Pat Hennessy, CMT
5.3K posts
Pat Hennessy, CMT
@pat_hennessy
Senior Risk Manager @ Simplify Asset Management. Opinions are my own, definitely not investment advice.
Denver, CO Katılım Nisan 2009
806 Takip Edilen17.9K Takipçiler
For all the “option wizards” here no one has mentioned the most important options flow in years in SPX.
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@evan_semet buddy it was just a comment on how i can make a convoluted matplotlib plot without writing a single line of code.
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one of my favorite parts of AI is never having to write matplotlib again
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@sdav1986 It got really bad around the time they introduced 24/5 GTH trading on SPX. Haven’t used TWS in a minute, but it had something to do with marking the option at midnight and daily pnl is based on that mark.
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@sdav1986 Ahhh interesting. Saw 2022 performance and assumed short equity index skew 🤣
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@ONAN_OUS I've always been a VS Code boi, so it was an easy switch. But the linting issue is very annoying
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Has the paid version of Copilot in VS Code caught up with Cursor yet? I don't care for the agentic vibe coding features, just Tab and some Ctrl + K. The lack of linting options for python in Cursor is frustrating, but Tab is just soooo good
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@sdav1986 @moreproteinbars Don’t forget about the M/W weeklys with totally sane option tickers like: VBYJ25P4 110 Comdty, TYWJ25C4 115 Comdty, or my personal favorite… IWWWJ5P3 5000 Index
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10000% true. First time my non-chronically online friends have taken any interest.
Showed my wife a picture of what new cabinets would look like and she finally asks “what’s the name of that app?”
signüll@signulll
the reason the studio ghibli phenomenon in chatgpt image gen actually matters culturally is because real change never arrives dressed as disruption, it shows up first as play. ghibli style images are the toy layer society needs to metabolize a shift. they make the uncanny feel safe. they let people want the future instead of fear it.
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Mostly those 2 languages, nothing crazy, but tasks where other models just couldn’t figure it out. A few ex:
-writing a click bot to run reports in archaic bank reporting system
-pandas df.style() and other report formatting related stuff (Claude really struggled here for some reason)
-AWS devops stuff
Also deep research is really good for non academic research. stuff like making an itinerary for a trip, finding local kid friendly activities, etc.
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Gemini 2.5 Pro is sooooo ridiculously good. Already cancelled Perplexity and Claude, and wondering why I never took @GoogleAI seriously up until this point...
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@bennpeifert Hard to be that bullish when I’m still almost exclusively using sonnet 3.5 almost a year later…
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Lots of discussion about this with AI people the last few weeks. So to throw this open again: if you are super bullish on AI's reasoning ability, please grab your favorite cutting edge model and ask it to answer this, its not particularly hard. I'm rooting for you.
Benn Eifert 🥷🏴☠️@bennpeifert
Experienced derivatives trader/quant interview question: construct a portfolio of VIX options that (approximately) replicates SPX March-June forward starting variance
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@KrisAbdelmessih Dude this is an absolute banger. Bravo 👏
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Anyone have a good story with what's happened with S&P 500 financing rates over the last 3 months?
Doesn't seem to be net demand driven as far as I can tell.
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@choffstein @RyanBir42329490 Unprecedented growth/AUM in ETFs that use derivs to obtain equity exposure.
Wonder how much AUM there is across leveraged equity (index + single stock), hedged equity, defined outcome, options based, etc.? I’d guess $200-300bn.
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@RyanBir42329490 There's generally tightening at year end for this reason, but this year was pretty extreme.
I'm poking around to see if anyone has another hypothesis.
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@bennpeifert Sounds like a bad mark from the prev close. Retail brokers dgaf about “value”, just mark the ITM call with a mile wide bid/ask at the mid and show client nonsensical pnl
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someone asked me this, posting it here for the benefit of others and to get input from others.
obviously if the stock is up that should bias the higher-delta ITM calls to go up more than the OTM calls, and vice versa.
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@prpl8 @profplum99 @bennpeifert @vol_christopher i had to listen to it again last night after all the VIX % hoopla on twitter. still so good, a timeless classic
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@sdav1986 @choffstein I only recently learned that the CME has total return futures on all the equity indices.
The BTIC market for those (AXWA Index CT <GO>) is a handy way to keep an eye on funding rates.
cmegroup.com/trading/equity…
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Pat Hennessy, CMT retweetledi
The Walmart of Duration....more for less !
The new NYSE-listed "Bond Bull" has a duration of 2.5x the UST 30yr, and 6x the convexity...
...yet only a 15% dollar allocation matches the duration of the Bond Aggregate Index.
What will you do with all those conserved $$ ?
convexitymaven.com/wp-content/upl…
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