I agree. Selling correlation is a graveyard style trade. You spend have to short extra index vol to avoid bleeding and then spend all your time trying to justify your gap risk. And when sht hits the fan, your book explodes in size.
What is NP btw? NuclearPhynance ? That Capital Structure Demolition company seems pretty rad... funny at the very least... First thing you see when you visit their site is "All Your Bond Are Belong To Us"
Out of this yesterday, small change today (from avg out). Will go over fills and ratios later, but this won on primary and hedge.
i love in that article.. you posted.. "Well, dispersion sounds more cryptic, and hence itââ¬â¢s easier to impress people with it. Period. And itââ¬â¢s Greek in origin, making you sound sophisticated." i like how frank this guy is in this paper.. talking of wet dreams and such ..