1) A stranger than fiction Roman ring mystery thread: this enigmatic Roman gold ring was found in a ploughed field near Silchester in 1785. The square bezel has a portrait of the pagan goddess Venus, inscribed backwards SUNEV for use as a signet ring by the owner. Curiously...
@dynamicvol @selling_theta@arikreiss And yeah, of course there are many other things going on credit markets rates leverage etc yadda yadda disclaimers apply
@dynamicvol @selling_theta@arikreiss We are cutting through the huge cluster of barriers of outstanding structured note hedges (pictures as delta at expiry, compute your own higher order greeks via mcmc as you like). These hedges expire as barriers are touched, voiding the outstanding convexity as they are knocked
Today we have crossed barriers of structured products linked to STOXX50 and single names. (~30-35% below index value for contracts sold 1-3mths ago). Stuff linked to other indices+older contracts struck at lower reference values still ahead
@jsoloff@bennpeifert@EnonymousAcc Notes age, outstanding convexity as Benn said above quite probably some continuum between zero DTE and 2-3yrs DTE; in addition one can assume some clustering of barriers, as some underlying indices were comparably flat in this period (price not TR).
@bennpeifert@jsoloff@EnonymousAcc Asked differently, isn't the impact in normal times limited because Carr-style hedges strike convexity OTM until spot goes -25..30%? Quasi-static replication merely shifts delta-hedging risk to other market participants, but won't destroy risk?