sure... 5y tenor, forward premium ok? I can do size!
I know it's a new concept for you, but a call and a put (European, with the same strike and expiration) are related through put/call parity. If...
Are you going to fix the forward prices that you use for calculating implied vols? Pretty much every underlying has different implied vols for...
No. But you have to have an ability to take delivery of or deliver bonds (since the notice period starts).
What are the markets with a robust warrant business these days?
No, that would be treasury basis and On/Off-TR. But yes, the whole space exists purely for the arb, so when it goes it goes. PS. This said, if...
He's got a point, actually. Futures vol (including VIX futures, but for a different reason) tends to increase as the contract approaches...
If you have multiple 1-sharpe strategies (with true statistical significance yada yada yada) that are uncorrelated, you can easily be running at...
Faking stuff works. Facebook is fake social interaction. Coke is fake drinks. Dominoes is fake pizza. I don't consume any of it, but I sure own...
I assume we are talking about commodities here (cause rate futures would be yet another animal) so it's a a broad topic, but here are some...
I am on a mobile and high as a kite, so take this with a brick of salt. It's a standard mandatory, conversion below the lower strike at lower...
That’s not exactly true. If you’re a fund asking for an investment, in general you not gonna attract bigger FOs unless your AUM is at least a...
The reason to use swaps is primarily a PnL transfer to the delta-1 desk of their mothership. Even if the underlying is perfectly liquid, the d1...
Well, authorised participants are “involved but not committed”. It’s the manager that actually does rebalancing to follow the index, do whatever...
The two are not the same. Ukraine was attacked by Russia. Gaza attacked Israel on October 7th, 2023. Regardless of what you think about the...
Maybe they (Gaza) shouldn’t have started a war they can’t win…
Back of the envelope, at 20% return you’d turn 1k into 240k after 30 years assuming zero volatility. Compounding is a miracle but not a big miracle :)
It’s a different game if you’re managing money. For example, at most hedge funds, they cut your risk in half if you lose 4% - so you have to be...
This market needs an enema!
If you exceed the maximum drawdown limit, your “investors” hunt you down and break your knees. So once you hit that number, you pack a bag and...
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