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macrocephalopod's profile
macrocephalopod
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. modest proposal‏ @modestproposal1 22 Mar 2021

      Kind of funny that if the VIX remained elevated because of YOLO buying, then a slowing of the YOLO trade will cause the VIX to fall, and vol sensitive systematic strategies will ramp up exposures in reaction.

      7 replies 2 retweets 85 likes
      Show this thread
    2. macrocephalopod‏ @macrocephalopod 22 Mar 2021
      Replying to @modestproposal1

      Are you saying that systematic strategies size their positions based on VIX, rather than an estimate of recent realised vol?

      2 replies 0 retweets 4 likes
    3. modest proposal‏ @modestproposal1 22 Mar 2021
      Replying to @macrocephalopod

      I’m saying the DB positioning piece posits elevated volatility has kept systematic exposures very low and it was a simple joke to connect recently elevated vol despite ATHs to YOLO call buying

      1 reply 0 retweets 6 likes
    4. macrocephalopod‏ @macrocephalopod 22 Mar 2021
      Replying to @modestproposal1

      🙃

      1 reply 0 retweets 0 likes
      macrocephalopod‏ @macrocephalopod 22 Mar 2021
      Replying to @macrocephalopod @modestproposal1

      This will teach me to catch up on DB research before posting.

      2:12 PM - 22 Mar 2021
      • 1 Like
      • Like I’m On Fire [a-zA-Z]
      1 reply 0 retweets 1 like
        1. modest proposal‏ @modestproposal1 22 Mar 2021
          Replying to @macrocephalopod

          modest proposal Retweeted modest proposal

          https://twitter.com/modestproposal1/status/1374097300675567620 …

          modest proposal added,

          modest proposal @modestproposal1
          "most of the increase in positioning this year driven by discretionary investors (98th percentile) even as systematic strategy exposure has remained relatively low (38th percentile) with vol staying elevated. Discretionary positioning now near all-time highs seen in early 2018" pic.twitter.com/kNCXC2vg1q
          0 replies 0 retweets 2 likes
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