Russ Soros²⅔

@theRussell2022

I trade the short-dated distribution (i.e. pegging delta buckets with short-dated flys) on the

Waianae, HI
Vrijeme pridruživanja: listopad 2009.

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  1. The NAZZDACK really just popped 70 points in 15 minutes

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  2. /MNQ 9038

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  3. “Why do [people] confuse probability and expectation, that is, probability [vs.] probability times payoff? Mainly because much... schooling comes from examples in symmetric environments... the... bell curve... is entirely symmetric.”

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  4. “The truth is, successful investing is a kind of alchemy.”

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  5. “Markets are constantly in a state of uncertainty and flux and money is made by discounting the obvious and betting on the unexpected.”

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  6. There is lots of noise in data, this is true, but there are millions of signals within the noise. And it's not a matter of "prediction" as much as it is "approximation".

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  7. Data science has made unbelievable advances. We can model traffic, weather, the human body, and the movement of terrorist cells. All data can be organized, classified, structured and interpreted.

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  8. if one is not predicting vol or price, what exactly is your position? Random? Theta is not an edge neither is blindly selling premium. When you sell options you are implicitly making both a vol and price forecast whether you want to or not

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  9. . In some cases it's a correlated product - I might be long variance on Russell and short variance on S&P500. In some cases, it's a farther removed risk factor - e.g. I could be short gap, but long vol-of-vol. And finally, in some cases, I am willing to take idiosyncratic risk

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  10. I can't get into specifics, but the whole idea is to identify rich risk premia and hedge them with cheaper risk premia. In some cases it is a different type of risk premium on the same product - e.g. I could be short gamma, but hold long-dated skew against it

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  11. There is no such thing as "the best way", if you are buying risk premium your either are going to bleed or be forced to sell some other form of risk premium against it

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  12. Variance swaps is a very liquid market, key maturities trade in size daily so you can always gauge if VIX futures are rich or cheap vs the variance swap market. In general, levels for were var swaps trade in the market are a touch above (right now about 50bps for Dec12)

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  13. So far, my experience have been that majority of people who trade VIX products have no real clue what they are talking about

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  14. (c) what is the exact definition of the vix futures and why a vix futures contract is NOT a forward variance swap

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  15. I think you need to understand (in order of importance) (a) what a variance swap is and how to replicate it (and yes, it works, the jump component on SPX is relatively small) (b) what forward variance swap is and how it can be linearly replicated via spot-starting variance swaps

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  16. proslijedio/la je Tweet
    13. sij

    Russell Wilson is an absolute magician.

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  17. proslijedio/la je Tweet
    2. velj

    FWIW- I’m goin w the Chiefs. 31-20.

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    China's grotesque (but totally unsurprising) intervention of nearly $200 billion in money to prop up equities (in a single DAY) plus banning of short-selling could, paradoxically, be the short signal of the year. Let's see how it goes.

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    2. velj

    Bonds know what they’re doing.

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  20. proslijedio/la je Tweet
    2. velj

    Look at the yields. Look all the way back to 2016.

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