How does Nassim Taleb trade?

It is not difficult for him to subpoeana you guys who should do some homework and try to know what's going on before writing about other's people's business. I hope you guys know the meaning of short options.
:)

Note that your employers are also liable for damages if you are using work computers.
good luck guys
 
Quote from taowave:

Not suprising..Taleb is a bitter frustrated quant with a ridiculous ego...He may have done well for a while,but he probably got smoked the last 5 years if he played the equity markets..He buys the tails and always long vol,and its not sprising he went the way of the dinosaur as vols contracted significantly the last 5 years..

He should stick to writing books ad keep to the numbers
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Your post seems well-intentioned, but sadly, it's incorrect - mostly due to a semantic misunderstanding.

Taleb's contention is the 5,6,7th Sigma events happen more frequently (and with greater certitude over time) than the market would indicated based upon how they are priced.

He sells short-term volatility and buys longer-term 5,6,7 sigma far, far OTM options.

So, yes - he sells volatility - shorter term volatility that is common in the market (to put it in perspective, it's likely that he lost money between May-Jun 06 as there was significant vol, which he was likely selling since it was merely a solid selloff and not a "Black Swan" event).

He BUYS 5,6,7 sigma events volatility based on the conention that the market is incorrect that such events are highly remote (Oct 87, Tech Burst, 9/11)...
 
Quote from CutsThrough:

Your post seems well-intentioned, but sadly, it's incorrect - mostly due to a semantic misunderstanding.

Taleb's contention is the 5,6,7th Sigma events happen more frequently (and with greater certitude over time) than the market would indicated based upon how they are priced.

He sells short-term volatility and buys longer-term 5,6,7 sigma far, far OTM options.

So, yes - he sells volatility - shorter term volatility that is common in the market (to put it in perspective, it's likely that he lost money between May-Jun 06 as there was significant vol, which he was likely selling since it was merely a solid selloff and not a "Black Swan" event).

He BUYS 5,6,7 sigma events volatility based on the conention that the market is incorrect that such events are highly remote (Oct 87, Tech Burst, 9/11)...
More...


My subjective comment regarding his "attitude" was from reading his first book.It was very clear that he had a hard on for traders,and annoyingly voiced his contempt and loathing thruout the book....His huberis and self appointed intellectual superiority was a bit much..

Bottom line is if he was long vega in the equity markets the last 4 years he probably got his head handed to him.I have no idea what ratio he has the near nerm vol realtive to the longer dated OTM vol,but my guess is the steeper the ratio,the more he lost.

I sincerely doubt the decay from the spot options made up for acroos the board vol contraction...
 
Quote from kinggyppo:

TaoWave wrote:

Not suprising..Taleb is a bitter frustrated quant with a ridiculous ego...He may have done well for a while,but he probably got smoked the last 5 years if he played the equity markets..He buys the tails and always long vol,and its not sprising he went the way of the dinosaur as vols contracted significantly the last 5 years..

He should stick to writing books ad keep to the numbers.


I have to admit I have read some dumbass shit on this website, I have to say this comment takes the prize. Wow!!

:eek:
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agreed. the writer taowave has tao in his handle. perhaps he should read the tao.
 
Quote from paretolevi:

It is not difficult for him to subpoeana you guys who should do some homework and try to know what's going on before writing about other's people's business. I hope you guys know the meaning of short options.
:)

Note that your employers are also liable for damages if you are using work computers.
good luck guys
More...

be serious. this thread is not the UK with its absurd libel laws.
 
Quote from zdreg:

agreed. the writer taowave has tao in his handle. perhaps he should read the tao.
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have you read talebs first book on exotics????
 
Although you now have people who trade for you, can you share with us a little of your methodology?

I specialize in way-out-of-the-money [fat] tails, but I don't like to buy volatility. A lot of people think I just buy volatility, but that's not true, and I laugh when I hear that said about me. I like to sell volatility and buy tails, which is the opposite of what a lot of people think I do.

---

This pretty much refutes what some of this thread has said.
 
Quote from paretolevi:

It is not difficult for him to subpoeana you guys who should do some homework and try to know what's going on before writing about other's people's business. I hope you guys know the meaning of short options.
:)

Note that your employers are also liable for damages if you are using work computers.
good luck guys
More...


Does Levy's family know you're butchering their namesake?
 
I read the same thing empee and came to the same conclusion.

This appears to be what he does in laymans terms (as I see it):

sell options ---> make money to run business and to pay for otm options

buy otm options -----> make money once a 6 or 7 sigma event occurs.

To what extent selling itm relates to buying otm, i have no idea. One thing he has never said ( that i have read ) is I like to buy low volatility, even though im assuming that buying low volatility is a good thing when your making money off a fat tail. I guess you could buy a breakout in volatility.
 
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