Nassim Taleb makes the rounds again

Maverick74 · Feb 5, 2006

Quote from riskarb:

Read the article that you keep referring to. He specifically mentions buying 10sigmas in the front month. Yeah, it's retarded.

Yes, he does go all the way out, but from both articles, the Active Trader one and Trader Monthly one, it appears he is buying every strike out. Risk, seriously, you can't buy 10 sigma options out on bonds in the front month. Christ, now you are making me pull up my quotes.

OK Risk, the march 112 calls on the ten year note are trading at about 2 ticks. Now, I don't know how far out I need to go for a 10 sigma event, has to be 130 plus I imagine. What purpose would there be to buying anything outside the 112 strike? They are offered at 2 TICKS!!!!!!!!!!!!!!!!!!!!!!!!

Not trying to be a dick here, just trying to understand either your logic or your interpretation of what he is saying. Yes, I heard him make reference to 10 sigma options. But I believe he misspoke, he had to have. I think he was trying to say he is playing for the 10 sigma event. It's not freaking possible to buy front month options on the 10 year note 10 sigmas out!!!!!!!

Now I will hold my tongue for a second since I do not trade bond options and perhaps there is some nuance here I do not understand about these quotes I am looking at. But if my quotes are correct, the logic you are offering makes no sense. Or should I say, the logic you are claiming he is using makes no sense.

Maverick74 · Feb 5, 2006

Risk,

I think he is arguing semantics here. In other words, making an academic argument. Again, I for the life of me can't figure out the math on this. So jump in and explain. You have the floor!

riskarb · Feb 5, 2006

Mav, who the fuck is talking about Bond options? He's primarily an equity vol trader from what I understand. It seems to me we should take the guy at his word with this 10-20sigma stuff, which is certainly listed on every index option extant.

The guy is a walking contradiction. I am floored by that interview.

Pekelo · Feb 5, 2006

Quote from Maverick74:

I am watching the game and it's putting me asleep.

I am waiting for Grey's Anatomy....

But hey, we have ET to keep us occupied.

Maverick74 · Feb 5, 2006

Quote from riskarb:

Mav, who the fuck is talking about Bond options? He's primarily an equity vol trader from what I understand. It seems to me we should take the guy at his word with this 10-20sigma stuff, which is certainly listed on every index option extant.

The guy is a walking contradiction. I am floored by that interview.

Risk, since I read both articles and can't keep them straight what he said in which, I know for a fact in one of them he said it was a common misnomer that he trades equity vols. He said explicitly that he focuses on fixed income and foreign exchange products. I swear on my bloody life I read that. Maybe those articles posted are not the full interviews. Go to your local Borders and read the full articles. I know he said this. I am 100% positive he said this. Now maybe he is lying, I have no idea man. I am just telling you what he said.

riskarb · Feb 5, 2006

Whatever Man. He states in the BusinessWeek interview that his lotto wins occurred in 1987 and Nasdaq in 2000.

He mentions buying flies, strangles and puts. Why would he be buying puts in FI and FX? If he's buying natural flies then he's net-short gamma. The same can be said if he's selling xmas trees[your theory]. If he's netting to either position he's certifiably insane.

Maverick74 · Feb 5, 2006

Quote from riskarb:

Whatever Man. He states in the BusinessWeek interview that his lotto wins occurred in 1987 and Nasdaq in 2000.

He mentions buying flies, strangles and puts. Why would he be buying puts in FI and FX? If he's buying natural flies then he's net-short gamma. The same can be said if he's selling xmas trees[your theory]. If he's netting to either position he's certifiably insane.

Risk, he said in 87, he did not make his money or most his money on index puts but rather he made a 36,000% return on the front month Eurodollar options. I swear to god he said this. Don't take my word for it, read the FULL articles. I also know for a fact that he said even in a crash scenario, the returns are 1000 times greater in fixed income and fx over equities which is why most of his money is not in equity products. Again, this is what he said. If he is not telling the truth, I really don't care, I am just repeating what I read.

riskarb · Feb 5, 2006

Quote from Maverick74:

Risk, he said in 87, he did not make his money or most his money on index puts but rather he made a 36,000% return on the front month Eurodollar options. I swear to god he said this. Don't take my word for it, read the FULL articles. I also know for a fact that he said even in a crash scenario, the returns are 1000 times greater in fixed income and fx over equities which is why most of his money is not in equity products. Again, this is what he said. If he is not telling the truth, I really don't care, I am just repeating what I read.

Yes, you're right about the 87 comment. More recently he mentions equity vol in 2000 related to the nas bubble. Regardless, his statement regarding 10-20sigmas is inviolate; it's there for everyone to see.

By his own admission, he's buying 10 sigmas in the front month, but is structured in long flies, strangles and puts. OY VEY.

I prefer not to give the narcissist any more of my time.

iloveoptions · Feb 5, 2006

Quote from Maverick74:

Risk, he said in 87, he did not make his money or most his money on index puts but rather he made a 36,000% return on the front month Eurodollar options. I swear to god he said this. Don't take my word for it, read the FULL articles. I also know for a fact that he said even in a crash scenario, the returns are 1000 times greater in fixed income and fx over equities which is why most of his money is not in equity products. Again, this is what he said. If he is not telling the truth, I really don't care, I am just repeating what I read.

This is halarious. Better than watching the SB. Your obsession with a one day wonder accomplished what other than confusion??? I'm hoping your trading results are more inspiring than the Taleb stories you're feeding us.

Way to go Steelers

Maverick74 · Feb 5, 2006

Quote from riskarb:

Yes, you're right about the 87 comment. More recently he mentions equity vol in 2000 related to the nas bubble. Regardless, his statement regarding 10-20sigmas is inviolate; it's there for everyone to see.

By his own admission, he's buying 10 sigmas in the front month, but is structured in long flies, strangles and puts. OY VEY.

I prefer not to give the narcissist any more of my time.

Hey thanks for taking the time away from the Superbowl to go back and highlight special words in your post. It's that little extra touch you provide that makes me write nice comments on the "How am I doing on ET?" cards.