dest's overwrite journal

Discussion in 'Journals' started by destriero, Jun 10, 2021.

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  1. destriero

    destriero

    I haven't gotten to that yet but there are vol and price limits/targets. Rarely I will buy prot on inside tenors in front or macro and micro events, but I won't hedge the things dynamically. These are as close to set and forget as it gets.
     
    #11     Jun 10, 2021
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  2. destriero

    destriero

    People. Soylent Green is ppl!
     
    #12     Jun 10, 2021
  3. Yeah, I am fully offshore, so when I looked up AMP/Other, aka Cyprus. I rather be U.K., because of their regulations/safety.

    I am all down with this journal. Can you recommend best offshore brokers, for the stuff you do?

    Now, that Salty is dead, you know...

    I actually feel sad for the MOFO.
     
    #13     Jun 10, 2021
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  4. destriero

    destriero

    This is all share vol. IBKR is probably the best in the UK.
     
    #14     Jun 10, 2021
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  5. Thanks man. Can't believe Salty is dead (you know, he was murdered)...
     
    Last edited: Jun 10, 2021
    #15     Jun 10, 2021
  6. In the interest of continuing to compile my mental "Destriero dictionary" (at least I knew what "SN" and "ppl" were, and understood the process description!)... :)

    What does "stress at neutrality" mean (or just "stress" more generally)? Something like "calculate the P&L at maturity based on some nominal vol figure", maybe?
     
    #16     Jun 10, 2021
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  7. THIS IS IT! Compile it.
     
    #17     Jun 10, 2021
  8. Yeah, but then I'd have to, like, publish the entire Codex Gigas^WDestrierus (do you even know how tough it is to illuminate one of those things? The monks don't work just for communion wafers, y'know) and split the proceeds with him. Not that I'd mind, but he'd get insulted by the piker change and have a satellite fry me from orbit or something. So I'll just avoid the unpleasantness and keep it all between my ears for now. :)
     
    #18     Jun 10, 2021
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  9. AMEN...
     
    #19     Jun 10, 2021
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  10. destriero

    destriero

    I heard

    What's the only risk that isn't unimodal? Delta flips at the forward (ostensibly the strike). So you stress the gain (idealized) at the strike. I've never seen vol rally enough to pose a loss at the neutral strike.

    I prefer up/out skews as these are always long stock/short calls as it negates loss to stickiness. If this were done on index you'd hope to win more on strip vols (mkt vols "VIX") than you would lose on contamination/stickiness. In index it's often not the case. 30 -> 25 -> 20 vols (25D put -> ATM -> 25D call). What happens to the 20 vol-strike as market trades to the strike? Assume that it will gravitate to the prevailing ATM vol-figure.



    Vols trade inverse to the market so as we rally you should earn on your vol-line due to these being LEAPS for the most part. I only mention it as the mkt volatility is a much greater sens. but I input call skews.

    I gotta sleep.
     
    #20     Jun 11, 2021
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