Recent content by Johnny B. Goode

I'm a balance sheet trader at a major bank and I didn't get into this industry until I was 34. It's not easy to enter the industry at any age and when you aren't a graduate, you usually can't go through the front door. Meet people in the industry, do your study, ask questions, build...

Shouldn't this be in the Options forum? Thanks again. I think I understand what you are doing. A few more questions, if you will allow me. 1. How big of a sample of data do you use in making your historical surface projection? 2. Are you only looking for spreads in vol of 2 or more...

Thanks for the reply. I appreciate your willingness to share your ideas and help. Two things: 1. When you call it an "arb", is it really an arbitrage strategy? Are you buying something in one market and selling its equivalent in another market (Or vice versa)? Is it risk-less with perfect...

Forgive me if I don't completely understand you strategy but doesn't it rely on the underlying principle that historical vol is a better predictor of future vol than implied vol? Also, how do you dynamically vega hedge? When do you decide to rebalance?