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Old Feb 7th, 2012, 01:41 PM   #13
atticus
 
 
Join Date: Mar 2007
Location: USA
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Quote:
Quote from riskreward:

Any hints on how he did it? I thought betonmarkets and retail exotics dealers marked up their products heavily.
Yeah, the edge loss was large, but essentially recovered in 24h on short gamma bets. He parlayed something like 30 bets straight. I know he went from 10k to nearly 800k the first year. Betting-limits were the limiting factor. He opened accounts in his friends names, but always funded those accounts and shared the proceeds. IOW, he would've made more if not for spreading the wealth.

BOM's bets are generally very close to bank indications and volbroker in FX. Maybe 120bp edge loss on index exotics (DNT at 54 with FV at 48). FX is much tighter.
 
Old Feb 7th, 2012, 01:48 PM   #14
riskreward
 
 
Join Date: Apr 2003
Posts: 119
Quote:
Quote from atticus:

Yeah, the edge loss was large, but essentially recovered in 24h on short gamma bets. He parlayed something like 30 bets straight. I know he went from 10k to nearly 800k the first year. Betting-limits were the limiting factor. He opened accounts in his friends names, but always funded those accounts and shared the proceeds. IOW, he would've made more if not for spreading the wealth.

BOM's bets are generally very close to bank indications and volbroker in FX. Maybe 120bp edge loss on index exotics (DNT at 54 with FV at 48). FX is much tighter.
Do you mean short gamma bets on the vanilla with an exotic hedge? Or the other way around?
 
Old Feb 7th, 2012, 01:48 PM   #15
HATEtheRisk
 
 
Join Date: Aug 2011
Location: Europe
Posts: 1,587
Richard Dennis, about 200M $ in his mid thirties.

Try to top that..........

 
Old Feb 7th, 2012, 01:50 PM   #16
HATEtheRisk
 
 
Join Date: Aug 2011
Location: Europe
Posts: 1,587
And of course my story one day, when i retire......

Work in progress.........

 
Old Feb 7th, 2012, 02:05 PM   #17
atticus
 
 
Join Date: Mar 2007
Location: USA
Posts: 12,879
Quote:
Quote from riskreward:

Do you mean short gamma bets on the vanilla with an exotic hedge? Or the other way around?
No, outright short gamma bets in the exotics. Mainly double-no-touches and then he migrated to short lookbacks with bank dealers. IIRC he never hedged until he reached into the 10s of millions.
 
Old Feb 7th, 2012, 02:14 PM   #18
gmst
 
 
Join Date: Jul 2011
Posts: 4,357
Quote:
Quote from atticus:

No, outright short gamma bets in the exotics. Mainly double-no-touches and then he migrated to short lookbacks with bank dealers. IIRC he never hedged until he reached into the 10s of millions.
what was the guy's background - education, experience ? Did he use to work at an exotic desk in a bank before ? Your average hedgefund trader or even an average CTA trader can't arb exotics.
 
 
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