DrizzleSizzle

19 posts

DrizzleSizzle

DrizzleSizzle

@0xDrizzleSizzle

Bybit Leaderboards ‘24. Prev: Head of Derivatives Trading / Crypto Quant Trading (HFT+MM) / AI Overfitter / Tradfi Exo Vol Trader / Columbia

Katılım Aralık 2020
1.5K Takip Edilen1K Takipçiler
DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
@krszzs That's a bonus, but tbh the stories, battle scars, and factory arc are interesting as fk :)
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DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
@0x94305 Great thread! Another issue with simming a one touch aside from daily prices is that flat vol becomes a bad assumption due to path dependency. Assuming downward sloping skew, paths which trend down have an increased probability to touch.
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Alex Nezlobin
Alex Nezlobin@0x94305·
6/ except you need to subtract p/strike because volatility drag. Will give this problem to my students next week unless this thread goes wildly viral!
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Alex Nezlobin
Alex Nezlobin@0x94305·
1/ For true option lovers, there is a nice problem in @thiccythot_ 's thread: Can you convert IV and other parameters to the implied probability of retesting the strike price without simulations? That is, can you calculate it directly? twitter.com/thiccythot_/st…
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DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
@thiccythot_ @weaponizedFOMO In other words, P(ITM) is indeed N(-d2), but to translate this to a trade with your favorite OTC desk, a fair mid price would have to be discounted to price at t=0, hence the discounting.
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DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
@thiccythot_ @weaponizedFOMO @weaponizedFOMO is correct in that straight probability under B-S assumptions doesn't need to be discounted. The discounting is to translate said probability into the fair price in % of a european binary.
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DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
@crypto_musician My account’s too small to have/need an alt. That’s a dedicated account for a group which mandates locked accounts — i just removed it from my bio.
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DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
I guess there’s no better way to introduce myself to CT as a humble vol tradooor than the s/o on this great thread! 🥂
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DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
@thiccythot_ @0xkapital_k @GCRClassic ~30% is correct, but 2x the delta is not true generally speaking. Put Delta = N(-d1) Prob ITM = Put Digital = N(-d2) --> Binary of below 15k. d1 = d2 + sigma*sqrt(T). For small sigma*sqrt(T), Delta as an estimate for Prob ITM is not that bad. For high vol / longer exp, bad.
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DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
@thiccythot_ @GCRClassic Yeah, but realistically if you put this trade on, even if it's a European-style Option, if we touch or go below 15k before the dec23 exp, you just sell it back on the open mkt or with the OTC desk who will charge a few pts in vol to lock profits. No need to wait for settlement.
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DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
@LarsTornblad @kittysquiddy Not quite. The flip of long to short is in terms of mkt gamma positioning. The easiest way to understand it is large positive gamma dampens localized moves (the pin effect to 3950/4000 kitty is talking about) and large negative gamma amplifies moves in the same direction.
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DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
@kittysquiddy I guess this falls under risk management, but one under-appreciated thing is position sizing. Even throwing Kelly-sized bets has been shown by Taleb to be suboptimal, both because of survivability (blowup risk) and because ex-ante probabilities are unlikely to be 100% accurate.
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Cred
Cred@CryptoCred·
@INArteCarloDoss Not as nefarious as it sounds FTX had presidential election prediction markets titled CANDIDATE-WIN/LOSE One of our brightest blokes, GCR, was tweeting at the time about picking up some exposure on those contracts OTC
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KKGB
KKGB@INArteCarloDoss·
So biggest crypto fraudsters of all times had a line in his B/S labelled « Trumplose » and he is the scion of a family of rich Democrats overlords as well as the largest donor to the Democratic party. Yet no federal agency have made any move on him or his firm?
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DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
@kittysquiddy Worth mentioning that the implied spot/vol cov that one usually looks at when looking at vanna/skew is slightly different in Deribit options. These are cash denominated and margined/settled in crypto, so they actually are Inverse Options. Calls can only -> 1, Puts can -> inf.
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DrizzleSizzle
DrizzleSizzle@0xDrizzleSizzle·
@kittysquiddy Big if true. Everyone's radar is on Crypto .com/Huobi/Kucoin/Gate, but if Jump Crypto goes (after Alameda), liquidity for mid-cap coins that were reliant on MM contracts go out the window as well. Exacerbates a deleveraging / forced selling scenario from the others massively.
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