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macrocephalopod's profile
macrocephalopod
macrocephalopod
macrocephalopod
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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. macrocephalopod‏ @macrocephalopod 21 Jan 2021

      macrocephalopod Retweeted macrocephalopod

      Why does this matter? Because in the same way that buying a (delta-hedged) straddle is a bet that realized vol will be greater than implied, the portfolio below is a way of trading realized covariance of spot, vol against implied covariance.https://twitter.com/macrocephalopod/status/1352216566268628994 …

      macrocephalopod added,

      macrocephalopod @macrocephalopod
      Nice question, here's my take (warning: not an options expert). P&L of your option can be approximated as P&L = theta * dt + 0.5 * gamma * ds^2 + vanna * ds * dv + volga * dv^2 (where s is spot, v is implied vol) https://twitter.com/bennpeifert/status/1352069470903181313 …
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    2. macrocephalopod‏ @macrocephalopod 21 Jan 2021

      Similarly the butterfly portfolio (buy 25d put and call, sell 2x ATM) is a way to trade your view of vol-of-vol against what is implied by the market. Each of these portfolios has its own “gamma” (actual gamma in case of straddle, vanna for the RR, volga for the fly) and a...

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    3. macrocephalopod‏ @macrocephalopod 21 Jan 2021

      ...”theta” which compensates for the losses/gains due to “gamma”. They are sensitive to movements in the vol surface which mark your position against the market’s current view of the future value of the “gamma”/“theta” flows.

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    4. macrocephalopod‏ @macrocephalopod 21 Jan 2021

      So the vega is the market’s way of paying you now if it agrees with you about the future realized vs implied trade-off (or punishing you when it disagrees).

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      macrocephalopod‏ @macrocephalopod 21 Jan 2021

      May have got some details wrong so wd appreciate being corrected if so! @JessicaNutt96 @QuantVol @volatilitysmile @VolQuant @bennpeifert

      4:21 AM - 21 Jan 2021
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