I agree. Selling correlation is a graveyard style trade. You spend have to short extra index vol to avoid bleeding and then spend all your time trying to justify your gap risk. And when sht hits the fan, your book explodes in size.
Dirty (sic) Dispersion!
- Thread starter atticus
- Start date
I agree. Selling correlation is a graveyard style trade. You spend have to short extra index vol to avoid bleeding and then spend all your time trying to justify your gap risk. And when sht hits the fan, your book explodes in size.
LMAO
Quote from atticus:
I am RAW neutral-delta (not beta-adj) in the following. Long QQQ, short street vol. Long about $1,200 thetas:
Inside reports on AAPL and PCLN, outside on GOOG. I am up a few dollars as I have been building the position a little every day. For shits this screenshot is within a few bp of my avg fills.
Out of this yesterday, small change today (from avg out). Will go over fills and ratios later, but this won on primary and hedge.
Looking forward to it, but got to ask whether you had expected both ends to work out?Quote from atticus:
Out of this yesterday, small change today (from avg out). Will go over fills and ratios later, but this won on primary and hedge.
i love in that article.. you posted..
"Well, dispersion
sounds more cryptic, and hence itââ¬â¢s easier to impress
people with it. Period. And itââ¬â¢s Greek in origin, making
you sound sophisticated."
i like how frank this guy is in this paper.. talking of wet dreams and such ..