macrocephalopod

Anyone know off-hand, is it rebalancing to the delta implied by the sqrt(funding rate) implied vol black scholes? Does this sort of thing have a shadow delta component too? @KrisAbdelmessih @VolQuanthttps://twitter.com/wadepros/status/1476973745789186057 …

I literally do not know what I am talking about but it’s mesmerizing and I can’t stop myself from reading this stuff

My gut instinct is that folks are marketing the writing of pretty extreme payoffs to pretty soft investors and the lack of attention to being able to get long perpetual squared exposure makes me wonder if that’s the game

How much of the marketing of stuff like this is to drum up “investors” for the unattractive sides of these structures? I haven’t been through even a single cycle of these sorts of products - do they blow up leaving the short gamma folks holding the bag or is this all new?

@0xdoug @0xLightcycle help

Not well informed on this... but selling vol to people who don't understand the return distribution has long been a thing There will be: 1. people who want the yolo exposure 2. quoters who end up short when they don't wanna be 3. informed and uninformed risk premia harvesters