BFI August [censored] Thread

[CrushinFelt]

Someone mentioned having a low-content thread (that's not to say that there isn't a lot of low content around already). If you have off-hand positions you just took on, or a random question that doesn't deserve its own thread, post it here.

I'll start things off by saying weeeeeeeeeeeeeeeeeeeeee.... I love volatility, makes my job fun.

[DcifrThs]

[x] prospecitve yield curve positions bitting you in the ass!!

[x] prospective credit spread widening bets paying hansomely

[x] gold bet going complete opposite direction than planned...end up paying Mr. Now $ in december.

[x] long vol UP UP UP [img]/images/graemlins/smile.gif[/img]

[x] GS CDS bet (equivalent to long spread...i.e bet cost of insurance would come down from rediculous high reached last week) very correct

[ ] made a ton of real money on my thoughts and bets

[x] learned more about what exactly i should be looking for during job search

[x] get WAY too many annoying recruiter calls for jobs i would [censored] all over and pay not to do

[x] girlfriend came BACK from europe (thought she'd love it so much and want to stay [img]/images/graemlins/wink.gif[/img])

[ ] thread delivers (so far)

Barron

[mrbaseball]

[ QUOTE ]
I love volatility, makes my job fun.


[/ QUOTE ]

I hear that! Right now the minis are down about 30 handles with over 400K volume and the opening bell hasn't even rung yet. Gonna be a wild one today!

[CrushinFelt]

[ QUOTE ]
[ QUOTE ]
I love volatility, makes my job fun.


[/ QUOTE ]

I hear that! Right now the minis are down about 30 handles with over 400K volume and the opening bell hasn't even rung yet. Gonna be a wild one today!

[/ QUOTE ]

Already put out a report on who has the biggest exposures today. Eurodollar and Fed Funds are almost a bigger story than even the equities. Volume is going to be real sick today. It's one thing when cnocern is centered around hedge funds and the fed here in the US, but now it's centered around Europe and their central bank.

[CrushinFelt]

[ QUOTE ]
[ QUOTE ]
I love volatility, makes my job fun.


[/ QUOTE ]

I hear that! Right now the minis are down about 30 handles with over 400K volume and the opening bell hasn't even rung yet. Gonna be a wild one today!

[/ QUOTE ]

Mr. B do you trade the Vix? The Vix itself is pretty crazy. It's up something like 16% today. Do you also think there should be a VIX-like product to trade for S&P Futures (rather than doing multiple trades to get the same effect?

Anyone else feel free to answer as well, I just knew he was a trader.

[mrbaseball]

[ QUOTE ]
Mr. B do you trade the Vix? The Vix itself is pretty crazy. It's up something like 16% today. Do you also think there should be a VIX-like product to trade for S&P Futures (rather than doing multiple trades to get the same effect?


[/ QUOTE ]

Actually I do trade VIX options. The volatility of volitility is more volatile than just about anything. Huge huge huge swings from day to day and even hour to hour. I don't really think another volatility contract is neccessary for S&P futures since SPX is for all intents and purposes the same thing. VIX is thinnish trade anyway (although picking up recently). I'm not sure there are enough volatility of volatility players out there. It can be a great overall hedge for an options portfolio.

[CrushinFelt]

Date for Aug. 8th.

Volume Call Put Total
106,233 26,731 132,964
Open Interest
1,275,259 572,325 1,847,584

It's not too thin though.

Also, the volatility of the VIX is definitely awesome to trade. Is it one of your main products? Also, where do you trade from?

Sorry for asking so many questions, I'm in my first month in the risk dept. of the CME clearing house and there's sooo much stuff to learn and look at.

[DesertCat]

[ QUOTE ]

Blind to Trend,
'Quant' Funds
Pay Heavy Price
Computer Models Failed
To See Risk Increasing;
Global Alpha Off 16%
By HENNY SENDER and KATE KELLY
August 9, 2007; Page C1

Computers don't always work.

That was the lesson so far this month for many so-called quant hedge funds, whose trading is dictated by complex computer programs.

The markets' volatility of the past few weeks has taken a toll on many widely known funds for sophisticated investors, notably a once-highflying hedge fund at Wall Street's Goldman Sachs Group Inc.

....

Quant funds -- "quant" stands for quantitative -- generally operate by building computer models of market behavior and then allowing the computer programs to dictate trading. A recurring characteristic of the recent trouble in financial markets is that many lenders, funds and brokerages were following statistical models that grossly underestimated how risky the market environment had become.

...

Renaissance Technologies Corp., the most successful quantitative-hedge-fund manager, is holding up despite the market's downturn. Renaissance's flagship Medallion hedge fund is up about 25% so far this year

[/ QUOTE ]

Clearly Jim Simons has a signed pact with the devil. I expect proof of this any time now.

[CrushinFelt]

Yeah, that's pretty insane actually. I have no idea of what/where his positions have been (whether they're spread out at all or whether he focuses on one sector). EIther way that's pretty danm insane.

[ahnuld]

Jesus christ I cant decide wherther to put more money into financials and construction companies or less. Pretty seriously thinking of going on margin and just putting it all on black (that this is the bottom and things are oversold.)