Technical Analysis is a crock. Read up on derivatives; essentials would be Natenburg, Hull, others on FX & Fixed Income...Check out Neftci's 'Financial Engineering', very good

<t>never posted but I oversaw the real answer: the VIX futures contract is BIG...a 1000 delta. So just not a lot of contracts need to be traded for MMs to get their deltas off... Interesting that the VIX futures--especially the back months--are tightening up now that Barclays put out these ETNs for ...

<t>QuoteOriginally posted by: mmonejust getting back to an earlier postNo market maker is going to look to leg into an additional 3 legs of a 4 leg spread after being hit on 1 unless there is massive edge on the leg that they are hit and can then get the other 3 legs close to sheets (which just does...

QuoteOriginally posted by: TraderJoeQuoteOriginally posted by: sepparYep, I have read this paperDid you write it? Author Artur Sepp (seppar, ar sepp). ?? Don't be so modest .hmmm think that's what we have going on here!

<r>QuoteOriginally posted by: sepparGood luck with your internship, this sound as a decent opportunity to learn real stuff.Are talking about this Risk article <URL url="http://www.risk.net/public/showPage.html?page=787130">http://www.risk.net/public/showPage.html?page=787130</URL> ?Thanks! And yeh t...

Srdjan's is great too he's actually my professor.The whole book is written in mathematica. Comes with a CD with everything.It's great I wish they did something like it w/ C++

<t>QuoteOriginally posted by: sepparHi Drsean,This makes sense to me. I used to work as an equity derivatives quant for a sell side firm and was developing a pricing model for VIX options in late 2006/yearly 2007. I was not able to track developments in this area since that time and now I am curious...

<t>QuoteOriginally posted by: sepparHi Drsean,I finally undertood what you mean. Well, I don't think that an MM gets an edge creating syntetic delta- and gamma-neutral hedges for three reasons:1) transaction cost (the MM ends up wasting his spread for taking reverse positions)2) funding costs (MM wi...

<t>QuoteOriginally posted by: seppar> Just to be clear, they are synthetic short, via options, the underlying...VIX futures. Not quite sure I understand you. The question is when an option seller delta-hedges a VIX option with a VIX futures contract what he is short of? I have said that he is short ...

<t>QuoteOriginally posted by: seppar> They are short volatility via the VIX options.So they are short the realized volatility of the VIX futures (if the delta hedge their option positions by the VIX futures with the same expiry).> the VIX is a nice instrument to hedge volatile moves. In my understan...

<t>I am still an undergrad so I can't speak as a peer. But it doesn't take another DPhil to tell that you are well qualified for this type of job. Keep you chin up, keep looking for good opportunities, keep networking, and I am confident you'll find something great. In the mean time, you could alway...

<t>QuoteOriginally posted by: sepparHi drsean,thank you for your helpful comment. I just wanted to clarify...>Anyways I think a big part of it is they probably are mostly short volatility, and might buy the futures if they need a hedge without changing their gammas, which yeh probably doesn't happen...

<t>VIX futures I'll just say though are not all that liquid. Especially when you consider that there's no VIX underlying, what are the VIX market makers hedging with? Presumably other VIX options, only increasing the liquidity there. But they cannot hedge the VIX very precisely by just using SPX or ...

<t>MEETU,how did it go? I tried to work an internship w/ them did not get an interview went with another Chicago market making firm though for the summer. Will be back in the fall applying for the full-time asst. trader.Papercut, understood on the lack of edge however these guys are pushing a lot of...