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Read their whitepaper. LOL. It's gonna be great for traders looking to pick "liquidity providers" off. Can't wait for it to start working, but my prior is that it's DoA.

Well, all of these metrics are subject to statistical significance. In fact, the best way to think about long-term performance is by multiplying both by sqrt(time) - that gives you rough t-stat of the strategy and that's your "staying power". For example, if you were running a 0.55 Sharpe for 1...

Well, 1.1T/14T is about 8%. If you count non-state actors who are holding USTs in China, we are probably taking about ~10%. For that they can have both Detroit and Florida, no?

Video was shot in March when every crypto guy was flying high and down side vol was quite cheap. We had fairly large vol spike and options that looked rich at the time in hindsight are actually cheap. That's especially true if they are selling far OTM options (which is how you get these crazy...

Well, but do they? Total value of the US marketable debt is about 21 trillion. We have to take out the stuff on the Fed balance sheet (7 trillion) so that leaves us with 14 trillion of stuff in circulation. Out of that, foreign governments hold about 7 trillion out of 21 trillion of marketable...

Changing the terms is restructuring and is an act of default. So is skipping coupons or maturity payments, which is the only time when you US has defaulted in 1979 unless you count repudiation of confederate debts. Sovereign default is a huge economic calamity for the country since it can not...

Yeah, I was shocked to discover that Hedgic options are American and can be X-ed at any point in time. They also assume that you are fully collateralized against the option you write which will create some really warped pricing incentives.

Please do develop a DeFi where you can "stake options" like you do on Uniswap/Sushiswap et al. I'll be there in a second :D On a serious note, though, here are some thoughts/problems: * making a market on a fixed strike option is primarily about making a good market on delta. That's why most...

That was filmed before the recent "festivities" - option sellers got their asses handed to them.

Variance futures are totally illiquid, there are literally 0 volume or open interest there. It was CBOEs attempt at capturing that market that failed miserably because they could not come up with better margin methodology. There is no strategy that would allow you to trade variance via ETNs...

I knew we are missing something from this market and now I know what it is! Let's have retail traders trade variance! What could go wrong?

The general idea of "adjustments" is bogus, IMHO. If you have a short straddle on and the original trade goes your way (i.e. you were short vol and vol dropped), why not cover it, fully or partially? Your original view is now muddled by cost of wings vs ATM and you are executing more options so...

Indeed. Academically speaking, the whole idea of cash and carry arbitrage depends on two things, ability to warehouse the underlying asset and (equally important) borrow cash collateralized by the underlying asset. In case of traditional finance, these aspects are facilitated by various...

A 1.5bn loss on a base of 80bn is -1.9%, which in qualitative terms, it's also known as "fuck-all".

LOL, my answer is completely wrong and the only excuse is that I was very high at the time. P(u) * P(l) is just the maximum upper bound for the probability. The double-touch probability is path-dependent, so you can't just multiply the probability of each touch to get the joint probability...

Isn't it A simply P(touch_low | touch_high)? P(touch_low | touch_high) = P(touch_low) * P(touch_high) = (0.2 * 2) * (0.2 * 2) = 0.16, no? This, of course assumes no skew or term structure and assumes delta ~ risk neutral probability. B is much harder, since it's conditional on one hitting...

millions of what? :D

If you just want back of the envelope, it is your vanna * sk10 * 2

dude, you stole my thunder :)

It's easier than that - just buy and sell the stock every time it crosses the strike back and fourth. Guaranteed winner!