Premium Sellers vs. Option Buyers

Quote from Maverick74:

Taleb partnered with Fitznagel who has been killing it the last 4 years. I don't know where guys think Taleb is bleeding to death. Taleb's fund was closed in 2002 or so. He partnered with Fitznagel a few years after or so. Fitznagel has produced some pretty impressive returns. Regardless using Taleb is a strawman for premium buying. God with this much mathematical prowess on this thread let's please not data mine.
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Spitznagel was at Empirca as well.

They have a 4% stop loss each year. Customer puts 4% of the notional investment in the fund. That's all they get to play with. Several years at Empirica with 4% losses and eventually everyone got tired of it.

At Universa they seem to have gotten the formula right because they are doing very well.
 
Quote from OddTrader:

Spitznagel of Hedger Universa: Market 'Unnatural, Distorted'

Sunday, 26 May 2013 10:28 AM


"
http://www.moneynews.com/StreetTalk/Spitznagel-Universa-Market-Unnatural/2013/05/26/id/506421

Universa buys options that garner large returns when the stock market drops more than 20 percent. And Spitznagel believes that will likely happen within six months, and definitely within a year.
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Any rough idea about the strategy's approach?
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Not just down markets. THey were long convexity in commodities and made a lot of money (like 20%).

They find efficient ways to be long the wings. They aren't just blindly buying 20% OTM puts.
 
Quote from newwurldmn:

Spitznagel was at Empirca as well.

They have a 4% stop loss each year. Customer puts 4% of the notional investment in the fund. That's all they get to play with. Several years at Empirica with 4% losses and eventually everyone got tired of it.

At Universa they seem to have gotten the formula right because they are doing very well.
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Must be doing something right. They are managing 6 billion. Want to get in the fund? They have a 50 million dollar minimum. LOL. Not to worry, most their investors are sovereign wealth funds.
 
Quote from Maverick74:

Must be doing something right. They are managing 6 billion. Want to get in the fund? They have a 50 million dollar minimum. LOL. Not to worry, most their investors are sovereign wealth funds.
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That means only 12 investors in total! Why mostly sovereign wealth funds? Any particular reasons?
 
Quote from Maverick74:

Must be doing something right. They are managing 6 billion. Want to get in the fund? They have a 50 million dollar minimum. LOL. Not to worry, most their investors are sovereign wealth funds.
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Interesting website.

http://www.universa.net

Edited: Arrive at landing page
 
Quote from Maverick74:

Must be doing something right. They are managing 6 billion. Want to get in the fund? They have a 50 million dollar minimum. LOL. Not to worry, most their investors are sovereign wealth funds.
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Yeah. They are definitely killing it especially when you see that so many copycats have failed or are meandering.
 
Interesting!

"
http://en.wikipedia.org/wiki/Mark_Spitznagel

The Wall Street Journal alleged that a large purchase of put options by Spitznagel in the minutes leading up to the 2010 Flash Crash (when the Dow lost over 9% of its value during the day) was among its primary triggers[24][25] (and for which Spitznagel was subpoenaed by the U.S. Securities and Exchange Commission[6]).

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Quote from newwurldmn:

Yeah. They are definitely killing it especially when you see that so many copycats have failed or are meandering.
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Quote from newwurldmn:

Not just down markets. THey were long convexity in commodities and made a lot of money (like 20%).

They find efficient ways to be long the wings. They aren't just blindly buying 20% OTM puts.
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NNT: Exactly. When they pay off, [the reward] is huge. But when you’re selling options, you need a lot of traders. For example, two or three traders can trade long out-of-the-money options on 500 instruments, but when you’re using long and short strategies, two or three traders can only monitor 50 or 60 positions. We invest in traders who sell at-the-money options, and we concentrate on just buying the “wings” (the out-of-themoney puts and calls of the butterfly position).

http://www.fxtsp.com/education/fx-t...ew-with-top-trader-nassim-nicholas-taleb.html
 
Universa was generally structured in long downside calendars. Dunno why Taleb didn't take a piece of Universa with some of his wife's cash, but he didn't. The kid wanted to buy CDS but was considered too much of a style drift/charter issue and he was worried about netting and counter-party risks. They're likely done in terms of homeruns and I expect he'll close shop and run his family office {Dao}.
 
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