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Benn "DJ D-Vol" Eifert
bennpeifert
pet peeves in options and derivatives... 1) Skew exists for a reason. Realized skew is the covariance between spot prices and implied volatility. Downside put vol trading above at the
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In this spirit, since I’m on the train for a minute, short thread on VIX and VIX futures/options, since this is something I see a ton of confusion about.https://twitter.com/bennpeifert/status/1228471703396683777 VIX
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With a few explanatory notes below...https://twitter.com/nonergodicgame/status/1337866554080366596 The payoff of a variance swap is variance notional x (realized vol ^2 - strike ^2)Why does a variance swap have delta (instantaneous sensitiv
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Hi everybody (financial journalists I'm looking at you!), it would be super if you'd stop describing five or ten standard deviation events as events that "can never happen according to
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Well @theemilyaccount had a nice thread on career advice in quantitative finance today and I've promised a bunch of people in DMs that I'd eventually do the same. So here
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Thought I'd clarify a few different mechanisms that are getting confused somewhat:1) retail speculation and short term call buying ("Robinhood")2) institutional call spread trades in tech (SoftBank etc) First, retail
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good reflective thread that i think has a lot of commonality with people in many career paths, not just quantymany career trajectories run into ambiguity where there is no standard
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One last point on this. Many replies like "well its what the customers want, who are you to say it's bad?". Please understand that the modern web technology industry is
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