Benn "DJ D-Vol" Dogeifert
bennpeifert
answer:this is actually a very important concept, but its represented backwards here IMO. the floating strike volatility surface is the primitive, the stationary variable over time.https://twitter.com/bennpeifert/status/1383986749689372674
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There are many cycles in markets. One that will always be with us is the dealer cowbell cycle. Most business verticals within the world of global megabanks have a couple
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Saturday night mid level derivatives trader interview question.Let's compare two trades:1) Vega-neutral equity index dispersion trade (long component names on their index weights; short index; same vega) in volatility swap
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Thought I'd clarify a few different mechanisms that are getting confused somewhat:1) retail speculation and short term call buying ("Robinhood")2) institutional call spread trades in tech (SoftBank etc) First, retail
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“Relative value” fund blowup product of the day: Capped vs Uncapped Variance.https://twitter.com/bennpeifert/status/1246595988199837696 Standard index variance is uncapped (unlimited potential payoff). Capped variance has a maximum payoff based on 2.
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“Relative value” fund blowup product of the day: Skew Lock.Fund sells down-variance: a varswap where daily returns only count in the payoff if spot on that day < X% of
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