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 …
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the thing that is most like this is probably the squeeth crab vault, which shorts a power perpetual (payoff price^2) vs a linear hedge — probably a good deal rn as implieds are high but will be compressed within 1-2 months and the smart trade will be to buy vol
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these things have such great names. thats a
@_Dave__White_ one right? - Show replies
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lol there are some crazy things out there
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