Share this page!

ExoticQuant Profile picture
Twitter logo
27 Dec, 4 tweets, 2 min read
I usually don't do the "role model" thingy but if there's anyone I look up to and want to be like (in a couple of years time!) that's Benn Eifert @bennpeifert

@mnopro pointed me to his handle a couple of months ago and I recently watched his mixing with models YT video & gone
+
through some of his posts and given my experience interacting with HF friends or interviewing with HFs during my 10years working in London I can honestly say he's right up there with the best. Don't get me wrong there's absolute garbage as well on the HF side (and I'll share
+
my thoughts on that some other time), but the CIO folks are altogether different class and Benn seems no different. The clarity with which he speaks about anything Vol related is mind-boggling(!) & something I'd like to aspire to.

(Hello Benn - this is not fake praise
+
& no I don't intend to send you my CV! 😀but would surely like to learn a hell of a lot more from you so my "rates quant --> equity vol trader" transition gets smoother)

• • •

Missing some Tweet in this thread? You can try to force a refresh
　

Keep Current with ExoticQuant

ExoticQuant Profile picture

Stay in touch and get notified when new unrolls are available from this author!

Read all threads

This Thread may be Removed Anytime!

PDF

Twitter may remove this content at anytime! Save it as PDF for later use!

Try unrolling a thread yourself!

how to unroll video
  1. Follow @ThreadReaderApp to mention us!

  2. From a Twitter thread mention us with a keyword "unroll"
@threadreaderapp unroll

Practice here first or read more on our help page!

More from @muskk

ExoticQuant Profile picture
20 Dec
(Thread) One of my more important posts from a trading point of view (hardly any quanty stuff in this one). Might be relevant now hence posting.

Just so it's clear for anyone wanting to trade call ratio spreads in the future in a bear market:

(this is my approach anyway..)

Best time to enter zero-cost call ratios or a ladder (shorts at multiple strikes) is when IVs are shooting up combined with mkt going down. Today was a classic example.

If we see the kind of fall we saw today in Nifty keep long leg 100pt OTM and
+
short leg atleast 300pts further away and you can increase the ratio higher than 1:3 (you'll have to, to keep it zero-cost). You can make it credit depending on your risk-appetitie and your skill in adjusting these.

So when you enter this you will be net short vega.
+
Read 10 tweets
ExoticQuant Profile picture
14 Dec
#Strangles A little note on getting into strangles in a bear market scenario

If you're an intra-day trader selling delta-neutral strangles on non-expiry days in the morning and holding them till day end then be careful of the following when market is expected to be bearish.
+
Given short strangles are short vol trades (-ve vega) the view is not just on benefitting from theta but more importantly on vols going down during the day. So in a bearish scenario when vols are expected to go up with market going down your strangle position
+
will get affected in the following way:

- Loss due to vols going up with this being a -ve vega position. There are other vol factors that you'll be short on such as skew (below), convexity of the vol surface and these increase as well affecting the position negatively.

+
Read 7 tweets
ExoticQuant Profile picture
10 Dec
(A little thread)
#PnlExplain
Whatever options position one enters it's important to know the risks one is taking and hence where the PnL is coming from. As an example if one is taking delta-neutral strangles (say 2% away OTMs on Nifty weeklies) at market open on a Friday and
+
within a couple of hours sees a 5pt reduction in the price of the strangle (with delta still neutral) then the PnL is coming from the following:
Vega - given this is a -ve vega/short vol position a decrease in implied vols of both the OTM options in those couple of hours
+
results in a positive Pnl

Theta decay - this is technically the decrease in an option price in a given period of time "keeping all other factors constant".

In all likelihood given the current vol levels, Vega would've driven the 5pt Pnl profit more than theta given +
Read 6 tweets
ExoticQuant Profile picture
8 Dec
(Thread) A quick note on strangles

If you are selling strangles in a bullish, low vol environment keep the following in mind:

Assuming you entered a delta-neutral strangle on an index(Nifty/Bnf), any further upmove on the index will change delta of the strangle, i.e. making
+
it -ve, rapidly and more likely to hit SL on the call side. Given vols are already low at entry further decrease in vols contributing to call delta getting supressed is immaterial, i.e. vanna impact is low (check post below on vanna in general), and so
+

call delta will mostly only depend on index moves. In other words, your PnL doesn't have a buffer from vanna effect and is exposed solely to index moves and how good is your SL strategy. The Pnl's movement isn't smooth and adjustments become difficult.
+
Read 6 tweets
ExoticQuant Profile picture
21 Nov
(Thread) Trading Ratio Spreads (Part 2)

The main bit!

I’ll mostly focus on credit put ratio spread in this thread.

(yesterday's thread below for linking both)

First let's look at best time to enter the trade.
+

Trade entry point: Two scenarios. One safe and one aggressive. See pic below (pasting pic to reduce length of this thread).

Once we enter, how does the price of PRS behave?

Let’s focus on expiry trading as this is the easier bit compared to trading them on other days or entering positional (which I'll cover in future posts).

First let me quickly mention what I did last Thursday.
+
Read 14 tweets
ExoticQuant Profile picture
20 Nov
(Thread) Trading Ratio Spreads (Part 1)

Let’s try to understand what factors impact ratio spreads and how to trade & risk manage them.

As it’s impossible to fit everything into one thread I’m dividing this into two. I’ll cover factors that affect ratio spreads
+
in the first part and then discuss how to trade & risk manage them in the second (which I’ll post tomorrow morning). Finally, I’ll discuss the best case scenario to trade them that has a very good risk reward.

A quick (boring) intro:
Ratio spreads (RS): Short OTM/ATM options
+
and go long options that are more in the money than the options shorted. Quantity of options shorted are in multiples of quantity of options bought.

Factors that affect ratio spreads:

(super important)
Delta wrt TTE – As we near expiry, delta of OTM option goes down(see pic)
+
Read 10 tweets

Did Thread Reader help you today?

Support us! We are indie developers!

This site is made by just two indie developers on a laptop doing marketing, support and development! Read more about the story.

Become a Premium Member ($3/month or $30/year) and get exclusive features!

Become Premium

Too expensive? Make a small donation by buying us coffee ($5) or help with server cost ($10)

Donate via Paypal

Or Donate anonymously using crypto!

Ethereum

0xfe58350B80634f60Fa6Dc149a72b4DFbc17D341E copy

Bitcoin

3ATGMxNzCUFzxpMCHL5sWSt4DVtS8UqXpi copy

Thank you for your support!

Follow Us on Twitter!

Like this author's thread?

Get emails when @muskk has new unrolls!

Check out other threads from @muskk!

Read all threads by @muskk

:(