Var.swaps, dispersion & other vol related trading.

stochastix · Dec 28, 2020

I only know about variance swaps In theory. VIX is the closest alternative . my friend in Romania worked at jp Morgan as a programmer supporting clients trading swaps but he said what I'm doing is very different. I worked at a hedge fund for 4 years but no one there knew any math at all and were terrified of charts and graphs even tho they made tons of money. I don't know, i do my own thing and it seems like any job trading variance swaps is going to be highly constrained

taowave · Dec 28, 2020

Whats your preference,trading or sales?

As you know,totally different beasts..

If I am not mistaken you have not traded a correlation/dispersion "book".Have you traded the Vix??

I was head trader of ED at a big boy IB..I know what i looked for

Tony Optionaro said:
Hi folks,

I'll cut to the chase: I'm looking to write a thesis for my degree, and having a hard time choosing my topic. I'm currently contemplating between var.swaps basics, uses, pricing and different underlyings (such as wti), or different vol. trading strategies to name a few.

I want to make use of the time I'm going to sacrifice for this paper, so I would like to write about a topic that would possibly help me land a job in market making/sales in this space. If you have any suggestions or tips please let me know, every piece of advice is hugely appreciated.

2rosy · Dec 28, 2020

thought one of the ideas was to trade realized vs implied. this might be useful https://tinyurl.com/y9qlo49r

Tony Optionaro · Dec 28, 2020

taowave said:
Whats your preference,trading or sales?

As you know,totally different beasts..

If I am not mistaken you have not traded a correlation/dispersion "book".Have you traded the Vix??

I was head trader of ED at a big boy IB..I know what i looked for

Sales, because I think it’s easier for me to fit in there.
Never traded dispersion, read about it tons and I find it interesting. I have traded vix options quite alot and tried trading the ’print’ too, I haven’t traded since summer because I haven’t had the time because of Uni and i’m trying to build a new strategy to implement and doing more research on vol. trading.

taowave said:
I was head trader of ED at a big boy IB..I know what i looked for

I’ve read alot of your posts, and I can tell that you have had a lot of experience in the field. If you have any tips for fresh graduate looking to get his foot between the door my ears are open.

Tony Optionaro · Dec 28, 2020

stochastix said:
it seems like any job trading variance swaps is going to be highly constrained

Thanks for your input!
Could you elaborate what you mean by the job being highly constrained?

Tony Optionaro · Dec 28, 2020

2rosy said:
thought one of the ideas was to trade realized vs implied. this might be useful https://tinyurl.com/y9qlo49r

I’ve read that, good read.

stochastix · Dec 28, 2020

Tony Optionaro said:
Thanks for your input!
Could you elaborate what you mean by the job being highly constrained?

investment banks and financial firms have "policies and procedures". The one I worked for, claimed that I missed a "very important training" on the proper duration of eye contact that I missed out on by working from home. You have to deal with people who can be quite the pompous asses that will misinterpret statements written in email that are totally innocuous but they mysteriously interpret as threatening because the "windows guy secures our email" or weird shit like that

DiceAreCast · Dec 28, 2020

I assume you talk about a master thesis? Doesn't a master thesis have to be based on a new idea or concept? Var swaps and most dispersion products are mature products, some new products are just given a fancy name with a slightly altered kernel. In the end they are the same old dispersion games banks like to play to risk transfer volatility.

Tony Optionaro said:
Hi folks,

I'll cut to the chase: I'm looking to write a thesis for my degree, and having a hard time choosing my topic. I'm currently contemplating between var.swaps basics, uses, pricing and different underlyings (such as wti), or different vol. trading strategies to name a few.

I want to make use of the time I'm going to sacrifice for this paper, so I would like to write about a topic that would possibly help me land a job in market making/sales in this space. If you have any suggestions or tips please let me know, every piece of advice is hugely appreciated.

taowave · Dec 28, 2020

I think from a sales perspective,you are operating way above the pay grade of most of your competitors..Pretty sure your knowledge of products along with your hands on trading experience is close to the top when compared to other salesman..Definetly ahead of the curve..

What makes you say sales is an easier fit???

Its definetly an easier job

Tony Optionaro said:
Sales, because I think it’s easier for me to fit in there.
Never traded dispersion, read about it tons and I find it interesting. I have traded vix options quite alot and tried trading the ’print’ too, I haven’t traded since summer because I haven’t had the time because of Uni and i’m trying to build a new strategy to implement and doing more research on vol. trading.

I’ve read alot of your posts, and I can tell that you have had a lot of experience in the field. If you have any tips for fresh graduate looking to get his foot between the door my ears are open.

tommcginnis · Dec 28, 2020

Considering your comments, you might think about leaning back on some game theory thoughts -- something like,
"Crying 'Wolf': Tests of 4 Different Reputation & Hysteresis Shocks in Global Currency Markets"

Explain the idea, run four different evaluations, write up the results, hope for a bit of surprise, but regardless, prepare yourself for the post-TrumPidiot/Populist re-focusing on global markets' stability. You're in like Flynn. You've got elementary stat., market vol, cultural norms vis realpolitik vis game theory??? What's not to love?