How does Nassim Taleb trade?

Discussion in 'Strategy Building' started by stocon, Oct 1, 2006.

  1. taowave

    taowave



    Mo,Do you have any idea how he has done the last 3 years???
     
    #31     Oct 3, 2006
  2. No idea. Might e-mail him if he still responds to gamma@fbr.com.
     
    #32     Oct 3, 2006
  3. taowave

    taowave


    Did you ever work at Salomon?Your style is eerily familiar...

    You wrote any good dispersion trader is gamma flat or long.

    I am referring to long equity vol/short index vol.Call it anything you wish...

    I then ask you,apx what underlying notional must you sell in index options to be flat gamma/vega??

    Would you say its 1.5 x the equity notional or would you say its closer to 2x???

    Perhaps i should have said you have a directional bet on.If your options are of the same maturity and you are running a gamma flat book,what do you think will happen on the downside even as correlation approaches 1???

    All i am saying is if you are flat gamma/theta in that specific trade,there is a definite directional element and most funds will not let you trade it gamma flat.They would not view the trader as a competent dispersion trader..
     
    #33     Oct 3, 2006

  4. I was briefly at Salomon in 1991. I refuse to sell cheap gamma, so long street/short index isn't in my bag of tricks under 95 corr. Yeah, it would likely require >1.5x notional. I was implying that I would err to excess long gammas, in notional-terms. Simply: bullish dispersion, long notional premium.
     
    #34     Oct 3, 2006
  5. taowave

    taowave

    I think our paths have crossed:)

    That was my only point..Alot of guys who just cant buy vol,will attempt to run a dispersion book gamma flat as the next best choice...And they get spanked on any good correction...

    I am with you,I just cant bear to sell this gamma....
     
    #35     Oct 3, 2006
  6. Auto-responder says he's currently busy with book till September 2nd (past)...so probably running behind schedule LOL.
     
    #36     Oct 3, 2006
  7. taowave

    taowave

    or gagging on long vega
     
    #37     Oct 3, 2006
  8. Gotcha, I misunderstood. =)

    Yeah, I can't bring myself to sell index gamma unless I am net long size, and then it's simply placing a bet. I'd rather buy correlation thru the short vol-swap and take my hit on component outliers.
     
    #38     Oct 3, 2006
  9. He sent me a scathing email from his crackberry not long ago.
     
    #39     Oct 3, 2006
  10. taowave

    taowave

    LOL...were you worthy of his wrath????
     
    #40     Oct 3, 2006