Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k)) @G3ni3sWish Twitter profile | Pikagi

Pikagi

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

@G3ni3sWish

2,595

Followers

587

Following

1,679

Media

5,281

Statuses

Options | Positive Expected Value | Volatility irregularities

https://t.co/stujCAQJQJ

Joined August 2014

Don't wanna be here? Send us removal request.

Pinned Tweet

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

5 months

Market Making (MM)🧵 What is it? Investopedia says this: “To make a market means to be willing to trade a security against a counterparty by producing a firm bid to buy & offer to sell” Is MM that simple to just place a buy_low & sell_high limit order? Well yes & no

16

29

217

Last Seen Profiles

@LiminganKunta

@Antonio45058554

@stw_pdg

@Drapoelwulf

@PriscaCb15

@nurulzakiah17

@bokeplokalmalam

@Gamze1033415

@bokeplokalmalam

@stw46

@bokeplokalmalam

@erhbol

@ramatganmunicip

@Interwebbox

@stw_pdg

@Akhipotter_

@MysticSeasonFN

@Sho_lwlw

@swaroopsinh_

@stw46

@cho88board79222

@S44DULL4

@Wositozurdo5

@likelikearcade

@SmBayl

@Una1826523

@RestoredKalat

@stw46

@derosa412

@DymmSultan

@BinorRaja

@genniieeee

@BinorRaja

@DahlHedegaard

@GRESAIDZ

@alma_rame

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

6 months

@GreenTextRepost She cries and says “ *You’re ”

3

5

661

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Interpreting Option Skew:🧵 Let's first understand how volatility is measured using standard deviation (stdev).A stdev is a measure of how dispersed the data is in relation to the mean.Low stdev means data is clustered around the mean, and high stdev means data is more spread out

31

109

419

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

10 months

Forward Volatility -🧵 As the name suggests, forward volatility is the implied vol between any 2 days in the future.If implied vols for any 2 dates in the future exists, then we can find the forward implied vol between them.Forward implied vol is shortened to forward vol or fvol.

16

50

210

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 years

Stoploss in short volatility: A Thread 🧵 There's always a debate on how one should estimate a stoploss on short option positions. To understand this, one must first understand what the core bet really is. Then set a SL on this underlying bet. For example, if you bet that (1/8)

10

34

112

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

5 months

Scale your strategies only so much such that your utility function stays convex or linear Scaling fails when traders don't realise the threshold at which their risk profile has changed Quick way to check the curvature of your utility function: Jensen's inequality ✨

Tweet media one

3

9

85

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 years

Vanna, 2nd order option Greek - A Small 🧵 What is vanna? It is a 2nd order option Greek that can be interpreted in 2 ways: Let f be the option price, σ be the volatility and S be the spot price. Then, Vanna = ∂2f/(∂S.∂σ) … 2nd order partial derivative

8

24

78

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

7 months

Mathematicians work tirelessly in extremely abstract areas, establish new theorems, which probably 50-70k people in the world might comprehend. They just publish their work for everyone to read and use, to push the frontiers of knowledge Then there’s retail traders…

Tweet media one

13

3

73

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

@Ksidiii Vol beta is a function of vol regime. Keeping it same (as last month’s) only makes sense if you’ve had a 20% crash in the previous month (240 RV) as well. The rise from low IV to 240+ in a month will be accelerated by volga. So the vol beta must also change non-linearly.

2

2

62

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

8 months

Vol Trader psychology 101

Tweet media one

7

5

61

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 years

Breakeven/Profitability Analysis on Scalping Options: A Thread 🧵 So you decided to play naked options and want to know what makes it worth your while?! Let's take Nifty options. We'll find the lot size at which the smallest tick on option price (.05 Rs) in your favour will (1/8)

2

11

60

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 months

Day 0: Qvant

Tweet media one

9

1

57

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

6 months

sex is a very intimate and sacred act remember, your body is a temple, and you shouldn't be sharing it with anyone who still thinks Call and Put IVs of the same strike same expiry are different

@Ary_Mulchandani

Aryan Mulchandani

@Ary_Mulchandani

6 months

sex is a very intimate and sacred act remember, your body is a temple, and you shouldn't be sharing it with anyone who still starts at cell A1 in excel

4

1

40

6

1

56

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

5 months

@TFallibilist The lead/lag you realise at the end Also champs who leave last 5 mins to make “pencilled” answers fair with black pen Stuff of nightmares

4

0

54

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

7 months

POV: Your trading mentor is distracted and it’s all over

Tweet media one

12

1

52

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

8 months

🫡

Tweet media one

7

4

43

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

4 months

Lol bear with me. Left column is Call Charm and Right Column is Put Charm as per Black Scholes Model. Charm is rate of decay of option delta over time (dDelta/dTime) Formula seems nasty I know🥲 q=dividend r=risk-freerate 𝜏 = time to expiry σ = Volatility

Tweet media one

4

1

46

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Category 3 AIF aka hedge fund in India: 🥊Capital gain is taxed at 42.7% at source. 🥊At a 2/20 fee structure (2% of AUM and 20% of profits as fees to hedge fund every year), fund needs to generate 57.04% profit to be able to give 25% post tax return to investor. 35.22% for 15%

Tweet media one

10

5

43

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

7 months

They literally gave you midcap index derivatives to hedge, husbandt You lost money in both midcap holdings and derivatives and now we’re homeress, baka 🙇🔪

Tweet media one

5

2

42

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

6 months

Toda Hiromatsu What a legendary role played by Tokuma Nishioka! #ShogunFX

Tweet media one

2

8

40

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 months

Can't eat Sharpe ratio🤡

Tweet media one

3

1

38

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

4 months

Touching grass 🌳

Tweet media one

Tweet media two

5

0

37

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

My multi-bagger for the year (10.8X)! Ginger is a very forgiving plant with 9 month growth cycle. This one went in the ground in early Feb’23. Nice monolithic piece of ~1kg. Gonna make some ginger beer 😃

Tweet media one

Tweet media two

Tweet media three

Tweet media four

6

0

36

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

9 months

>be me >elder bro founded successful broking company >run my own AIF III (hedge fund) with ₹238cr >fiscal deficit = exports - imports (???) Why do all my clients look like this?

Tweet media one

3

1

38

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

This train didn’t apply brakes in the last 4 minutes. Going from a speed of 128 kmph to 0 for a 75kg person in 23 seconds is the electrical equivalent of 9A rms current flowing through human body from 230V AC socket.I feel terrible about the pain of the unsuspecting passengers 😔

Tweet media one

3

2

35

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

6 months

Football peaked here for me Watford vs Leicester City 2013 Championship playoff semi-final 2nd leg injury time (score was 3-3 before this drama)

7

4

36

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

9 months

Ngl there was a point in the past 2 days when I thought we're going to open at 20% Upper Circuit on the main indices on 23 Jan'24. Friendly reminder that stock markets are way too disconnected from real things like economy, culture and people.

6

1

34

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

3 months

🇮🇳 Government decides to discontinue sharing GST collections data month-wise after doing it straight for 74 months That too when it might've broken pattern Will they stop collecting data? Why reduce transparency in such an important economic indicator? Hope it isn't pre-emptive

Tweet media one

2

4

34

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Some papaya experiments (pruner for scale). I grafted 2 stems into 1 for faster growth. These trees are 1 yr old with fruits at about 5-5.5ft. Prune any flowers and drooping branches at 4-8 months and the trees will accelerate in monsoons. Also allow a male papaya to grow nearby.

Tweet media one

Tweet media two

Tweet media three

Tweet media four

3

0

31

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

7 months

Gm ☕️

Tweet media one

1

1

34

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

100% hydration sourdough ciabatta bread. The crumb opened up pretty well. Feels good to have fresh bread 🤤 🚨This account will settle into becoming an artisan food blog if we don’t get a vol event to talk about soon.🚨

4

1

33

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 months

Owned this drip before it was cool 😎 Found it in a time capsule and the real miracle is that it still fitz if I sitz 😸 Anyone remembers when this was the brand design?

Tweet media one

Tweet media two

1

0

32

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

10 months

Sovereign Gold Bonds: -You loan money to government for "pledged gold" -Not backed by any real gold collateral hence cannot be converted to physical gold (only a holding certificate issued by GOI) -You get only 2.5% dividend pa + global commodities price risk What am I missing?😳

13

1

33

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

5 months

Ladies and Gentlemen: Prisoners’ Dilemma

Tweet media one

2

0

32

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

3 months

My take on the recent broker/exchange incontinence Hit where it hurts my friends ☮️🕊️

Tweet media one

4

1

31

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

6 months

All of Voltwit be like👇 when someone quotes VIX change as a percentage, or uses spot strike instead of future strike to enter a straddle

2

2

32

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

3 months

@quant_arb

Tweet media one

2

0

30

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Days like today are better understood not by levels of underlying or volatility but by the invisible parameters of leverage.

4

1

30

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

The significance of Standard Deviation is as follows: Probability that a random variable will stay within +-1 stdev range is 68% Probability that a random variable will stay within +-2 stdev range is 95% Probability that a random variable will stay within +-3 stdev range is 99.7%

Tweet media one

2

0

28

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

8 months

Now I'm thinking if the guy making 1/10th has much higher IQ😂

@GrindingPoet

Grinding Poet

8 months

..

Tweet media one

65

230

2K

7

0

29

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 years

3rd Nov RBI MPC event volatility is priced at 29.74% per Nifty and 41.85% per Banknifty as of sometime yesterday during trading hours. Wonder how we use this data. Tagging the experts I know 🙂 @VohiCapital @mnopro @muskk

Tweet media one

@muskk

ExQuant

2 years

(Thread) Event Volatility & Implied move Objective: an event coming up next day and we want to calculate the expected move in the index/stock implied by option prices Bro @l_thorizon mentioned on a call about implied move formula the other day (not for the first time) +

7

43

147

4

4

22

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Ok! Now let’s look at skew: Skew is a metric defined for options at a single strike. So, if Nifty ATM (18500) strike has an IV of 9.3 and if 18700 has an IV of 8.4, then 18700 has a skew of -0.9 IV points.

Tweet media one

1

0

27

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

It started with FinNifty today: “Wasn’t aware of such moves”. We could then ask what else isn’t impossible in 5 min: 1000 pt on Nifty? 5000 pt on BN? Look for the option prices that give risk-free annualised return, post overheads. That’s where the strikes of impossibility lie.

7

2

24

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

We could also define this metric on an entire chain by simply adding (or weighted adding) skews from all strikes and using this aggregate number for comparison.Higher aggregate value would mean larger skew present in the chain as compared to another chain having a lower aggregate

1

0

26

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 years

30d strangle isn't behaving the same as it did 1 month back? "But it has only 30% probability of going ITM..." Well, gamma isn't the only 2nd order greek that affects delta. Enter Vanna (dDelta/dVol). As vols change significantly, so does sensitivity of delta wrt volatility.

1

2

26

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

What causes data-points to be dispersed or tightly clustered? VOLATILITY, ENERGY, ENTROPY etc. For Stocks, it's Volatility. If volatility of a random variable is high, it will cause high standard deviation in readings. This is a stock with average standard deviation of 50%

Tweet media one

1

0

26

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

4 months

Hit me with your Zetamac scores on default setting: Just getting slow with age🥲

Tweet media one

26

1

26

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

This is a very limited interpretation of the plot and the results that we derived above from the Option Skew. I'd love to hear the readers' nuances/questions on this.🍻 Please note that this thread is strictly for educational purpose only.

7

1

26

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

10 months

Fun day!! 🍻 And we literally discussed about the opportunities and pitfalls in forex repo markets 🥸

@_not_linear

Milan

10 months

After a year of emoji conversations , finally a live-action rendezvous!

Tweet media one

Tweet media two

7

0

21

7

0

23

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 years

This is what the traders call Advance Tax Avoidance Candle.

Tweet media one

2

1

24

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

29 days

Probability Measure: A biased die that brings in just enough money to keep a casino (that mysteriously plays only dice 🎲 games) at breakeven is an unbiased die for the casino This same die presents one probability measure P to a player & a different one Q to the casino

5

2

25

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Let’s check some Deep OTMs and their skew. Strike 16700 has an IV of 33.3 which is equivalent to a skew of 24 IV points.

Tweet media one

1

0

24

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Let's call this the "Actual Distance". This metric will be referenced later in this thread. The ATM IV of 16700 strike, if Nifty reaches there by 1 Jun 2023, would be referenced to 70.26%. Currently it’s trading at a measly 33.3%. Talk about cheap tails!

1

0

24

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

6 months

@TFallibilist What’re your baseline assumptions? Mine are: Option price is a function of the following: 1. Gravitational field of major TA_lib indicators 2. FII-DII EOD Data 3. Macroeconomic Indicators for US & India 4. Telegram server uptime 5. Volume in option, spot & fut 6. Avg holding time

3

0

25

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Sometimes I wonder if nobody takes the markets seriously

Tweet media one

Tweet media two

2

1

23

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

@BlackSwan_ptf How fast an underlying mean reverts decides its realised volatility. If the underlying is not mean reverting, then it trends at the rate of μ and very low vol. Volatility of log_ret measures the heteroskedastic vol signal. The behaviour of RV decides how market prices IV (&VRP).

1

0

24

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

9 months

In Markov we trust

@memecrashes

A meme page to check every time MatLab crashes

9 months

Tweet media one

177

640

25K

0

1

23

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

7 months

Make deploy-and-forget algorithms and stick to your system no matter what. Edges are immortal. You just need to automate a robot to go and get money from the cashier 🤐

@AshishGupta325

Ashish Gupta

@AshishGupta325

7 months

Sell OTM call and put options of equal premium value in index utilising full margin for 1% weekly returns 🙏

9

1

68

3

1

24

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

5 months

This is the real Dr. Strange looking at 10k paths 🫡 Once you start thinking in Monte Carlo simulations, you can never go back

@_not_linear

Milan

5 months

Another way to look at this is: a. Use Nifty Bees instead of Nifty Index (accounts for dividend) b. Compute avg monthly returns and standard deviation from historical data c. Generate 10000 different simulation using avg returns and SD in GBM Avg Ret = 1.16% SD = 5.16%

Tweet media one

2

4

44

0

0

23

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Equity AUM of MF went to 18.6 lakh cr or ~$223 Bn in Aug 2023. Here's some real alpha on how you can benefit from this: a. Everyone buys NIFTY 28 Dec 2023 15000 Puts at 10-15 Rs as many as they can. (1/3)

Tweet media one

6

1

22

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

From current strike of 18500, 16700 is 9.73% down for 1 Jun expiry (7 DTE calendar). A 9.73% move in 7 days is equal to 70.26% annualised stdev (9.3*√(365/7)). If Nifty were to realise +-1800 points move by 1 Jun, it would have a volatility that reads 70.26% on the stdev “gauge”

2

0

23

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

If I ever wanted to trust someone to keep the markets efficient👇... Bugger might be running BSM with O(n) while pricing the bid-ask IV surfaces with SVI on ASICs (only mayhem my limited mind could imagine). Behold not just the Market Maker, but a Rain/Widow/PnL Maker ☠️

@Molson_Hart

molson 🧠⚙️

1 year

Next time you think about trading stocks, think about your competition. The most decorated international math olympiad participant of all time is that competition.

Tweet media one

Tweet media two

461

1K

13K

2

0

22

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

If we plot it vs strikes to get a sense of how the skew is priced in terms of # of Stdevs of the skewed IV of that strike, we get the following plot.

Tweet media one

1

0

22

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

9 months

@sabr8329 If one feels offended by the mathematics under the hood, that’s the same maths that goes into designing Antennae, setting curds etc (but one doesn’t stop using a mobile phones or eating curds because the math behind it is scary). Ok to not use Greeks. Not ok to be blind to it.

1

1

22

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

8 months

@systemstrader1 @VishalBhargava5 Ahh yes multitasking setups! I guess that overhead shower is the only real water outlet.

Tweet media one

2

0

23

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

If volatility of a random variable is low, it will cause low standard deviation in readings This is an index with average standard deviation of 20%

Tweet media one

1

0

22

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

9 months

All those December 2023 puts bought in January 2023 waiting in line for exercise

1

0

22

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

9 months

@sumitkbehal Already did the model last night. I feel like a 25:42 share split ratio would be fairly priced. Please like and retweet for more such free analysis🙏🏼

0

1

21

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

5 months

Very nice set of calculators! Newbies trading options: Please use this People already using their own version of this: Please calibrate your systems against the gold standard (I know I will)

@KrisAbdelmessih

Kris

@KrisAbdelmessih

5 months

***New moontower feature just dropped*** Option calculators 🧮 We start with 3 online calculators. We will be adding many more over time. All free. All embeddable. Here's what's available now...

16

20

158

2

0

22

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

5 months

Does anyone actually read the affidavits of the candidates for elections in your city? I tried, only to find out that the ruling & opposition party candidates showed ~INR 11 lakh & 8 lakh annual income in their latest ITR To think that people take leaders & govts seriously 😂😂🤏

4

0

21

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 years

Credit cards are like long puts for the bank. Bank pays interest on 1 month float (2-2.5% annualised). Bet is that financial discipline breaks enough # of times during the Customer Lifetime to pay for interest and margin. Plus they get to affect your spending pattern with offers.

2

1

20

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

6 months

Bonds are derivatives that price the risk of default of the issuer and YTM as per yield curve. It’s all discounted cashflows at the end of the day.

@kchoudhu

Kamil C

6 months

A bond is a derivative

27

0

11

5

1

21

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

4 months

Not at all anon. Just my childlike bs desire to keep following count distributed around the hallowed meme (sorry mean) of 420 But I'll stop if it's bothersome :P

Tweet media one

2

1

22

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

7 months

Days like today #IYKYK

Tweet media one

2

0

22

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

4 months

@fluxtheorist Well when you have Cleo in your class, everything is trivial

Tweet media one

0

1

20

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

7 months

If everyone buys & holds a finitely available commodity (on avg) its price goes up since the qty available to trade is a very low % of free float (FF) & attempts to own a large chunk of FF are resisted by progressively higher price of entry.If the commodity has a “fair price” 1/n

2

0

19

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

3 months

Testing it here before dropping it like a hot potato on r/FIRE 🥹

Tweet media one

2

1

19

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Systematic transfer of wealth if people jump into this complexity blindly. Too many known spreads are tracked and traded. Idiosyncratic risks due to OPEC controlling production exist (adverse selection).

@NSEIndia

NSE India

1 year

Stay Tuned! We are launching Options on WTI Crude Oil Futures and Natural Gas Futures Contracts. #CrudeOil #NaturalGas #Commodities #Futures #Contracts #FNO #Derivatives #NSEIndia #Derivatives @ashishchauhan

Tweet media one

7

11

94

2

0

19

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

5 months

Marco Avellaneda & Sasha Stoikov (A&S) wrote a seminal paper in Mar'08 called "High-frequency trading in a limit order book" Literature on MM was around since Ho & Stoll (1981), but A&S's paper focussed on the computational aspect of it owing to the vastly improved CPU hardware

1

0

20

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

So, X (strike in m days) – 1 standard deviation over (7-m) days = 16700 X - (18500-X)/18500*√(7-m/7) = 16700 We see that if we vary m from [2,5] days, we get realised volatility of 51%

Tweet media one

1

1

18

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

10 months

Yeah getting Tata Tech IPO allotment is cool, but have you ever had this high 😎

Tweet media one

2

0

21

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

7 months

@TFallibilist MAR 46500 CE, MAR 46500 PE, MAR 46600 CE, MAR 46600 PE, MAR 46700 CE, MAR 46700 PE, MAR 46800 CE, MAR 46800 PE There are a lot more than 12 ser…

2

0

20

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

8 months

Demo version:👇 Pro version: dσ/dS is taken as a constant from SpotVol beta 🫡 Legend version: dσ/dS is taken as a polynomial in S ☠️ Tagging some wizards to check if this is the way @mnopro @muskk @moreproteinbars @Ksidiii @KrisAbdelmessih

Tweet media one

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 years

We have to solve the quadratic equation d1*d2 = 1 This is a quadratic polynomial in ln(S/X). Feel free to ask if handwriting is gnarly😆 End 🧵

Tweet media one

3

0

13

5

0

21

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

8 months

No PnL poasting or making, my friends 🙏🏼 Happy 75th Republic Day!

Tweet media one

1

0

20

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

5 months

RIP legend. What an inspiration 🙏

@SimonsFdn

Simons Foundation

5 months

It is with great sadness that the Simons Foundation announces the death of its co-founder and chair emeritus, James Harris Simons. Jim was an award-winning mathematician, a legendary investor and a generous philanthropist.

Tweet media one

338

2K

6K

0

0

19

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

11 months

Tweet media one

1

1

20

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

8 months

Wednesday night Junior Quant interview questions: a. Why is there an NAV and also a traded value determined by demand-supply for cash? b. What happens when the overnight funding rate is exposed to equity, commodities, forex and derivatives risk?

@Nithin0dha

Nithin Kamath

8 months

LIQUIDCASE, India's first ETF with a growth NAV from @ZerodhaAMC just listed today with the same symbol. When we were thinking about the product, we wanted to offer something simple where investors didn't have to bother about dividends, taxes etc. So, the way LIQUIDCASE works is

Tweet media one

126

124

2K

4

0

20

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

5 months

Why is Gamestop the only way to escape the Matrix? You should diamond hand everything in the stonk market & see where that takes you *Narrator: Tate took a 9-6 job after realising this & started learning about ETF investing instead of squeezing strangers' gammas*

@Cobratate

Andrew Tate

5 months

EVERY SINGLE PIECE OF GAMESTOP I BUY, I WILL NEVER SELL. NO MATTER WHAT. STOCK UP OR STOCK DOWN. PERMA DONATIONS TO THE CAUSE AGAINST THE SYSTEM. DIAMOND HANDS UNTIL IVE STOPPED BREATHING.

2K

3K

34K

4

1

19

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Let’s say Nifty drops down from 18500 to a strike X in 'm' days (m < 7) such that 16700 comes within 1 standard deviation of this strike X. We solve for X as follows: Realised volatility in first m days = (18500-X)*√(365/m)/18500 1 stdev post realisation = (7-m) day volatility

2

0

19

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 years

@aniketkrishna If you’re asking whether vanna is an edge, then no. It’s a Greek and a risk measure. Can you make money by trading vanna? Yes. How? Same way you make money on stocks: buy low sell high. Point of this thread: know how vanna PnL will behave for your options portfolio.

0

0

19

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

🤙🏼

Tweet media one

5

0

20

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

@mnopro Take 5 delta when you want to enter systematically. Check if historically it has gone ITM more than 5 times out of 100. If yes, then check the XIRR of that cashflow (after applying overheads). If XIRR >riskfree by a lot, then it’s cheap. Repeat for all delta <50.

2

2

20

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 years

Theta gang trying to explain how theta is not an edge - Sharaku (circa 1794)

Tweet media one

2

1

17

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

5 months

Yes, because all you have to do is put in 2 limit orders & keep modifying them the entire day MM provides liquidity to market takers Simply, MM is Limit Orders & Market Taking is Market Orders Distance of limit orders from "fair price" is the premium for immediacy of trx

Tweet media one

1

0

19

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

6 months

Take a slogan that goes hard. Then append it with “In this economy?” I’ll go first 👇 “No one can eat just one, in this economy?” Or “ज्ञानं परमं ध्येयम् , in this economy?” (Translation: Knowledge is the Supreme Goal)

Tweet media one

12

0

19

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

Anyone else cut spam calls within the first 10 seconds or is it just me? Don’t know what the hype is all about. Pro tip: if you hear a ring when you pick up, disconnect immediately.

6

0

18

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

6 months

🫨Show me the damping constant of these oscillations and I’ll show you how much degen systematic shortvol is resisting the natural volatility of the underlying — Charlie Munger

@sumitkbehal

Sumit Behal

6 months

Market is the true indicator of a nation's economy the market :

Tweet media one

7

5

67

0

1

18

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

8 months

That there exists an option pricing model which incorporates the *volumes* traded in a chain, the spot and the futures🥸

Tweet media one

@Sarah_Katilyn

Sarah Katilyn

8 months

What's a *conspiracy theory* you'd die on a hill for?

59

1

28

0

0

16

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

2 months

Total Long Term Capital Gain: 2,25,000 Old Regime: Exemption - 1,00,000 Taxable CG - 1,25,000 Old LTCG Tax Rate - 10% LTCG: 12,500 New Regime: Exemption - 1,25,000 Taxable CG - 1,00,000 New LTCG Tax Rate - 12.5% LTCG: 12,500

@term_investor

The Long Term Investor

2 months

If you have taxable gains belowe 2,25,000, you'll save money on LTCG in new budget Taxable gains above 2,25,000 and you are paying more. 2,25,000 is the breakeven for old and new LTCG rates.

0

0

2

1

1

18

@G3ni3sWish

Rohan (x^(k-1)* e^-(x/θ)/(Γ(k)*θ^k))

1 year

You will never guess what he sells in this thread 😂

@ramit

Ramit Sethi

1 year

Guy on reddit: "I'm 27M, $14mm net worth, looking for a city to live in. City must have: -Good weather -Safe -Low capital gains tax" Imagine being on track for $100mm+ by breathing oxygen and, of all your options in life, you decide on TAXES as a top criteria for where to

210

58

2K

2

0

17