yep, she is long gamma in the right places.
I think it is you who has a lot to learn. Why would distributional assumption have anything to do with convergence? Imagine this - if there is no...
Dude, I used to date a figure skater, and she'd always talk about landing on this edge, using this edge. Dddly enough, never wanted to slap her...
I don't trade equity derivatives, I have some equity vol sitting in my private account as part of some macro bets, but I do not trade it. So it is...
Well, a large (i.e 10% move) is a pure curtosis play. Personally, I feel that i equity/index world ATM vol is overpriced more then OTM vol,...
I finally realized that there are two separate discussions going on here - there is a crowd of people like Mav and riskarb talking about...
Interesting - at what deltas do you write 'em? 1 delta? Let's do a back-of-envelope calculation. Say you sell them at like 5 delta (2 stdevs)....
Simple. You sold puts far OTM puts on September 10, 2001. You sold puts on Enron two days before the restatement announcement. You have heard of...
Stupid question - if you are doing trades premium-neutral, are you a net buyer or a net seller? :D In rates-gamma world (board/merk + OTC...
I think what people are trying to say is that implieds are in general trading at some risk premium over the realized. What they forget is that...
returning back to the topic - it's worth looking at SABR: http://www.princeton.edu/~sircar/sabrall.pdf it is a bit tricky to implement, but it's...
you do mean R. Merton, don't you? :D You know, JP Morgan has been dead for a while, way before the era of correlation trading
Why would you say that? The real trick to getting the skew problem right is getting the hedges to be 'skew compliant'. A vol model would have to...
that means you'd have to pay to short a bond. pretty usual stuff in JPY world
Could you go through the calculations for the graph? Let me give you some simple calcs (data was taken of BBG, HP 12C calculator used): For...
actually, they can be hedged statically in options and dynamically in underlying. in essense, you are creating a inverse log-like payoff profile...
I'm still trying to understand what's the point of the whole discussion. Probability of the option being in the money is your delta (in...
easy as pi, though there are a few ways to do it. first you need to realized that it's and imperfect hedge because of convexity premium. The...
it's a year-turn, nothing usual - the companies are doing window-dressing over the new years eve, so the money is tighter. 1.5bps actually...
You mean to say that it's ok to disregard volatility premium of the basis? I still remember days when the basis was worth a large bit over the...
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