0.3 * 0.25 + 0.4 * 0.35 + 0.3 * 0.18 ~ 0.27 no? import numpy as np w = np.array([.3, .4, .3]) v = np.array([.25,.35,.18]) V = .21 x =...
Some notes and thoughts: (a) LOL. What a widow-maker trade that was! (b) Actually, volatility was priced rather conservatively by every...
MMs tend to be delta-neutral at all times. So as the underlying moves and options delta changes due to gamma, they buy or sell more underlying to...
Do you mind giving a short summary before I commit to listening to a 1.5 hours of rambling?
Erm, it's mostly bullshit. Spoofing does not really impact the market nearly as much as people like you to believe. It does impact the HFT market...
Marker makers hedge continuously, so the answer is no, it does not matter if the options are OTM or ATM. The whole premise of short gamma squeezes...
Actually, priced both in a reasonably good pricer (predictably, back of the envelope was way off LOL): Sep 21 - 14.5% mid Jan 22 - 31% mid To be...
@ValeryN could you share some thoughts about your research and monitoring tools? I.e. how you display stuff intraday, alerting systems, backtest...
The general idea is that at a very small scale you can size every position by the strength of the alpha and ignore liquidity constraints. As the...
lol! Mkay, my back of the envelope price for 4500 one-touch is even odds (you never gave me a quote) which feels fair Same notional, i.e. gun...
He was asking for CFE gateway which is futures (VIX). In any case, as per Rithmic, they have discontinued CFE support due to lack of interest from...
You can call it whatever you want, as long as you accept that it's random and you have to be prepared for it. Don't forget that life is far more...
Hmm. I don't want to comment on the level of spooz (*) but i do think we gonna have more of these explosive rallies (*) though I am tempted to...
Thats perfectly fine. Something tells me that we play in different sandboxes anyways :D I have zero passion with regards to the topic, but I do...
Why is that concept so hard to accept? There are known unknowns and there are unknown unknowns. In case of COVID, it was an unexpected event that...
Dude, I get that this is ET but did you actually read what I wrote beyond scanning for the key words? They were short calls on realized variance,...
I am too lazy to go down the link, but if this was Allianz Structure Alpha guys they were selling capped/uncapped variance (essentially a...
Just FYI, the guy gets a lot of stuff factually wrong so don't look there for the details of the actual trades.
Exactly
Right, t-stat = sqrt(n) * sharpe, so n = (t-stat / sharpe)^2 ... I love it when math just works :D There are factors to go both ways. For...
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