How does Nassim Taleb trade?

Quote from momoneythansens:

Yeah okay, forget I said pseudo-dispersion. There is no correlation or stat arb facet to what I understand Taleb's strategy to be. Then again, I'm just making this stuff up.
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Mo,Do you have any idea how he has done the last 3 years???
 
Quote from riskarb:

You contradict yourself in your first and third paragraph.

Overselling index premium manufactures deltas through gamma, which is deleterious to your -disp. Short disp involves selling the vol box -- cheap index vol expresses cheap gamma and dgamma/dX if trading otm; or finding yourself otm through market movement.

I haven't a clue what you're talking about re: delta bets. My guess is obfuscation.
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Did you ever work at Salomon?Your style is eerily familiar...

You wrote any good dispersion trader is gamma flat or long.

I am referring to long equity vol/short index vol.Call it anything you wish...

I then ask you,apx what underlying notional must you sell in index options to be flat gamma/vega??

Would you say its 1.5 x the equity notional or would you say its closer to 2x???

Perhaps i should have said you have a directional bet on.If your options are of the same maturity and you are running a gamma flat book,what do you think will happen on the downside even as correlation approaches 1???

All i am saying is if you are flat gamma/theta in that specific trade,there is a definite directional element and most funds will not let you trade it gamma flat.They would not view the trader as a competent dispersion trader..
 
Quote from taowave:

Did you ever work at Salomon?Your style is eerily familiar...

You wrote any good dispersion trader is gamma flat or long.

I am referring to long equity vol/short index vol.Call it anything you wish...

I then ask you,apx what underlying notional must you sell in index options to be flat gamma/vega??

Would you say its 1.5 x the equity notional or would you say its closer to 2x???

Perhaps i should have said you have a directional bet on.If your options are of the same maturity and you are running a gamma flat book,what do you think will happen on the downside even as correlation approaches 1???

All i am saying is if you are flat gamma/theta in that specific trade,there is a definite directional element and most funds will not let you trade it gamma flat
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I was briefly at Salomon in 1991. I refuse to sell cheap gamma, so long street/short index isn't in my bag of tricks under 95 corr. Yeah, it would likely require >1.5x notional. I was implying that I would err to excess long gammas, in notional-terms. Simply: bullish dispersion, long notional premium.
 
Quote from riskarb:

I was briefly at Salomon in 1991. I refuse to sell cheap gamma, so long street/short index isn't in my bag of tricks. Yeah, it would likely require >1.5x notional. I was implying that I would err to excess long gammas, in notional-terms.
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I think our paths have crossed:)

That was my only point..Alot of guys who just cant buy vol,will attempt to run a dispersion book gamma flat as the next best choice...And they get spanked on any good correction...

I am with you,I just cant bear to sell this gamma....
 
Quote from momoneythansens:

Auto-responder says he's currently busy with book till September 2nd (past)...so probably running behind schedule LOL.
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or gagging on long vega
 
Quote from taowave:

I think our paths have crossed:)

That was my only point..Alot of guys who just cant buy vol,will attempt to run a dispersion book gamma flat as the next best choice...And they get spanked on any good correction...

I am with you,I just cant bear to sell this gamma....
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Gotcha, I misunderstood. =)

Yeah, I can't bring myself to sell index gamma unless I am net long size, and then it's simply placing a bet. I'd rather buy correlation thru the short vol-swap and take my hit on component outliers.
 
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