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macrocephalopod
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@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 Jan 8

      I have this older post on what convexity is and isn't. https://moontowermeta.com/where-does-convexity-come-from/ … I think of it as the size of your position changing. As the exposure changes, the slope of your p/l changes for a given move. So your p/l for a 1% move varies with exposure. ...

      7 replies 7 retweets 89 likes
      Show this thread
    2. Robert Martin‏ @robertmartin88 Jan 8
      Replying to @KrisAbdelmessih

      I think shorting stock is an interesting case where it's technically linear, but some L/S hedgies have described it to me as "feeling" like negative convexity, since the dollar position size increases as the market moves against you.

      1 reply 0 retweets 3 likes
    3. Kris‏ @KrisAbdelmessih Jan 8
      Replying to @robertmartin88

      When you are losing your position size increases as your aum falls. Double whammy, that's why.

      2 replies 0 retweets 3 likes
    4. Kris‏ @KrisAbdelmessih Jan 8
      Replying to @KrisAbdelmessih @robertmartin88

      https://moontowermeta.com/the-difficulty-with-shorting-and-inverse-positions/ …

      1 reply 0 retweets 2 likes
    5. Robert Martin‏ @robertmartin88 Jan 8
      Replying to @KrisAbdelmessih

      Right – so I guess I'm trying to reconcile the "negative gamma" with the fact that you have linear exposure.

      1 reply 0 retweets 0 likes
    6. macrocephalopod‏ @macrocephalopod Jan 9
      Replying to @robertmartin88 @KrisAbdelmessih

      You have linear price exposure (constant number of shares). But your aum falls at the same time as dollar value of your position grows, which introduces nonlinearity into your returns.

      1 reply 0 retweets 7 likes
      macrocephalopod‏ @macrocephalopod Jan 9
      Replying to @macrocephalopod @robertmartin88 @KrisAbdelmessih

      eg if you are 100% long and the stock goes up 20% then another 20%, you make 20% return on each move. If you are 100% short, you lose 20% on the first move and 30% on the second move.

      12:27 AM - 9 Jan 2022
      • 8 Likes
      • SwissQuant 🇨🇭🇪🇺 🇩🇪 🇺🇦 0xThomas Robert Martin christopher cutolo Tho Do Andy Tu Nguyen CountBaisse
      1 reply 0 retweets 8 likes
        1. macrocephalopod‏ @macrocephalopod Jan 9
          Replying to @macrocephalopod @robertmartin88 @KrisAbdelmessih

          Any position 0 < x < 1 is “positive gamma” in this sense (they become larger as a proportion of your aum when they make money) and any position x < 0 or x > 1 is “negative gamma” (become larger as a proportion of your aum when you lose money)

          0 replies 0 retweets 8 likes
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