Discussion in 'Chit Chat' started by terminator, May 17, 2007.

  1. There is a set of railroad tracks a few miles from where I live. The train only comes by a couple of times a day for a few minutes each. 95% of the time the tracks are empty. I think I'll go take a nap on the rails.
    #51     May 17, 2007
  2. I think I can speak for atticus on this. He disdains people pitching the same strategy, be it either exclusively long gamma or short, under any and all conditions. He's a logical, math dude. He know's over an infinite sample there's no intrinsic edge in using either strat 100% of the time. Hence any argument "pro vs. con" about buying/selling gamma is moot. Why debate "merits" when over the long haul they're both meritless.? Over the micro it's a different story and certainly volatility trends along with the underlying. Has Vic sold premium the past few years because he envisioned tumbling volatility or was it because it's all he ever does?

    I'm sure atticus is cognizant that he knows 6x more about options theory than either Vic or Taleb.

    Taleb exposed hedge fund world for what it is. He should get a Nobel. Or at least a nod from Ralph Nader. Too many massive funds are just short gamma "traders." By rote. What's a carry trade other than a short call on the cheap currency? Crowded stuff that's about to erupt like a 1960's ghetto.

    Do you honestly think these 50% returns are the results of superior management? They're the product of Russian Roulette. Every decade a live chamber awaits Vic. He's a caricature as is Mr. Black Swan but Taleb is at least both entertaining and on most levels he get's it.
    #52     May 17, 2007
  3. I about spit up tomato soup on this morsel. Sorry MS, had to chime in about a comment on education from a "snob".
    #53     May 17, 2007
  4. I can only assume we've crossed paths at some point, as the majority of your posts refer to me.

    Taleb and I have crossed paths and we're not friendly. I don't consider him a trader any more than my neighbor who buys bear risk-reversals against his Vanguard index holdings.

    Vic decided at some point in his career that risking it all was an acceptable risk. You can't sell naked index puts and avoid the conundrum.

    I don't hate 'em. I sell naked gamma on occasion, much more in my previous life. I've traded for funds and only recently hit critical mass which allowed me to establish prime with a major bank.

    I am up 22% since Feb 1, $12.2mm AUM at a 5.80 Sharpe. Peak to trough VaR has not exceeded 6%. The majority of positions are short gamma, but I carry var-swaps on index and touch-exotics against my fx exposure.
    #54     May 17, 2007
  5. basis



    (I'll preface this by saying that I've traded options full time for going on fifteen years now, for myself, banks, funds, and prop shops. Several exchange memberships and the attendant floor experience, futs, fx, equities, indices, blah blah.)

    You and/or Atticus might be smart (Atticus knows options, obviously), but you're talking about guys with PhDs in stats/math/finance with DECADES of trading experience each. If you need an example, Taleb's first book is THE book for practicioners. Sure, it doesn't cover absolutely everything, but it covers more than everything else, and does it without errors. (FWIW, he's a better author than trader.)

    As far as VN just being naked short puts, that's truly hysterical. The guy has a monster options portfolio with a brilliant guy running it. I'm quite sure he's net short premium all the time, or close to it, but it's not as if the exposure isn't managed and traded aggressively.

    Pabst, you're certainly one of the top 1% or something of posters around here, but if that includes making comments like this, is it any wonder that no one takes ET seriously? C'mon.
    #55     May 17, 2007
  6. I know enough not to sell 2x my notional in 2 sigma risk. I have an MS and another advanced degree, and started undergrad at 15yo. Meaningless.

    My Oz partner is a leading string theorist and was horrified by his book. Dynamic hedging is the bible? How do you get past the errors in formulae?
    #56     May 17, 2007
  7. basis


    If you're trading capital with which you are expected to do just that, you're wrong. No one (with a brain) has their retirement account with VN or anyone like him. He's SUPPOSED to take risk.
    #57     May 17, 2007
  8. Debit risk is in the prospectus and disclosure docs?
    #58     May 17, 2007
  9. I have no interest in a pissing match. They're both very intelligent. Vic is obviously very astute at pattern and analog recognition.
    #59     May 17, 2007
  10. basis


    You're right. Me neither. I just take exception to all the "Niederhoffer is an idiot" posts. I've made a lot of money on things I've learned from/around him.
    #60     May 17, 2007