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by VolMaster
June 22nd, 2020, 12:21 pm
Forum: Trading Forum
Topic: How does a trading strategy reach production?
Replies: 6
Views: 8344

Re: How does a trading strategy reach production?

Assuming you backtested the model on out-of-sample data, and accounted for bid/ask spreads and additional transaction cost, and it turned out profitable, I think opening a paper trading account is the next step to test the model in real-time. Based on my personal experience, the amount of stats and ...
by VolMaster
March 24th, 2020, 6:34 am
Forum: Trading Forum
Topic: Trading halts, circuit breaker rules in the US
Replies: 13
Views: 10687

Re: Trading halts, circuit breaker rules in the US

First, there is a huge disallocation between the Fed's target (or lending) rate at the window (where it lends to swap dealers and major banks) and the terminal rate where regional and mortgage banks lend to the comsumers. Furthermore, the swap dealers, probably due to credit risk and their need for ...
by VolMaster
March 22nd, 2020, 7:42 am
Forum: Trading Forum
Topic: Trading halts, circuit breaker rules in the US
Replies: 13
Views: 10687

Re: Trading halts, circuit breaker rules in the US

I believe that the equity slump is the tip of the iceberg when it comes to what's going on right now in financial markets. While retail investors don't see it, there is a true funding stress across the market. Investors are either liquidating or called on margins, and basically hoarding dollars. Eve...
by VolMaster
March 20th, 2020, 3:11 pm
Forum: Trading Forum
Topic: Trading halts, circuit breaker rules in the US
Replies: 13
Views: 10687

Re: Trading halts, circuit breaker rules in the US

Has anyone experienced such a violent trading like we are experiencing right now? it feels like nothing i've experienced (say 2008/2011), and it just feels like the market is seriously broken. Liquidity has evaporated across all assets and cross-asset correlations have gone to zero in no time.
by VolMaster
April 12th, 2018, 4:39 am
Forum: Trading Forum
Topic: Volatility Swap Hedging
Replies: 18
Views: 9392

Re: Volatility Swap Hedging

Let's start by acknowledging the fact that there is a great difference between the academic/theoretical world of quant finance and the day-to-day practice. As someone who has been trading FX volatility and volatility products for nearly a decade I rarely saw vol/var options traded (neither vol knock...
by VolMaster
April 8th, 2018, 11:32 am
Forum: Trading Forum
Topic: Volatility Swap Hedging
Replies: 18
Views: 9392

Re: Volatility Swap Hedging

Peter Carr (alongside Bruno Dupire) is the godfather of Volatility Derivatives, and as I know him and his work, he offers a practical hedging approach, yet it assumes no transaction cost for the hedging, which is far from being practical in some assets
by VolMaster
April 8th, 2018, 4:29 am
Forum: Trading Forum
Topic: Volatility Swap Hedging
Replies: 18
Views: 9392

Re: Volatility Swap Hedging

@lovenatalya Re your questions: 1. By surface I mean the volatility surface. The replication of a Var Swap, which provides a flat exposure to the implied volatility is done by trading the different strikes weighted to their vega, meaning that if you want to get flat vega exposure you need to trade ...
by VolMaster
April 7th, 2018, 7:40 am
Forum: Trading Forum
Topic: Volatility Swap Hedging
Replies: 18
Views: 9392

Re: Volatility Swap Hedging

Vol Swap is more complicated to replicate and hedge due to the convexity adjustment which is required compared to variance swap. Ideally you need to buy/sell the entire surface (hence, trading the different delta with inverse weights to their moneyness), but that would expose you to convexity, which...
by VolMaster
January 27th, 2018, 5:34 am
Forum: Trading Forum
Topic: What is Gamma scalping, really?
Replies: 21
Views: 10220

Re: What is Gamma scalping, really?

The one question which, for me, seems like the holy grail of gamma hedging is how to optimize the hedging frequency. As our terminal P&L is depended on the path of the underlying spot and the re-balancing of the delta, different frequencies would yield different terminal P&L. Essentially we ...
by VolMaster
December 19th, 2017, 2:33 pm
Forum: Trading Forum
Topic: What is Gamma scalping, really?
Replies: 21
Views: 10220

Re: What is Gamma scalping, really?

I've been running prop FX volatility for about 7-years and I can give you a handful of days where i hit the jackpot or lost a small fortune... 
by VolMaster
December 19th, 2017, 12:25 pm
Forum: Trading Forum
Topic: What is Gamma scalping, really?
Replies: 21
Views: 10220

Re: What is Gamma scalping, really?

@outrun : If only we could accurately predict trending markets (or mean-reverting)....
by VolMaster
December 19th, 2017, 4:29 am
Forum: Trading Forum
Topic: What is Gamma scalping, really?
Replies: 21
Views: 10220

Re: What is Gamma scalping, really?

Call it whatever you like, but the fact is that trading the volatility basically trading the underlying price action volatility (or delta). Obviously delta is a directional trade, whilst gamma is a non-directional exposure (i.e., represents the variance better).

Just my 2c
by VolMaster
December 18th, 2017, 7:57 pm
Forum: Trading Forum
Topic: Is Bitcoin volatility a "BUY" or "SELL"?
Replies: 14
Views: 10373

Re: Is Bitcoin volatility a "BUY" or "SELL"?

you can trade it on deribit.com
by VolMaster
December 18th, 2017, 7:56 pm
Forum: Trading Forum
Topic: What is Gamma scalping, really?
Replies: 21
Views: 10220

Re: What is Gamma scalping, really?

yes
by VolMaster
December 18th, 2017, 7:43 pm
Forum: Trading Forum
Topic: What is Gamma scalping, really?
Replies: 21
Views: 10220

Re: What is Gamma scalping, really?

Gamma Scalping in practice is monetizing the volatility (i.e., turning the implied volatility into realized volatility) using the underlying asset's price action. For example, say you believe that the market is under pricing the true future volatility, and you buy the volatility (in theory you would...
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