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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. macrocephalopod‏ @macrocephalopod Jan 16

      macrocephalopod Retweeted Benn "DJ D-Vol" Eifert

      I’m as far from “experienced derivs trader” as you could be but this sounds like selling uncapped vs capped variance ie you are short tails in return for carry.https://twitter.com/bennpeifert/status/1482727232317493253 …

      macrocephalopod added,

      Benn "DJ D-Vol" Eifert @bennpeifert
      Sunday morning experienced derivatives trader interview question. (Read the footnotes.) The PM is on vacation and you're watching the book. You notice an odd line item in the booking system that looks like it is just two 1-month S&P variance swaps. https://twitter.com/bennpeifert/status/1264542177574584320?s=20 …
      Show this thread
      4 replies 0 retweets 33 likes
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    2. macrocephalopod‏ @macrocephalopod Jan 16

      Vega notional is $1m so variance notional is $1m/(2 x strike) and the PM was trying to make variance notional x (short strike^2 - long strike^2) which is around $1m on the trade (easier way to get there is 2 x vega notional x difference in strikes I think).

      1 reply 0 retweets 5 likes
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    3. macrocephalopod‏ @macrocephalopod Jan 16

      The realized vol after two 15% days is more or less 100% so the loss on the uncapped is about $333m (33,000 x 100^2 and the gain on the capped is about $50m (33,000 x 36.5^2 because the cap is 2.5 x 14.5) for an overall loss of $283m, that sounds insanely high so it’s possible

      1 reply 0 retweets 5 likes
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    4. macrocephalopod‏ @macrocephalopod Jan 16

      that I’m off by a factor of 12 (because it’s monthly not annual) or maybe I forgot to properly account for the remaining life of the swap or something, like I said not actually a derivs trader let alone an experienced one.

      1 reply 0 retweets 6 likes
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      macrocephalopod‏ @macrocephalopod Jan 16

      Obvious follow up question is who is going to create the on-chain version of this to bring uncapped variance swap selling in crypto to retail? APYs would be insane.

      8:41 AM - 16 Jan 2022
      • 19 Likes
      • Jabeel Robert Martin αmir liquidity providoooor ChilyVily the fucking gas volumes Chenny Just "The Rhino" Dan G.
      4 replies 0 retweets 19 likes
        1. Josh Giersch  🏳️‍🌈‏ @joshgiersch Jan 16
          Replying to @macrocephalopod

          I’ve got AIMCO on line one

          0 replies 0 retweets 1 like
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        1. brrrzooka‏ @brrrzooka Jan 16
          Replying to @macrocephalopod

          APY: 42069% almost risk free* *risks: unlimited loss

          0 replies 0 retweets 3 likes
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        1. Salvatore Rubino‏ @salr_nyc Jan 16
          Replying to @macrocephalopod

          pic.twitter.com/oH9t1tBqjq

          0 replies 0 retweets 3 likes
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        1. pizza‏ @Pizza297 Jan 16
          Replying to @macrocephalopod

          @opyn_

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