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Is it easy to create a custom calendar for countries they do not have?

You are suggesting a trade that is statistically (real world expectation, not Black Scholes) a loser or at best break-even and has a maximum upside of the premium collected. Trades above are also statistical losers (higher probability of loss, of course) but the upside is unlimited, at least in...

You are not taking the other side of "those trades", most probably you are selling your options to market makers. Supply/demand for the extreme wings is an interesting animal. In the index space, it's mostly regulatory and hedging pressures that drive the demand and supply is provided by vol...

High odds are that you will end up flat or lose a little on the trade - daycount adjusted we had pretty cheap vix levels in the recent past, so I think 11 to 12 is the expected settlement value. However, if there is a small vol spike (and it persists enough) you might make the premium. So if...

How do you think options market makers work? If you look at an options chain and there is a two-way market in an option, do you think they have buyers and sellers all lined up?

Well, that's what happened in 2011 - the vol of vol increased so much on the back of a spike in the index that puts that should have become worthless barely changed in price. So if you are using that strategy to hedge something it's not going to work as well as the delta implies. While I don't...

See above. It's less about them blowing up and more about them not losing value as fast as the delta implies (so you don't get that happy feeling on a vol spike).

That and also the delta is strongly offset by this effect - meaning, say you sell a 25 delta put for 50c and vix rallies 5 points - put might go to 45c only because your delta gains will be offset by vega losses. term structure is pretty darn steep so this might work. caveat emptor :)

Never say never :) It's a question of price - what do you think is a fair price to pay for the options that you are selling? Once you have an idea, then you can say that these things are rich or cheap

The trade-off is either trading really rich systematic risk (i.e. selling index risk premium) or trade less-rich (probably) diversified risk in low-beta names (i.e. selling single name risk premium). One has more scale and better statistical properties, while the other has more opportunities...

Well, what else is there in life? Dude, in Vegas you should never be drinking water!

Actually, using absolute dollars in this context is very misleading. If you adjusted the outstanding margin by the total market capitalization, the number does not look nearly as scary. I can paste a table with these numbers by year, if someone wants. The highest margin debt as a percent of...

we probably have worked for the same employer but at different times :)

Dude, do you ever respond to PMs?

It's less about inputing the correct assumptions and more about (a) knowing the sensitivity to those assumptions (b) boundaries and historical levels for those assumptions Let's take the CDO disasters as an example. After all said and done, the correlation assumptions were off and that led to it...

2008 was my best year, followed by 2011 - I tend to be on the right side of a lot of fuck-ups. BTW, the problem with MBS and CDO models was, predictably, the inputs :) As an up and coming quantitative trader, you are also depending on models and their assumptions, you just perceive them...

Dislocations like these are special to war or famine, they have little to do with inflation. There are numerous stories about WWII where people would trade a gold ring for a few loaves of bread. Economists call this "relative scarcity".

Some of them can only be priced in MC. Some I price by replication (like conditional variance swaps).

Real estate can be protected in an inflationary scenario. I am more worried about global deflation personally

I don't understand why you think you have the odds on this trade. The expectation of being ITM is lower, but it's multiplied by the payout value that's high. The only way you have improved statistical expectation on this trade is if you are somehow predicting that the realized terminal...