Remind me, when did they announce the emergency rate cut?
I think there are some funds that have isda who are smaller like HAP (he’s got like 150 I think). But he’s an important layoff account so it’s a...
I have, I just did not remember that particular scene (ambush with a cup of coffee). What a great movie, too
Actually, I know a lot of people who worked in various groups at Lehman so I could quickly establish if he’s full of shit (sadly, that’s my prior...
This time there is some evidence they might be right. A lot of strikes with 1-handle traded in March and it felt like a margin call to me
What kind of derivatives? Choose carefully :) for variety of reasons, I have my doubts you’ve been a trader at Lehman (don’t know about Golub)
What product did you trade and what floor where you on in the Lehman building?
I am confused. How does 2*delta or 2*dualdelta take the skew into account if it only uses a single volatility? A replicated digital (i.e. call...
On some metrics (like de-jumped realized vol) this is more intense. GFC was much more event driven, while this is a "proper" sustained realization.
This might be the longest sustained bout of realized volatility in S&P 500 we've see since the 80s.
I think we both agree on the significance, it's the actual result that we disagree on. What is the possible outcome of these disruptions in your...
Here is a brief overview of what's that all about. The general idea is as follows: Repo is when a party D buys a bond from party B with an...
Whoever wrote this, has very little understanding of the repo markets, so most of the conclusions are also wrong. ~30 billion, mostly held by a...
There are two general approaches to looking at volatility. Both ways are bad, but still are better than nothing. You can say "stuff used to move...
In that case you are better off using a tight call or put spread as an approximation of a digital and then multiply that by 2. While it's still...
My experience has been similar, though I’d probably allocate even more to dumb luck in my case.
Most of the larger hedge funds funds have an internal lower limit for market cap, usually anywhere from 25 to 100mm (depends on the market, e.g....
Doh. Bond futures are settled physically. The seller can delivery any bond from a basket of deliverable bonds that are currently trading in the...
As a general rule, it isn't but it could be under some circumstances.
FWIW, I am not advocating neither "equity" nor "equality", I am mostly fine with the world as it is. It's important to have good attribution of...
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