#Volatility

1/ Having lots of fun convos in the DM’s about positioning of systematic players (and how that positioning changes w.r.t. spot, realized volatility, and time).I think an important equation to
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Epic Failures - Lessons from Volatility Funds blow-upsAnyone who ever ran a volatility strategy knows how it feels like when the strategy goes awfully wrong..... (it's usually the short volatility strategies that have
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Gamma-Theta-Vol triangleThe entire concept of volatility trading can be simplified into a triangular relationship between Vol-Gamma-Theta.Although it might seems oversimplifying a rather complex dynamic of option trading, your realized pnl
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VOLATILITY OBSERVATIONS:1) Year to date, so far the $VIX remains elevated in 2020 @ 25.68, but expected volatility is settling down after peaking @ 82 on March 16th. 2) At
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Implied and realized volatility have been crushed due to yield seeking funds (advertised to investors as low-risk yield generating vehicles) flooded the market with short volatility options sales. On paper,
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Here’s the difference between business owners with controlling voting rights Vs money managers. 1. Profitable business owners are creating value in the market place and have free cash flows that
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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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I want to thank everyone for their patience and support. While today’s developments are not new, they are never easy. Our customers and our mission to increase access to investing
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A thread on market volatility... two main points:A) a lot of the volatility existed before you just couldn't see it andB) it will calm down a bit over time On
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Lots and lots of talk about volatility lately.I thought I might offer some assistance on the subject so that the very, very, dumbest amoeboids of us all might understand.A thread.
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If much or most of the external debt of developing countries could be converted into instruments whose payments were linked to GDP, local currency, local stock markets, the prices of
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Some of you may wonder why I follow the standard deviation levels. After years of trading and looking at and paying for many different services, I have found the most
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1. @HegicOptions's token has been on a tear for the past month! Given its recent attention I thought it'd be useful to analyze how the options are priced w.r.t centralized
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One of the biggest flaws in financial time-series analysis is looking at the data as a function of time. Obviously it's the easiest way to analyze data, as we can
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How S&P inclusion bursts the Tesla bubble:Ever since June (at $200/share), Tesla stock has been driven by a perpetual motion machine of hype and call option flows -- nothing more.
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How are systematic strategies affecting equities today?As far as I can tell, many are dead pressure at the moment.e.g. Here’s a dashboard I whipped up of S&P 500 allocation sensitivity
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