There is a lot of truth in what you're saying, and the few times I've seen Taleb being interviewed, he comes off as a condescending a-hole (just...
According to Professor Taleb, the downside put skew is not steep enough. Or maybe the vol smile should be less linear and more convex, more...
The continuously compounded daily returns of a stock or equity index are generally accepted to be normally distributed, which is a common...
I've held calll ratio positions like this that were winners on both rallies and corrections. Skew flattening works in your favor on a break, and...
1x2 ratios (backspreads) are a no brainer in a super low vol environment with a flat to negative skew. Unfortunately, that only happens on the...
For run-of-the-mill stocks and equity indexes with lognormal prices use ln(K/S)/σ√t = 6 and solve for K (strike) to get your desired put option.
You would think if you're going to sell every option on the board year-in and year-out, you would at least be long thousands of "teenie" puts to...
Accord According to the Professor Taleb the 6+ standard deviation puts are priced too low. But who wants bleed money being long them for 10+...
Selling "mispriced" far-out puts will eventually blow you out. The nosebleed IVs (vs the rest of the smile), juicy high skew, low prob, and nice...
The hardest part of owning any option is watching them decay when the market is rangebound, and waiting impatiently for the inevitable big move...
Go long the BNO ETF, which tries to track front-month Brent futures and spot. You'll make money on the roll yield during backwardation, which...
So your basically ratio-ed. Short the "meaty" put strikes, and long about twice as many far-out winger, lottery ticket, black swan outlier puts
Stock market returns exhibit a more leptokurtic distribution vs a normal distribution. Leptokurtic distributions have fatter tails (higher...
To lock in "kinks" in the vol smile you have to delta hedge to lock in the IV diff anomaly. The hedge is done once...and then done again the...
He's net long mostly high-skewed put wings that will underperform unless we a get a convincing break below 3000. Position bleeds money and doesn't...
Yes, on the rally his gamma exposure shrinks as the market moves away from his long puts, but his deltas are always moving in his favor when short...
1- Yes. He's long the more gamma-rich closer-to-expiration puts, short the more vega-rich longer-dated puts 2-Long gamma positions benefit from...
Strategy loses money when market creeps lower and overall IV increases the same across all expirations, which adds losses to your losing long...
So you're always short put calendars (long front, short back), then eventually buy back your short long-term puts at a lower price, while...
Selling covered calls to finance expensive puts is not rocket science and definitely doesn't make you "the greatest options trader that ever...
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