Yet another commodity guy

13.5K posts

Yet another commodity guy

Yet another commodity guy

@tleilax___

Commodity Portfolio Manager - Systematic mid-frequency futures & options - Switzerland - Options - Quantitative trading - Data driven

Genève Katılım Şubat 2012
2.8K Takip Edilen48K Takipçiler
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Yet another commodity guy
Yet another commodity guy@tleilax___·
Commodity "Widow-Maker" Trades - A comprehensive field guide A "widow-maker" is a trade that looks attractive on paper (mean-reverting, carry-positive, statistically cheap, or seasonally obvious) but has a long, nasty left tail driven by structural asymmetries: storage/delivery mechanics, weather, political risk, illiquidity, or short-gamma dynamics. The common thread is bounded upside, unbounded downside, and a payoff profile dominated by rare but catastrophic events. Starting a little thread.
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Yet another commodity guy retweetledi
Raphael Barberi📷
Raphael Barberi📷@itsrapha83·
Postcards from Bergamo🇮🇹
Raphael Barberi📷 tweet mediaRaphael Barberi📷 tweet mediaRaphael Barberi📷 tweet mediaRaphael Barberi📷 tweet media
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First Squawk
First Squawk@FirstSquawk·
Macron: We will not participate in America's new plan regarding the Strait of Hormuz
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First Squawk
First Squawk@FirstSquawk·
UKMTO: Mariners should consider Oman waters south of the traffic separation scheme for Strait of Hormuz transits.
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First Squawk
First Squawk@FirstSquawk·
URSULA VON DER LEYEN: LOOKING BACK, I BELIEVE IT WAS A STRATEGIC MISSTEP FOR GERMANY TO ABANDON NUCLEAR ENERGY — IF WE ARE SERIOUS ABOUT CLIMATE, BOTH GAS AND COAL ARE FAR MORE HARMFUL THAN NUCLEAR.
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Yet another commodity guy
Yet another commodity guy@tleilax___·
@zyntigeist @Stasmo @traderjlj This little fella communicates at 16 bits per second underwater at 1 km range. Plenty enough to trigger a minefield on/off with a predefined code. Probably enough to even configure some mine sensor parameters. Smart mines.
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Yet another commodity guy
Yet another commodity guy@tleilax___·
Fishy stuff in the water. Newly discovered specie of evenly-spaced tunas from which the speedboats are moving AWAY from.
Yet another commodity guy tweet mediaYet another commodity guy tweet media
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Yet another commodity guy
Yet another commodity guy@tleilax___·
@VivekVRao1 It is rather easy to have a polynomial approximation of the gaussian CDF that is insanely fast. Lookup tables + bilinear interpolation would be faster too. I end up at twice the throughput with the same RMS error.
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Vivek V Rao
Vivek V Rao@VivekVRao1·
github.com/vivek-v-rao/im… I used Claude and Codex to write C++ code for the Schadner method and did not find it to be faster than Jaeckel's rational method, but maybe I am doing something wrong.
Yet another commodity guy@tleilax___

Wolfgang Schadner, a Swiss quant, found the closed formula for the direct inversion of Black & Scholes option implied volatility ! Everyone has been using root search for ~50 years and his formula is fast. More elegant result, as no boundaries or starting value are required. You still need somewhat of a root search in the inverse Gaussian quantile, or use a smart approximation ;) Then it is down to single digit microseconds. w-schadner.com

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Rusty Shackleford
Rusty Shackleford@a_mccauley·
@tleilax___ BUT BESSENT SAID THEIR RESERVOIRS WOULD BLOW UP YESTERDAY AND NEVER PRODUCE AGAIN!!! Are you saying we’re governed by pathological liars or incompetent ass-hats?
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Yet another commodity guy
Yet another commodity guy@tleilax___·
Kharg keeps building inventory slowly. 3 to 4 weeks before forced shutdowns.
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cryptoneer
cryptoneer@traderjlj·
@tleilax___ Of all the places to mine, why the hell would they mine the exact area for entering their toll booth? Why not the other side where the cruise ship’s transited. Makes no sense.
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Naked Orbit
Naked Orbit@OrbitNaked·
@tleilax___ 120 kg is 350 lbs. which cannot be laid with a “small boat”. You’re going to need something at least 200’ bow to stern with specialized storage and equipment to deploy explosives.
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Keşfet

@FirstSquawk @zyntigeist @Stasmo @traderjlj @VivekVRao1 @a_mccauley @elonmusk @BarackObama