Taleb, Flash Crash, ATM

[JamesVU2000]

Does anyone know what ATM spys were trading at during the peak moments of the flash crash? Im curious because was reading at Taleb paper from Jan 2013 refuting that small probabilities are a sale. He claims that ATM in a 10std move less than the tails by a lot. Just wondering for future trades and hedges if this makes sense


that http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2196916

 

[JamesVU2000]

bump

 

[newwurldmn]

he's right.

the atm become delta 1 fast.

the otm's gamma keeps going up so they become the new atms with lots of gamma.

given the starting points the otm's move a lot more than the atm's.