one-offs

these are killing it. no vol-shift, but 8K (40 lot) vega into the number. Excellent expectancy even with 100 beeps lower across the curve (post CPI).

 

dislocation.

 

Zero vol-shift. it's unadulterated (the stress).

 

Risk on 105-lot index SkL.

 

The complex fly trade is no longer exchange native in cash vol. but ironically available in futures. I still don’t deal with the FO COB due to comms.

 

Skew locks are running an 7-8 Sharpe. >100 lots in index. $0 VaR under TIMS/VV and $0 expected shortfall.

 

It's not even my best structure. I'm going to do 10-15 this year.

 

Trades or Billion??

 

billion trades