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Debt (also known as leverage) is a good thing when used wisely. Home mortgage is especially good because you do not get marked to market during the bad times - as long as you can pay the carry, you are OK. The only reason to pay off your mortgage is if you can't generate returns that are higher...

I paid cash for my place and somewhat regret it - that's a lot of liquidity tied up in a pile of bricks. If I have to get up and move to HK (or if Trump chases me out), I'd be hard pressed to sell it in a hurry.

All right, alternative scenario - really long trade, fixed divs (say 10y). Do you price the forward from the current div? then it will go negative. Do you price the forward based on div yield? in that case, you are having a serious fwd divergence based on terminal spot. Just saying :)

It was a single futures put fly, not really a spread bet in your definition of that word :)

Ha! In the risk neutral world there is no connection to CAPM, so it's not clear if it would be in the current price. Cash in a bank, however, is definitely accounted for in the current price (judging by how perfectly bank stocks react to the changes in large reg fines, for example). So there is...

You are mistaking survivorship bias for a proper trend :) I used to think this way too, even attributed my own meager progress to my hard work and perseverance. In reality, it's 98% luck, 1% hard work and 1% more luck. PS. Zzzz1 beat me to it. He's an HFP

There is an interesting theoretical argument to be made (here is my pipe, take a puff). If you assume that the company is accruing cash for the dividend over the duration of the dividend period, the stock should be rising gradually and then dropping back by the dividend amount. Assume your spot...

Ah, but neither of them would get the job. You have to be a proper WASP from a fancy family to get in :) well, at least it used to be so - I still remember stopping the IB floor and feeling out of place. Yup, this one is so true. Sucks because I actually think that women make better traders...

Benefits of the higher income equality are mostly social, not economical. It's unclear that a society with some sort of income redistribution is going to be better off economically in the short term. In the long term, the value of human capital coming from the lower income strata could benefit...

I think intuitively you already doing some risk-adjustment so it's just a question of formalizing that process.

Yup. Best example is speeding while commuting - while the time improvement is measurable but small, the results of failure can be catastrophic yet it's a relatively rare event. Each person picks his own spot on that utility curve and acts accordingly.

A true vol selling back test - sell 1 month variance (aka VIX) since 1991 when VIX data starts. It shows that capturing risk premium is profitable but scary business. I've done similar tests on monthly straddles (delta hedged since 1996) and it has a similar profile, with slightly lower sharpe...

Outsized returns - of course no, but there is obvious excess return over SPTR due to risk premium. Selling straddles shows it the clearest, IMHO (just average results from call and put selling). Also obviously you pay for that excess return via higher 3-4 moments of your profile - scary...

When you say "works out to T-bill returns" do you mean it against the notional? Also, I have question the results of that back test - it would imply that there is no structural risk premium in SS vol which sounds very unusual.

Main thing, don't forget to release your line: Sle (over a chat): pls quote 1m->2s10s ATMF LS in 500mm? Junior Salesgirl (over chat): 9.5 @ 12.5 Sle (still over chat): I can pay 10.5 Junior Salesgirl (dials my line): blah blah blah, vol is higher today, blah blah Sle (now via the phone): 10.5 is...

Lingo matters. We had a guy who could not get the hit/lift thing. He just kept saying "oh, look, let me hit that offer" and such. Thank goodness he was not interested in joining my desk.

Divs are constant short term and blend to proportional long-term. In the US div yields do not seem to correlate much to the rates. Obviously, fuck only knows and when you pricing this sort of shit you do it conservatively. Worst Of Put. So at the end, the buyer would have gotten the lowest...

Ha! First of all, the levels he sold in 2007 where nowhere near 35 (a bit more on that in a sec). Second, some of those trades where wildly exotic (e.g. he sold 15y WOP on SPX/SX5E/NKY xUSD in like USD500mm). Thirdly, a big part of "alpha" was his credit rating - he was essentially getting an...

One thing futures options allow you to do is make conditional spreads. E.g. you can make a bet that the curve will steepen in a sell-off by buying the front month put and financing it with a sale of the Nth month put. There are a lot of variations on this (you can do it in a beta-neutral form...

Legging a spread is like spreading the legs (c)