Fooled by randomness by Nassim

jtrader33 said:
Interesting. Have you ever had to make a mid-year deposit? Ever have a calendar year with negative pnl?
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Yes on both counts. You can't be short vol and never expect to take hits, some of them quite large too.

Magic said:
Do you trade VIX futures almost exclusively to express your views on index vol and especially to short it? Or do you trade SPX options as well?

Wondering if there is a difference between the two in overall edge to be captured or in capital intensivity.
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Exclusively VIX. It allows me to trade pure vol and not concern myself with index levels. VIX derivs have gotten quite capital intensive over the years. Some combos are prohibitively expensive and you def need a broker who uses exchange margins.
 
panzerman said:
Have a look at the attached file for example calculations. Of course they are wrong because it assumes a normal distribution and no skew or kurtosis, but you get the basics.
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Panzer,

Who was the author of the PDF you posted?

Thanks Man!

T
 
Nice to see you, rally. :)

rallymode said:
Yes on both counts. You can't be short vol and never expect to take hits, some of them quite large too.



Exclusively VIX. It allows me to trade pure vol and not concern myself with index levels. VIX derivs have gotten quite capital intensive over the years. Some combos are prohibitively expensive and you def need a broker who uses exchange margins.
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I am but it’s perfectly boring, vanilla call dispersion on equities. Couldn’t be more boring, but it’s an easy trade these days. I was thinking about your Audi the other day, told that story to someone. :)
 
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