Because other second derivatives for most options aren’t going to be significant enough, while gamma will be. I am also completely omitting some...
My prior would be that a lot orders on the touch will be UHF market makers who might pull while you are transmitting the order. So while it's...
Indeed, 1918 was the right year. 2018 was very offer-side :) I am not an epidemiologist so it's hard for me to have sophisticated thoughts on the...
On the other hand, he seems pretty passionate and confident about him being right. It's been a while since I felt like that about anything (except...
You are talking about a very specific case where the overall payout is rigged against the participant despite the asymmetrical payout. Usually,...
I assume x is the change in the underlying price? You can derive it from the overall PnL approximation pnl ~= dS * delta + 0.5 * gamma * dS^2 +...
Since we are quoting papers, how about this (I think the source is a bit more reputable than someones masters thesis): Anyway, my calculations...
I think it's pretty obvious that all high-end athletes are doping, but only some are getting caught.
First of all, it's not huge compared to the underlying assets. More importantly, it’s irrelevant how many distinct products there are or what...
Very unlikely, these ETFs are linked to very liquid assets. The impact of the rebalancing would be roughly proportional to the square root of the...
2-3 percent is not “absurdly low”. It’s the same rate as the Spanish Flu in 2018 am that killed tens of millions, just about 1% of the global...
I think it's more about the speed of (a) information transmission and (b) speed of execution, than true market efficiency. It's very hard to tell...
I thought the whole point of your strategy is selling OTMish puts on high vol names. If you wanna sell outs on BAC why not just sell puts on SPX?...
Dude, you don't get it! He found a magic spread! See below:
Let me modify my statement to a "proper futures broker" :D
Has not been my experience. I have quoted as small as 10x in stuff like SPX riskies and got back very tight markets. This said, it might be a...
Dude, you can call the floor and get a market on the spread. If you quote a tied spread in SPX you gonna get a very tight market unless you are a...
To quote some movie "shit, fuck, Jesus". While I've never heard any good things about them, I must confess to having an IB account. It's the...
I think the simplest suggestion would be to deposit more money, take the stock and hold on to it for a while.
On a BOX? Incredible. I assume you pulled your money out of that place right after you found out?
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