Mephisto731 Profile picture
Quant, systematic option trader, skew affiaciando, kurtosis owner, $SKEW denier, $VIX contango dancer. Frontrunning your call overwriting strategy since 2009.
24 Jun
@_sbr1 Appreciate the comment - i tinkered with writing $VIX(SPX live, SPX realized vol, SPX flow, SPX bollinger %b) to include the idea that MMs change their approach if the flow dominates the carry. I think that's close to your point.
@_sbr1 I could write a lot about ensembles of models and of parameters, but essentially I like to run one book per model. Keeps clarity. Each to his own i guess
Read 2 tweets
24 Jun
Braindumping a thread on $SPX, $VIX and vol dynamics prompted by a really nice tweet by @JimmyJude13. Robinhoodies, we're going swimming in deep water so please wear armbands and let a grown up know you're out.
Here's the chart. SPX ~3050 twice with different $VIX curves. This shows you can't write VIX=VIX(SPX). Approaching 3050 slowly from below gives a different $VIX curve to coming quickly from above.
To be specific, the $VIX curve acts like it has a memory: so we actually have VIX(SPX live, SPX history). This is a problem.
Read 18 tweets
14 May
OK so Robinhood apparently has 3M new accounts as every millenial is now WFH and looking for apps to fill their time. They are almost certainly long, and long tech names. Some will have call options because cool
Question is what does that do to market structure now they are all in?
At some point they ahve to get run over as grandpa's pension exits what they entered. But how does this play out
Read 9 tweets