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In single stock I look at it a lot.

Oh, THAT paper - he's not looking at far OTM puts but rather concentrates on the reachable strikes that can be delta-hedged and have some tangible premium. Personally, I think he does not really understand the options market and the driving forces behind it (most of the vol premium to the...

The closer you are to expiry, the steeper the skew :)

Let me translate this for you: "A long gamma player is a natural market maker. He's getting longer as the market rallies and getting shorter as the markets sells off". If you don't squash the vol yourself or get ticked by HFTs, it's a winning strategy. Unfortunately, you will capture the mean...

Every option is overpriced based on realized vs implied analysis, yet that premium persists. There is value is convexity (long vol is better then short vol) and people are willing to pay for it, so volatility is structurally rich. As for far OTM, I've yet to see a single convincing study that...

Ok, lets take this idiocy apart. 1. an options MM is pricing vol, not options - since they are delta hedging, their p&l is not dependent on the terminal distribution, but only on the incremental path of realized vs implied volatility 2. despite large number of buyers and sellers, implied...

You are wrong. It certainly does work. First, you have to be right once and make some monye on an event. You present it as premonition to raise capital, charge 2% and buy tails. When you run the capital to zero, you close the fund and re-open it. Repeat prior step as necessary (as long as you...

Oh! Yes! Lets bet on two expiration buckets, OptionGuru. As I said before, if you are giving 50/50 odds on two 20-bp wide expiration buckets, I'll take the other side.

I do not and the stuff I do is very finicky anyway (due to some bizarre bid/offer imbalances) so I am not a good example to follow. It all depends on your aims. On the gamma end, like the front expiration, you should not really care that much at all. If are you mainly trading vega, you do want...

Yes. In some cases it's a combination of a few of these - e.g. if you have a good knowledge of the structured product issueance, it combines expectations of supply and demand with some insider knowledge (if you know that something is coming due or being issued).

I'll add one more thing. Every monetary decision you'll ever make will be a tug of war between your goals, your emotions and the self-interest of any middle men involved. It is very useful to break down every situation using these three "principal components". It is definitely true in the...

Obviously, the only way you could TELL in advance that anything is mispriced is if it's an arbritrage. What I mean when I say "you think that X is mispriced" is that one makes a prediction of some sort (relative value, absolute value etc) and makes a bet on this prediction being correct. If your...

Let's say there is an asset costing a $100 with volatility of 50%. What do you think will be the delta of a 1 year $100 strike call? Or, a slightly different question - what amount of underlying asset do you have to short to be direction-neutral on the very first day after you buy it?

I was being sarcastic (and assume you are too), but I do agree that I given a choice I'd rather be in Paris then in London (let me add women to your list of improvements over London). BTW. which years were you at Barcap in London? We might know each other...

Don't worry, the UK is gonna have to issue a lot of debt on the back of this turmoil, so all these people will get involved in Gilt trading.

Wait, so am I getting a bet or not? We can restrike here, of course as long as the two ranges are 20 cent wide :)

Whatever makes you gently long the underlying (if you like you can hold extra calls or just buy some extra stock/futures), since you know that vol is going to decline on the way up. The real question is how much of extra delta to hold and that each person decides for himself.

Unfortunately, it's an illusion that is steadily vanishing and that decay started way before the Brexit. It will only accelerate after this madness. Two key perceptions have been shattered overnight - the perception of political stability (sorry, who is the British PM at the moment?) and...

Corrected it for you...