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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. Kris‏ @KrisAbdelmessih 17 Nov 2021

      Kris Retweeted Robot James  🤖 🏖

      Good thread Robot describes a butterfly trade to bet on curvature He could have also chosen a beta weighted spread trade to bet on slope. When one leg sticks out it's usually because your data is not smoothed for something the market knows (ie earnings/OPEC on a vol surface)https://twitter.com/therobotjames/status/1460724469933035520 …

      Kris added,

      Robot James  🤖 🏖 @therobotjames
      "Ask questions now? Or ask questions later?" Imagine you are trading a futures product. The prices of the futures as a function of their time to expiry looks like below. You step away from the desk to make some tea. And, upon your return, you see a different picture... 1/n pic.twitter.com/cgMpMGhVfS
      Show this thread
      1 reply 1 retweet 24 likes
      Show this thread
    2. Kris‏ @KrisAbdelmessih 17 Nov 2021

      To invert the problem, you run a smooth curve, extract the market-implied event and if your job is to have an opinion on that then the hard work starts. Good example of how measuring is much of the job. See the present clearly.

      1 reply 0 retweets 5 likes
      Show this thread
    3. Robert Martin‏ @robertmartin88 18 Nov 2021
      Replying to @KrisAbdelmessih

      I’m deeply interested in this idea of extracting market implied views.. whether in options (risk neutral pdfs), equities (reverse DCFs), futures (implied storage), fed funds futures. Just realised that this is the common thread in a lot of my blogging..

      2 replies 0 retweets 8 likes
    4. macrocephalopod‏ @macrocephalopod 18 Nov 2021
      Replying to @robertmartin88 @KrisAbdelmessih

      Don’t go down the fed funds futures rabbit hole. I’ve been there, it’s a dark place and there are no rewards to be had.

      1 reply 0 retweets 6 likes
    5. Robert Martin‏ @robertmartin88 18 Nov 2021
      Replying to @macrocephalopod @KrisAbdelmessih

      Appreciate the heads up! But it’s soo tempting to try and compare the implied prob distribution with ex-post FOMC decisions. Only reason I didn’t do it was because I couldn’t be bothered to get the historical data

      1 reply 0 retweets 2 likes
      macrocephalopod‏ @macrocephalopod 18 Nov 2021
      Replying to @robertmartin88 @KrisAbdelmessih

      The way that I’ve seen short end traders do this is to calibrate using overnight index swaps which start/end on central bank meeting dates. It’s very clean compared to FF futures where the period between expiries can include more than one rate regime.

      1:29 AM - 18 Nov 2021
      • 1 Retweet
      • 5 Likes
      • Robot James 🤖🏖 Thinking of something profound Robert Martin em ROOKIE
      0 replies 1 retweet 5 likes

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