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I am a PM at a top-tier fund. I doubt I'll be able to make what I am making here anywhere else, barring miracles like becoming a CEO of a F500 company or a neurosurgeon at a major hospital. This said, lifestyle at a certain stage is way more important then money or material possessions (i can...

i'll be short gamma, obviously :) This said, there are so many ways to be short skew in a loss-limited manner (in my case, I bought an ITM DOP) and not worry about delta hedging it.

cable = USD/GBP exchange rate :) so it is option skew https://en.wikipedia.org/wiki/Cable_(foreign_exchange)

Cable skew spiked and getting crushed today, 1m 25d riskie is in 2 vols. This said, it's still at historical lows but I bet we'll see it south of 3 tomorrow.

My suggestion, in order of priority would be: 1. excel/vba. You can't really get anywhere in finance without being a super-proficient Excel monkey unless you are living in the HFT land. Pretty much any sell-side derivatives trading desk does bulk of their work in excel and non-RT funds are...

I am trying to give a homework assignment to a bunch of students and they have to use public data sets. Specifically, if I download the dividend file and the price data file, how do these two relate to each other? Is the cash dividend in the dividend file adjusted or unadjusted for splits? E.g...

LOL. That single guy is a PM at a muti-yard hedge fund and that spreadsheet is backed by a (1) marks from a desk that trades this particular product and (2) high-end quant library. I'd expect it to calculate a correct forward (which most retail platforms don't bother with), proper skew delta...

You are paying for lower convexity by being short more vega. What level of vol are you selling?

It's being "phased in" voluntarily. A lot of capital adequacy rules imposed by local regulators are loosely based on Basel III guidelines. Some of the product that has hit this particular fan is still airborne while some has already landed.

In my limited opinion, the only persistent alpha in S&P vol is the overpriced crash risk. These days it is driven by rather stringent capital adequacy limits imposed by Basel III, combined with HF reporting requirements. I.e. if you are selling short-dated options that would only pay in an...

Mav, you can't deny that in modern day regulatory environment, there is clear alpha in selling some stuff (e.g. crash cliquets are crazy rich). The knowledge and understanding of what to sell is not easy to come by, though :)

yup, vol was restriking for a while now... LDLV does works some time, especially when V is very low :)

Karen's demise is predictable. My return is not :) anyway, i am back, should be on bbg in a few weeks

The lottery thing sounds about right :)

Anyone blow up? Anyone retired? Any juicy scandals?

I think the author uses "CEO" as a generic identifier of "a hired manager that get's paid too much". It could be a CEO proper (yes, a winner out of a large pack) or it could be a mid-level MD like myself bringing home a buck or two. My value added is, at times, questionable :D Back to income...

The original argument is that most senior corporate managers are somewhat overpaid. I have to agree at least partially (and I am one of them, too). The main argument was about inequality - at the limit, it does lead to a police state or social unrest, though I doubt the US is anywhere near that...

Nope, what is erroneous is lumping all CEOs together, small business owners and hired managers running AIGs and GEs of the world (just as it's wrong to lump institutional traders with retail-sized ones). The value added as a function of personal risk for a hired manager is pretty low - there...

whatever you say, pal, you obviously know better

indeed...