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Implied 45-day default probabilities for major US airlines, calculated from option volatility (with probable pricing errors from IB, don't @ me about this):
American - 33%
Delta - 18%
United - 16%
Southwest - 11%
Methodology:

Remember, these are not 1-year prices that I have annualized to. These are six week prices.
Better pricing on United options gives 22%, not 16%. That makes more sense, now it matches the IV ordering of the four (AAL 210%, UAL 170%, DAL 130%, LUV 110%).
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Quantian
@quantian1
For the last few weeks I have been saying that this is going to be a crisis worse than 2008 unless incredibly bold action is taken in an extremely short time frame. We are looking a shock to the system comparable to the Great Depression (-25% to real GDP). People are in denial.
I don't think this is being uneccesarily alarmist, I'm not trying to drive clicks to my fucking blog, anything. This is a serious assessment. We are only a few weeks of bad decisions away from a million people dead and double-digit unemployment.
By the way- I'm seeing lots of commentary to the effect of "close the markets!!" That would be a disaster. Just like in 2008, markets are the feedback loop that punishes GOP policymakers- they need to see it limit down for days to force them to act- that's why TARP was passed.
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Quantian
@quantian1
VIX closed on Friday at 58. Adding back the futures move as a crude proxy, it should open somewhere around 68.

If you just look at the average absolute daily move over the past week, it should be at around 140. Variance sellers must be getting steamrolled now.
That's a fucking YIKES from me, fam, -55% MTD
"Our losses were so steep the software we use to display charts for client consumption couldn't draw the line properly"
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Quantian
@quantian1
I'm staying short into the weekend. I don't use the term lightly, but "hero" is appropriate as a descriptor, IMO.
I’m now 100% convinced that the Friday move was dealers hedging gamma because they didn’t want to be caught by event risk into the weekend, not fundamental information. We are going to hit the 7% down circuit breaker on Monday, and maybe the 13% if the bill fails.
S&P futures limit down in first 15 minutes of trading.
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Tanmay Kurtkoti Quants Capital
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Their prices don’t just go up and down.

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🗣️📢STOP THIS!
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Option Greeks : Myths and Realities

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The next time you 'leak' classified information, don't have your phone (or allow phones of the 'unknown' go-between 'students') present.
FISA works both ways.- WOW! This is a specific charge that makes it CRYSTAL CLEAR to [AS] that WE KNOW-Target
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@GodlessNZ
#American friends, if I lived in your great country, near an outstanding public official like @SecretaryCarson, I'd respond to this #LeftistHarassment by standing silently outside with 🇺🇸 & a #MAGA sign.

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Exhibits A, B, C, and D.

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