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Oh yeah, I can just picture it...

Might I add that the whole "wise old Master" and "young Apprentice" schtick is really really annoying, especially when the "Master" spouts utter bullsh1t.

Let me add something to this... It's a pretty well-accepted idea that the best way to determine whether a statement is "scientific" or not is to figure out whether it's falsifiable. Falsifiability of the sort that Sig demonstrates above is crucial if you want to have a meaningful discussion.

I agree with the other posters. Arbitrage is not a word to be abused lightly. What the article describes is emphatically not arbitrage. It's idiotic to describe it as such.

This is emotional talk and, as such, it's just patently untrue... Whatever drawbacks mainstream economic thought has (and it has many), one thing you cannot possibly claim is that there has been no progress over the years. Here is something for your reference...

To add to what Maverick described, you can google the somewhat inappropriately named "cash-and-carry arbitrage" to get a detailed explanation of how it all gets priced.

I haven't looked properly... I imagine the outright vol isn't at a super sexy level to sell. On the other hand, I can see some redeeming features, such as what sle pointed out. The way I see it, the main risk here, which could violently disrupt your trend, is a sharp USD selloff.

I am very confused by this... What exactly are you trying to achieve in the first place?

You just wanna sell the calls, yes? Because the mkt is trending and you expect this to continue?

Firstly, to confirm, I think the Austrian approach to economics offers some important and useful contributions. That said, from what I know, Austrians have big issues with what I perceive to be the tricky parts of capitalism. Specifically, the issues of public goods/externalities and...

If it's for margin relief, surely you'd want to check what portfolio margin methodology your broker uses (it's not necessarily going to be the same as the exchange) and use that? I am not really sure why you'd choose to start with IV-derived weights, if you're just trying to obtain margin relief.

Using IV is a rather curious choice... I am not sure what the underlying rationale for such a choice would be.

I don't have a view on the global economic situation. I don't pass judgement on big picture stuff like that. As far as I am concerned, it is what it is. As to the Austrian school, surely you have to appreciate that their approach has all sorts of issues. On some particular subjects, I find...

Which part has been wrong, exactly? Who created the mess? As far as I can see, a lot of things have been wrong, but a lot of things have been learned as a result. While I have my pet peeves, I do believe that even a science as dismal as economics proceeds in small incremental steps.

I think some of his points (and you can find him posting along similar lines elsewhere) are quite important. The idea of risk management adding small edge (avoiding really dumb decisions), rather than answering all life's questions was good. I just find his style quite reasonable and...

Well, similar to you, I would be the last person to suggest that it's all been perfectly understood. Gabaix's paper is just a starting point, but I am just sympathetic to the idea that behavioural aspects have a place in macroeconomics.

Well, in that case, the point of this whole thread was to examine the sort of skew which stays, rather than comes and goes. At least that was the claim made by the authors of the paper the OP mentioned (27 years worth of data).

My specific takeway was that listening to that interview was an hour well spent. Of course, this is only my opinion, but there you have it.

I cannot recommend it highly enough:

Just FYI, this thread has absolutely nothing to do with option skew...