Please hes the like the prophet that warns of doom, and he reminds everyone every day and that it could happen tomorrow. He does this for years, and then hes a genius. I put him in the same boat with Boone Pickens, he can say that oils going to 200 and it's good to be right, but as soon as hes wrong he's a one hit wonder. If you can't show consistent returns in your strategy, then its more pure luck then skill.
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Black Swans Win Big
- Thread starter jeb9999
- Start date
Hi Everyone;
I read the above article the other day in the WSJ about Taleb and Universa . I've also read alot of his writings , both lay and technical and I have a question :
I've always wondered about his methodology and thought that if you"re buying DOTM options you should be trying to get them cheaply . Yet , when I look at a 1 year IV chart @ ivolatility.com for the SPX , the time when Taleb/Spitznagel were buying SPX puts , the IV was at or near the yearly high . I guess DOTM puts would have an even higher IV . I'm sure they have an alternative pricing scheme for these options , but by BSM they sure look expensive . I know Taleb believes that the market underprices these options for rare/Black Swan events , but how do you benchmark their cheapness/expensiveness ? Or is it just a shot in the dark that you hope eventually pays off ?( I doubt that latter version )
Any thoughts would be appreciated.
Bill
I read the above article the other day in the WSJ about Taleb and Universa . I've also read alot of his writings , both lay and technical and I have a question :
I've always wondered about his methodology and thought that if you"re buying DOTM options you should be trying to get them cheaply . Yet , when I look at a 1 year IV chart @ ivolatility.com for the SPX , the time when Taleb/Spitznagel were buying SPX puts , the IV was at or near the yearly high . I guess DOTM puts would have an even higher IV . I'm sure they have an alternative pricing scheme for these options , but by BSM they sure look expensive . I know Taleb believes that the market underprices these options for rare/Black Swan events , but how do you benchmark their cheapness/expensiveness ? Or is it just a shot in the dark that you hope eventually pays off ?( I doubt that latter version )
Any thoughts would be appreciated.
Bill
Quote from wje3:
Hi Everyone;
I read the above article the other day in the WSJ about Taleb and Universa . I've also read alot of his writings , both lay and technical and I have a question :
I've always wondered about his methodology and thought that if you"re buying DOTM options you should be trying to get them cheaply . Yet , when I look at a 1 year IV chart @ ivolatility.com for the SPX , the time when Taleb/Spitznagel were buying SPX puts , the IV was at or near the yearly high . I guess DOTM puts would have an even higher IV . I'm sure they have an alternative pricing scheme for these options , but by BSM they sure look expensive . I know Taleb believes that the market underprices these options for rare/Black Swan events , but how do you benchmark their cheapness/expensiveness ? Or is it just a shot in the dark that you hope eventually pays off ?( I doubt that latter version )
Any thoughts would be appreciated.
Bill
u can try to post this question to this quant forum
http://www.wilmott.com/index.cfm?NoCookies=Yes&forumid=1
taleb sometimes write there with the 'kurtosis' nick