Meant that the switch value has to exceed the modeled vol-drop. META was decent but it would not have done better than 2X under 730 shares. Neither AMZN nor AAPL meet the criteria.
Gamma swap replication in NDX cash vol. Local vega (inside 2SD) exceeds left tail risk. A bounded-varswap. Yeah, I got it off today. I suspect it will come in after NFP.
I'm going to leave ET at 3K posts on this handle. New chapter and I've been here in one iteration or another since 2002? I'm going to try and avoid conflict where possible with my remaining posts.