after a big drops (-4%) option markets can often misprice risk and also liqudity dries up.. traders margin call to buy calls to hedge short positions and etc...
they spend a fortune on all this, with loads of whiz kids involved, and meanwhile in India someone who doesn't even know the quadratic formula is whining because they lost 100 rupees //it's kinda funny//
after a big drops (-4%) option markets can often misprice risk and also liqudity dries up.. traders margin call to buy calls to hedge short positions and etc...
they spend a fortune on all this, with loads of whiz kids involved, and meanwhile in India someone who doesn't even know the quadratic formula is whining because they lost 100 rupees //it's kinda funny//
Fascinating. Looking forward to your session tomorrow.
thanks David. i’m gonna try and see what Mat Cashman thinks but i’m guessing “no comment”
If skew is mispriced and Jane Street is simply taking the other side, how is that not simply a stat arb play? I’m
struggling to see the market manipulation angle here unless the
claim is that Jane Street was somehow manufacturing the mispriced skew before arbing it…
The accusation is clear. THEY caused the mispricing.
exactly. and the millennium lawsuit makes this debate more interesting…
It’s still unclear how they caused a mispricing of option skew via the futures market, or maybe I misread
It was standard arbitrage, as discussed here
https://t.co/Rhp6ffJGkj
yeah well the tough part is one man’s arb is another’s manipulation. it seems like they were warned though and carried on anyway…