Var.swaps, dispersion & other vol related trading.

[Tony Optionaro]

@Tony Optionaro

I did my master thesis this year, rough volatility combinded with fractional brownian motion is all the rage now from what I've learned. If you go into Sales just go with something easy. 2nd job in no one cares about your master thesis. I've choosen a topic that I liked and that would elevate my trading skills.

I too want to write on a subject that I have sincere interest in, so I'm not choosing it based on where I want to work in the future. If I can combine the two, then good, but not necessary.

Thanks for your input!

PS. I'd be interested in reading your paper, so if you're comfortable with that you could PM it to me. I understand if you don't feel like sharing it with strangers on the internet.

 

[Atikon]

I too want to write on a subject that I have sincere interest in, so I'm not choosing it based on where I want to work in the future. If I can combine the two, then good, but not necessary.

Thanks for your input!

PS. I'd be interested in reading your paper, so if you're comfortable with that you could PM it to me. I understand if you don't feel like sharing it with strangers on the internet.

I'd like too, but I wrote it in coop of a venture capital fund, so it won't get published anytime soon unfort.

Best of luck for your thesis

 

[Aquarians]

Just because certain things, or life in general, didn't work out for you, doesn't mean others shouldn't give it at least a try.

Don't be an asshole (classic noob). I wasn't trying to stop you from trying, by all means, go ahead. Just know what's in front of you.

Take a look at Blackadder Advanced World War I Tactics, it makes an excellent parallel to job interviews:

=== Blackadder transcript below =====

Melchett:
- Field Marshal Haig has formulated a brilliant new tactical plan to ensure final victory in the field.

Blackadder:
- Ah. Would this brilliant plan involve us climbing out of our trenches and walking very slowly towards the enemy?

Captain Darling:
- How could you possibly know that, Blackadder? It's classified information!

Blackadder:
- It's the same plan that we used last time and the seventeen times before that.

Melchett:
- Exactly! And that is what is so brilliant about it! It will catch the watchful Hun totally off guard! Doing precisely what we've done eighteen times before is exactly the last thing they'll expect us to do this time! There is, however, one small problem.

Blackadder:
- That everyone always gets slaughtered in the first ten seconds.

Melchett:
- That's right. And Field Marshal Haig is worried this may be depressing the men a tad. So he's looking for a way to cheer them up.

=== Adapted for Tony Optionaro =====

Melchett:
- Field Marshal Tony Optionaro has formulated a brilliant new tactical plan to ensure landing a job in market making.

Blackadder:
- Ah. Would this brilliant plan involve getting a degree in finance and writing yet another master thesis in something like variance swaps?

Captain Darling:
- How could you possibly know that, Blackadder? It's classified information!

Blackadder:
- It's the same plan that the last job applicant used and the 9999 ones before him.

Melchett:
- Exactly! And that is what is so brilliant about Tony Optionaro's plan! It will catch the watchful Market Maker totally off guard! Doing precisely what has been done ten thousand times times before is exactly the last thing they'll expect him to do this time! There is, however, one small problem.

Blackadder:
- That everyone always gets slaughtered in the first half hour of LeetCode automatic code tests.

Melchett:
- That's right. And Field Marshal Tony Optionaro is worried that asking advice on Wilmott will result in some depressing realization of the situation he's in. That's why he's looking for a way to cheer up by buttering up semi-amateurs on ET.

 

[taowave]

In what parallel universe are you calling someone else an asshole??

If thats the attitude you bring to the table,be thankful you got past the receptionist..

Don't be an asshole (classic noob). I wasn't trying to stop you from trying, by all means, go ahead. Just know what's in front of you.

Take a look at Blackadder Advanced World War I Tactics, it makes an excellent parallel to job interviews:

=== Blackadder transcript below =====

Melchett:
- Field Marshal Haig has formulated a brilliant new tactical plan to ensure final victory in the field.

Blackadder:
- Ah. Would this brilliant plan involve us climbing out of our trenches and walking very slowly towards the enemy?

Captain Darling:
- How could you possibly know that, Blackadder? It's classified information!

Blackadder:
- It's the same plan that we used last time and the seventeen times before that.

Melchett:
- Exactly! And that is what is so brilliant about it! It will catch the watchful Hun totally off guard! Doing precisely what we've done eighteen times before is exactly the last thing they'll expect us to do this time! There is, however, one small problem.

Blackadder:
- That everyone always gets slaughtered in the first ten seconds.

Melchett:
- That's right. And Field Marshal Haig is worried this may be depressing the men a tad. So he's looking for a way to cheer them up.

=== Adapted for Tony Optionaro =====

Melchett:
- Field Marshal Tony Optionaro has formulated a brilliant new tactical plan to ensure landing a job in market making.

Blackadder:
- Ah. Would this brilliant plan involve getting a degree in finance and writing yet another master thesis in something like variance swaps?

Captain Darling:
- How could you possibly know that, Blackadder? It's classified information!

Blackadder:
- It's the same plan that the last job applicant used and the 9999 ones before him.

Melchett:
- Exactly! And that is what is so brilliant about Tony Optionaro's plan! It will catch the watchful Market Maker totally off guard! Doing precisely what has been done ten thousand times times before is exactly the last thing they'll expect him to do this time! There is, however, one small problem.

Blackadder:
- That everyone always gets slaughtered in the first half hour of LeetCode automatic code tests.

Melchett:
- That's right. And Field Marshal Tony Optionaro is worried that asking advice on Wilmott will result in some depressing realization of the situation he's in. That's why he's looking for a way to cheer up by buttering up semi-amateurs on ET.

 

[Aquarians]

In what parallel universe are you calling someone else an asshole??

If thats the attitude you bring to the table,be thankful you got past the receptionist..

F.. off tawave.

"Just because certain things, or life in general, didn't work out for you".

He's ASS-uming that things didn't work out. That makes him an ASS.

 

[Tony Optionaro]

I'd like too, but I wrote it in coop of a venture capital fund, so it won't get published anytime soon unfort.

Best of luck for your thesis

No worries, and thank you!

 

[Tony Optionaro]

Don't be an asshole (classic noob). I wasn't trying to stop you from trying, by all means, go ahead. Just know what's in front of you.

Take a look at Blackadder Advanced World War I Tactics, it makes an excellent parallel to job interviews:

=== Blackadder transcript below =====

Melchett:
- Field Marshal Haig has formulated a brilliant new tactical plan to ensure final victory in the field.

Blackadder:
- Ah. Would this brilliant plan involve us climbing out of our trenches and walking very slowly towards the enemy?

Captain Darling:
- How could you possibly know that, Blackadder? It's classified information!

Blackadder:
- It's the same plan that we used last time and the seventeen times before that.

Melchett:
- Exactly! And that is what is so brilliant about it! It will catch the watchful Hun totally off guard! Doing precisely what we've done eighteen times before is exactly the last thing they'll expect us to do this time! There is, however, one small problem.

Blackadder:
- That everyone always gets slaughtered in the first ten seconds.

Melchett:
- That's right. And Field Marshal Haig is worried this may be depressing the men a tad. So he's looking for a way to cheer them up.

=== Adapted for Tony Optionaro =====

Melchett:
- Field Marshal Tony Optionaro has formulated a brilliant new tactical plan to ensure landing a job in market making.

Blackadder:
- Ah. Would this brilliant plan involve getting a degree in finance and writing yet another master thesis in something like variance swaps?

Captain Darling:
- How could you possibly know that, Blackadder? It's classified information!

Blackadder:
- It's the same plan that the last job applicant used and the 9999 ones before him.

Melchett:
- Exactly! And that is what is so brilliant about Tony Optionaro's plan! It will catch the watchful Market Maker totally off guard! Doing precisely what has been done ten thousand times times before is exactly the last thing they'll expect him to do this time! There is, however, one small problem.

Blackadder:
- That everyone always gets slaughtered in the first half hour of LeetCode automatic code tests.

Melchett:
- That's right. And Field Marshal Tony Optionaro is worried that asking advice on Wilmott will result in some depressing realization of the situation he's in. That's why he's looking for a way to cheer up by buttering up semi-amateurs on ET.

Ha I appreciate the time you put into that, and I'm sorry that you got offended by my comments.

However, I think you missed my point. I never said that I was going to use my thesis as a miracle pill to get me into market making or the industry in general. I said that if there was some topic that could POSSIBLY HELP me land a job, then my ears are open. I wasn't born yesterday, and I know how hard it is to get into the positions that I aspire to work in, so obviously I know that writing a thesis related to vol. trading won't automatically land me a job as a vol. arb trader at a HF. I know that, trust me.

The reason I made this thread was because I know there are many smarter people here than you and me who have had lots of actual experience in the field, so maybe they would have some good points and tips for me (and they had, so this thread has been a success so far).

Or do you really think I'm living in a dream world, where writing a thesis about vol. trading helps me just as much as writing about gender studies, when applying for entry-level jobs in that space?

 

[taowave]

Writing a thesis will help,but have you coded anything that you traded off of and made a decent return?

If I'm the head trader of ED (which I was),and a guy walks in with software he created to trade dispersion,vol arb,HFT or anything related,he /she is definetly getting my attention..

If they put up numbers to back up their "thesis",they have a dam good chance to get more than "attention"...

My point is,there a ton of academics out there putting out papers.If it's not groundbreaking,what will separate you from the pack??

IMHO, it's desire/motivation,knowledge,implementation and execution leading to profitability..If you can demonstrate that with a thesis backed by a returns,you will land a trading spot and it certainly won't hurt your chances of getting a sales position..

 

[Tony Optionaro]

Writing a thesis will help,but have you coded anything that you traded off of and made a decent return?

If I'm the head trader of ED (which I was),and a guy walks in with software he created to trade dispersion,vol arb,HFT or anything related,he /she is definetly getting my attention..

If they put up numbers to back up their "thesis",they have a dam good chance to get more than "attention"...

My point is,there a ton of academics out there putting out papers.If it's not groundbreaking,what will separate you from the pack??

IMHO, it's desire/motivation,knowledge,implementation and execution leading to profitability..If you can demonstrate that with a thesis backed by a returns,you will land a trading spot and it certainly won't hurt your chances of getting a sales position..

You’re spot on. I am yet to implement my model into real money trading, because I’m still working on it and don’t want to get a head of myself and therefore possibly ruin the numbers and/or have pure luck behind it.

Thank you for the time you put into this, I think I have an idea now on what I will focus on in the near-future and what to do my thesis on. Cheers!

 

[newwurldmn]

You’re spot on. I am yet to implement my model into real money trading, because I’m still working on it and don’t want to get a head of myself and therefore possibly ruin the numbers and/or have pure luck behind it.

Thank you for the time you put into this, I think I have an idea now on what I will focus on in the near-future and what to do my thesis on. Cheers!

unless your thesis is truly ground breaking and profound, it by itself won’t get you job as a senior trader. But the fact you can produce a thoughtful analytical thesis will certainly help you in your interviews.

remember, you shouldn’t expect to be swinging big money on day 1. You will start as an assistant trader or assistant sales person. You will then work your way up from there to be a senior trader or salesman. All you have to do is convince someone that you are worth the investment to grow into that senior role.