more serious and if I see good risk-reward...

You'd think so, but the evidence is to the contrary. Seems like most successful managers/PMs/traders I've seen keep doing it until they run out of alpha. It's possible that the "number "is a moving target, of course (I've moved mine a few times in different directions). I have a 92-year old...

I want to hear that story! :)

Unless you are talking about getting more efficient execution due to bigger premium vs fixed costs, 3x ETS are are priced consistently with the underlying index (vol is adjusted by the beta and some simple forward adjustment, every MM does that for sure).

The answer is almost certainly "no". With rare exceptions, the increase in vega will not offset the delta losses. The exceptions that come to mind are really low delta options, the ones that are either far OTM or marked at a very low vol. Also, it could be true for products with extremely high...

"Won" would be a fair statement if she had gotten over 50% of the votes today. She did about as well as the other 3 within the margin of error :) I guess we shall see on May 7th. PS. The bookies seem to favor Macron by a lot, which makes me want to go long Le Pen.