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it’s not avoidable. Either it’s an explicit cost or an opportunity cost.

It’s probably the most crowded hedge fund strategy on the planet.

what does put call parity have to do with HFT?

Ha.

I could but I don’t think the outside wing will provide any protection. the devil is always in the details.

It’s put call parity. You are missing something in your calculation. You are well versed in futures: the call - put - stock = futures price.

it made him one of the largest shareholders of Goldman and the virtue of his name attached to the transaction made the calls immediately in the money.

He temporarily unblocked me, so I blocked him.

proper lambo size.

macbookpro was a racist. edit: so is Quanto.

If you are using any closed form formula to determine the payoff at options at expiry you are missing some serious risk parameters. It’s the difference between a profit and a loss.

Most commercial buildings can’t be converted easily. It requires an internal gutting and most buildings can’t support the habitation rules (like a window in every room). Otherwise NYC would be 100percent condos. When banks get bailed out, the depositors get bailed out. The shareholders get...

I trade naked short vol all the time and while I get whacked once in a while it’s worked pretty well. I also do structured trades too and am occasionally long gamma/vega.

The OP is one of those posts that is so short of details that there are a 1000 legitimate reasons the order didn’t cancel and we have to take his word that he was screwed.

it took 12 months before the first whiff of the mortgage crisis took down the first bank and then 6 months before the world realized that wasn’t an isolated incident.

as an aside to the thread: I don’t think Elon or Jeff set out to be as rich as they are. They set out to do whatever it was they wanted to do and it happend that they become rich doing it.

I think the arb is at issuance and then is gone when the hedge funds resell it or just monetize the option. fun fact. In 2008, the world was in crisis and hedge funds were dumping these bonds. The bonds were implying negative implied volatility!

My impression is that convertible bonds only exist for companies to raise cash in accounting efficient ways by allowing hedge funds arbitrarge the the capital structure. That is theres no natural buyers of convertible bonds

The best way to determine payoffs at expiry is to use numerical methods combined with machine learning.

don’t you sell options/vol via spreads?