DrizzleSizzle

Speculatooor

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[DrizzleSizzle @0xDrizzleSizzle]

@krszzs That's a bonus, but tbh the stories, battle scars, and factory arc are interesting as fk :)

[DrizzleSizzle @0xDrizzleSizzle]

@karastrades @alexeinander Can confirm sarcasm adjusted sharpe benefited from post-trauma cockroach mode 🫡

[DrizzleSizzle @0xDrizzleSizzle]

@karastrades Interactive Brokers HK, publicly listed, hassle free, etc.

[DrizzleSizzle @0xDrizzleSizzle]

@0x94305 Great thread! Another issue with simming a one touch aside from daily prices is that flat vol becomes a bad assumption due to path dependency. Assuming downward sloping skew, paths which trend down have an increased probability to touch.

[DrizzleSizzle @0xDrizzleSizzle]

@thiccythot_ @weaponizedFOMO In other words, P(ITM) is indeed N(-d2), but to translate this to a trade with your favorite OTC desk, a fair mid price would have to be discounted to price at t=0, hence the discounting.

[DrizzleSizzle @0xDrizzleSizzle]

@thiccythot_ @weaponizedFOMO @weaponizedFOMO is correct in that straight probability under B-S assumptions doesn't need to be discounted. The discounting is to translate said probability into the fair price in % of a european binary.

[DrizzleSizzle @0xDrizzleSizzle]

@crypto_musician My account’s too small to have/need an alt. That’s a dedicated account for a group which mandates locked accounts — i just removed it from my bio.

[DrizzleSizzle @0xDrizzleSizzle]

I guess there’s no better way to introduce myself to CT as a humble vol tradooor than the s/o on this great thread! 🥂

[DrizzleSizzle @0xDrizzleSizzle]

@thiccythot_ @0xkapital_k @GCRClassic ~30% is correct, but 2x the delta is not true generally speaking.
Put Delta = N(-d1)
Prob ITM = Put Digital = N(-d2) --> Binary of below 15k.
d1 = d2 + sigma*sqrt(T). For small sigma*sqrt(T), Delta as an estimate for Prob ITM is not that bad. For high vol / longer exp, bad.

[DrizzleSizzle @0xDrizzleSizzle]

@thiccythot_ @GCRClassic Yeah, but realistically if you put this trade on, even if it's a European-style Option, if we touch or go below 15k before the dec23 exp, you just sell it back on the open mkt or with the OTC desk who will charge a few pts in vol to lock profits. No need to wait for settlement.

[DrizzleSizzle @0xDrizzleSizzle]

@LarsTornblad @kittysquiddy Believe there was a post from kitty recently where it seems that a lot of this short gamma post-expiry seems to be on the upside, which means that any catalyst for a move up will be amplified.
https://t.co/P0nOiueJvr

[DrizzleSizzle @0xDrizzleSizzle]

@LarsTornblad @kittysquiddy Not quite. The flip of long to short is in terms of mkt gamma positioning. The easiest way to understand it is large positive gamma dampens localized moves (the pin effect to 3950/4000 kitty is talking about) and large negative gamma amplifies moves in the same direction.

[DrizzleSizzle @0xDrizzleSizzle]

@kittysquiddy I guess this falls under risk management, but one under-appreciated thing is position sizing. Even throwing Kelly-sized bets has been shown by Taleb to be suboptimal, both because of survivability (blowup risk) and because ex-ante probabilities are unlikely to be 100% accurate.

[DrizzleSizzle @0xDrizzleSizzle]

@CryptoCred @INArteCarloDoss Respectfully disagree. Any MM whether making markets listed or OTC will look to hedge exposures. GCR himself said he was surprised that they didn't hedge this exp on Betfair.

https://t.co/K0kvjVQ4rj

[DrizzleSizzle @0xDrizzleSizzle]

@EricKapitanski @kittysquiddy Sent!

[DrizzleSizzle @0xDrizzleSizzle]

@EricKapitanski @kittysquiddy Hey, happy to be a mentor in either options or crypto trading! Great initiative btw, thanks!

[DrizzleSizzle @0xDrizzleSizzle]

@kittysquiddy Paper for reference: https://t.co/IQpkPIaA37

[DrizzleSizzle @0xDrizzleSizzle]

@kittysquiddy Worth mentioning that the implied spot/vol cov that one usually looks at when looking at vanna/skew is slightly different in Deribit options. These are cash denominated and margined/settled in crypto, so they actually are Inverse Options. Calls can only -> 1, Puts can -> inf.

[DrizzleSizzle @0xDrizzleSizzle]

@kittysquiddy Big if true. Everyone's radar is on Crypto .com/Huobi/Kucoin/Gate, but if Jump Crypto goes (after Alameda), liquidity for mid-cap coins that were reliant on MM contracts go out the window as well. Exacerbates a deleveraging / forced selling scenario from the others massively.