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I am not the type to fall for a cult, most probably :) but I don't think I am the type to go to group therapy either.

So imagine you are buying a put on SPX that expires in September. The strike is let's say 2400, however if SPX ever touches 2000 the put knocks out. So that would be a continuous down and out barrier. As an alternative, you can make it such that put would only knock out if at expiration SPX is...

I want to avoid taking medication unless I absolutely have to... Let's see.. I am 45, male, in decent athletic shape. I don't smoke or use drugs and have a sip of whiskey once a month or so. Career is stable, well, as stable as it can be in this business. Had some traumatic events last year...

It's been happening to me more and more lately - something happens and sends me for a spin. Full blown panic attacks, at first I even thought I am having an MI. Last time, on Tuesday, I heard some bad news about a buddy of mine and it hit me so bad, I considered going to ER. I tried taking...

PWM light exo flow coming from HK is still there. It's all very similar structures (accumulators/decummlatots mostly), smartly selling volatility with directional view. Because of "other business for PWM" lots of these guys are able to get super-tight execution and are doing well on their...

LOL. If we drop from 2400 to 2000 in one day (an 18% move), VIX will go to at least 65 (simple back of the envelope gives me sqrt(252*(0.18^2)/21) even if zero is realized on other days).

Actually, what distinguishes them from most other quant houses is not the alpha, it's the super-alpha management via smart risk (and resource) allocation. Think "collaborative multi-strat setting" - one of those tricky things that requires more than just good PMs with good alpha, it requires a...

CBOE gives a simplistic layman explanation (white paper should have a better description, btw, read it). Any serious trader should know what exactly the VIX index represents and how it relates to realized volatility. Including the big move on that day, forward looking 30 day realized vol in Aug...

TAS are traded as blocks and have to satisfy certain requirements that make them hard for retail-oriented brokerages. Almost any bigger prime broker will be able to accommodate you, though.

For starters, VIX is NOT expected volatility, but fair variance. Nobody is buying options because the realized volatility is so low. Absence of realized volatility is the main reason why implied vol and variance are so low. If realized volatility would be higher, people would buy options to...

Really? So the relationship between implied and realized volatility does not matter any more? :)

SIPC is NOT FDIC. Different insurance dude.

SIPC covers you up to 500 in cash plus any regulated IBD will deliver any securities positions you happen to have at the time of IBD default. This is retail, not prime (where you are protected less).

Same logic applies - the value of lower barrier is pretty low and it's not going to cheapen the structure much.

You realize that Lightspeed is an introducing broker, not a prop firm, right? They don't even ever have custody of your funds :)

Dude, are you sure you know what you are talking about? :) Where did the "prop firm" come from?

If you are buying a call, adding a down-and-out KO is not gonna save you much. What would reduce premium a fair bit is adding a continuous KO on the same side (e.g. Call up and out or put down and out).

Not really, though. You can't replicate continuous barriers or any other path dependent products using vanillas. Ps. In equity derivatives, flow exotics are hugely efficient and tightly priced. Usually, you'd get a bit of a shakedown on the unwind but most of these are short dated enough not...

You mean sell-side, right? Most options traders on the buy side are directional traders in one or another way. It's very difficult to generate meaningful amounts of alpha by trading delta-neutral vol, since vol is usually pretty efficiently priced (aside from pure risk premium harvesting). It's...

Actually, best way of using most exotics (vol exotics excluded) is directional trading. There are people that made whole careers out of trading down-and-out puts.