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I assume it's a vega play? In that case, you care about the relationship between your dVega/dSpot vs expected increase in strike vol - does that expectation compensate you for the decay.

Indeed, the amount of conventional artillery on the border is such that it's virtually a guarantee. A weak form of MAD by the North and I'd not be surprised if they have some form of dead man switch too.

How is it possible? - we had the perfect environment for this kind of strategy

It's a known thing. Here is a quote from yours truly in the recent thread on VIX: That's the issue with most structured products, ETFs and QIS. Unless the product issuer get paid based on forward looking results (e.g. some sort of profit sharing agreement) or they are somehow forced to invest...

Well, why would anyone want to compete with the big boys? If you gonna be a quant, try to find a niche that has less institutional presence and work out some alpha there. Same goes for fundamental analysis approach - it's not likely a small trader will have an analysis/information mosaic that's...

I am not saying one or the other way is "right", there are pros and cons. There are long/short funds out there that force managers to have equal amounts of longs and shorts. You end up with high conviction short that do very well in downturns. That approach, predictably, is a drag in a bull market.

Most stocks will get more volatile as they sell off, thus producing similar dollar returns. Unless you mean something else?

Well, that might just mean that you're trading in a bull market :)

I would take the other side of that bet if I could - going long DB and short XLF makes a ton of sense (I'll get back with the ratio in a few, probably something like 1.3-1.5). Think of it this way - DB going bust is a proper crisis, so there will be contagion to other financial firms. So DB...

Long lean - meaning you prefer to have an overall long position with respect to the market? As an alternative, you might have equal amounts of longs and shorts to be net neutral

What was the underlying for the strangle? I must have missed it. CRR and CBMX positions, are they expressed via options too or just stocks? Is that the type of stocks you usually look at, low beta, mid-cap names? What is your name selection criteria? How many names do you look at any given...

Some years ago, I had volumetric measurements done a few times and compared that to the results from using calipers and from using an impedance scale. By now, having gone through so many diet cycles, I kinda know what I look like at different levels of body fat. Just for the reference, I am...

You do realize that only retail is constrained by the listed increments in the option prices? When a hedge fund calls the dealer desk, they would frequently quote in small increments - then exchange print would still be kosher by fudging the price of the delta.

Most any calorie-restricted diet will bring you down to these fat levels and almost any primitive life will force you on a calorie-restricred diet. Also, almost any primitive diet will be unbalanced either toward carbs (like your example) or towards fats (Eskimos, for example, consume 90% of...

An alternative explanation(s) would be that (a) in the world of increasing economic prosperity, wars have become more socially expensive and harder for politicians to justify and (b) nuclear proliferation and the resulting MAD doctrine has prevented a full-out wars between super-powers. Please...

Considering the relative volumes in the two contracts, it's safe to assume that it's a drop in a bucket. The analysis above, is that interpolated futures? Do you do day count correction first?

Yeah, with hookers and blackjack! If you had to guess, what vol spread they had to pay on these?

I take it back then, indeed it sounds wrong. I think people here do not grock the motivation. It's not about the producers, it's about hedging the possible loss of tax revenue. I am surprised more countries do not do this, it's just a natural way to smooth the economic cycle a little.

I think he means the benchmark.

Yeah, sure... I am competing with the Russians in the space race too :)