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Dunno, man, the vol on those is always so overpriced...

There is a coon up there, but he's pretty fast :) HFT fast

Hard to tell now. I am sure it will be clear in hindsight.

There are two parts to my statement. One is that a lot of bank papers are example of proper statistical masturbation. Since the strategy desks are not getting paid of risk adjusted returns but getting paid for publishing ideas that look good, they would frequently come up with back-fitted...

It's very hard to find out what exactly was the P&L for something like that. Especially for that something that outsized the market and can't be completely laid off. Having been a part of similar corporate trades in equity derivatives, i would guess the P&L was meaningful but what part of it was...

Yeah. That's why those people work as strategists for derivatives desks as opposed to running their own portfolios at hedge funds. Any risk premium strategy would look good since 2009 especially when you add "parameters".

How do they separate "fees" from the cost of an OTC structure? The whole article is full of journalistic bullshit, meh.

"Do or do not! There is no try!" So, homework assignment. Take you favorite underlying, say AAPL. Let's say you bought a 25d put and sold a 25d call (both 1 month), sizes are calculation for position to be Delta and Gamma neutral on day one. Now, take the Greeks for that position and move...

My question was, how do you separate the dividend and interest rate risk from the spot risk? In short, do you assume that you will always delta-hedge with an appropriate combo? Or you don't trade far enough out for that to matter much?

So you look at forward delta and gamma? How do you de-tangle the funding effects and that sort of stuff?

As a general idea, the skew is form of risk premium - you are paying more for the expectation that realized or implied volatility will be higher along this particular path. Well, no - just like any other risk premium strategy, you are saying that this particular risk premium is mis-priced (rich...

A bit on the bitter "evil bankers" side of the story this time around.

In forward or vol? Cause you know... No, if anything (in instantaneous terms), it's a conditional spread on M1/M2. Assuming that you work out the ratios to neutralize outright vol exposure (terminal notionals, of course), you are exposed to the vix spot vs vix roll.

I would love to hear what you come up with!

https://en.wikipedia.org/wiki/Butter_tea https://en.wikipedia.org/wiki/Suutei_tsai I used to have a Mongolian roommate back in grad school and got totally addicted to that stuff for a while. There are numerous ways to make it, with either black or green tea. The super authentic form has sheep...

You realize that you can make Tibetan/Mongol/Kyrgiz style tea with the same effect? All you need is the caffeine and the fats (you don't have to add sheep lard if you don't like it).

Great way to go!

A few comments -- I highly recommend iPython notebook as a research tool, the whole embedded flow is almost ideal for strategy development -- don't think about the intricacies of the execution at the stage of strategy development, that's next step

VXX is a rolling index, every day it reallocates a little bit from the front contract to the second one. So, if the second contract is more expensive then the first one, even if the volatility stays constant, VXX locks-in a loss. So, if you think VIX is floored at some level and feel there is an...

He's saying that the trade has good odds because the probability of reaching the strikes is low, as based on low delta of the options he's selling. I was just saying that while the the probability of reaching the strike is low, the loss should he reach the strike is big, so that makes the "odds"...