ExQuant @muskk Twitter profile

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ExQuant

3 years

Long overdue... A collection of all my threads, that I started posting from July this year, at one place. Trading Ratio spreads (more to come) Part 1: Part 2: +

ExQuant

@muskk

3 years

(Thread) Trading Ratio Spreads (Part 2) The main bit! I’ll mostly focus on credit put ratio spread in this thread. (yesterday's thread below for linking both) First let's look at best time to enter the trade. +

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ExQuant

@muskk

2 years

Today is my last day at work! All these years in corporate life made me feel like I was in solitary confinement in a prison at the end! Will be trading full time + Do empirical research on certain topics re: markets (spoke to a IISc prof on this) Will be settling in India

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ExQuant

@muskk

3 years

Thread on deriving India VIX! Get your pen and paper ready! The NSE India VIX white paper (link below) only gives the formula and we will derive it in this thread. That'll be the only focus of this thread with more in future threads.

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ExQuant

@muskk

3 years

(Thread) Trading Ratio Spreads (Part 1) Let’s try to understand what factors impact ratio spreads and how to trade & risk manage them. As it’s impossible to fit everything into one thread I’m dividing this into two. I’ll cover factors that affect ratio spreads +

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ExQuant

@muskk

2 years

Shorting vol on donkey stocks like Adanient and Ambuja just coz they have a high vol risk premium is like trying to go after an elephant with a knife for meat just coz it seems fat! (doubt if twitter is going show my post to anyone given how long I was away)

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ExQuant

@muskk

28 days

(Vol HF article) I came across this brilliant piece by a vol hedge fund True Partner. They do a post-mortem of last month's Yen trade event(boring by now i know) and their views on it and what else could've happened/lessons learnt(the interesting bit) +

One VIX spike does not make a summer

www.truepartnercapital.com

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ExQuant

@muskk

1 year

(Vol trading ppt) by @ArturSepp Just in case one hasn't seen this already. Covers pretty much all the required bits I felt Trading VRP from pg 72

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ExQuant

@muskk

2 years

(quick thread) Option strategies from probability density functions (pdfs) Ref: I'll summarize the paper... The author presents an easy way to transform one's expectation of how returns distribution will pan out in the future("user-expected" +

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ExQuant

@muskk

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) +

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ExQuant

@muskk

3 years

(Thread) Trading Ratio Spreads (Part 2) The main bit! I’ll mostly focus on credit put ratio spread in this thread. (yesterday's thread below for linking both) First let's look at best time to enter the trade. +

ExQuant

@muskk

3 years

(Thread) Trading Ratio Spreads (Part 1) Let’s try to understand what factors impact ratio spreads and how to trade & risk manage them. As it’s impossible to fit everything into one thread I’m dividing this into two. I’ll cover factors that affect ratio spreads +

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ExQuant

@muskk

3 years

Quite note on buying put spreads (no not ratios!) I guess these might be of interest today so wanted to mention a couple of points When you buy put spreads you're also short vol skew (here skew is short put IV minus long put IV). So if mkt goes down, given you're short delta, +

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ExQuant

@muskk

3 years

(Thread) A basic math primer for people with non-math background (this will also help in understanding my post tomorrow on India VIX). I’ll be simplifying a lot of math details here. I’ll mostly talk on "expected value" and a bit on integration. +

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ExQuant

@muskk

3 years

(Study material) Video lectures on mathematical finance (focus on derivative pricing) Best ones I found on internet. University of Toronto/Sebastian Jaimungal/Courses/Mathematical finance/Class notes/Archive content Not sure of website server load so not pasting link directly

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ExQuant

@muskk

3 years

(Let’s do some math!) Thread on how to retrieve probability density function (PDF) of any underlying from its option prices. We will use this result later on in another thread I’ll post in the future to derive an equation for VIX. Let's go...

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ExQuant

@muskk

2 years

(Vol trading) Whenever I look for stuff on equity vol, Dupire's work is one I refer to among a few others. Below presentation seems quite useful to me...

Research in Options 2016 - Bruno Dupire - Part 1

Research in Options 2016Bruno Dupire (Bloomberg)Volatility derivatives andtradingPart 1Página do Programa: http://www.impa.br/opencms/en/eventos/store_2016/e...

www.youtube.com

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ExQuant

@muskk

3 years

(thread) Seems like there is too much confusion about “Who is a QUANT?” Let me shed some light. Not going to bore you (and more importantly bore myself!) with a long thread. +

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ExQuant

@muskk

2 months

(Follow/Reference list) Back after ages (building business ain't easy) In my career as a quant and now a trader (former defo helping me in latter) the following are some the people/their material I referred that helped me greatly But first, allow me to go on a lil rant pls +

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ExQuant

@muskk

3 years

Let me make a thread on ratio spreads soon for you sir ji @jitendrajain (was already thinking of making one for a while) Thread by Sarang is very good already and I'll add to it (specially on put ratios which I do heavily) and give a more.. +

Jitendra Jain

@jitendrajain

3 years

@yogeeswarpal Where can I learn more about ratios.

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ExQuant

@muskk

2 years

One of my friends, who's an elementary school math teacher & has zero clue about options or trading in general, wanted me to teach options trading. This is what I plan to teach her first: Probability distributions and expected value

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ExQuant

@muskk

2 years

(BankNifty "VIX") This is like a first version. Few points to note: - Like Nifty VIX, this is 1 month. Hence 27th April exp as of today - Have only taken strikes in 500pt diff (mid prices) as liquidity poor on the others - this means integral approx/summation is pretty poor +

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ExQuant

@muskk

3 years

(Thread) A quick note on strangles If you are selling strangles in a bullish, low vol environment keep the following in mind: Assuming you entered a delta-neutral strangle on an index(Nifty/Bnf), any further upmove on the index will change delta of the strangle, i.e. making +

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ExQuant

@muskk

2 years

News such as "IITians offered 4crore salaries by Jane street.." got to be the most useless & overhyped. There'll be like 3-4 students getting it out of, God knows how many, like 10k? and they present as if it's a norm. It's like saying buy options & make 1000% returns per year

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ExQuant

@muskk

5 months

(india vix) Based on today's close prices (bid-ask average) of 30th May options I get a VIX of 12.37! If anyone can figure out where on earth an India VIX close of 10.2 came from pls let me know. (23rd May options have terrible liquidity so didn't even bother)

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ExQuant

@muskk

3 years

(Thread) One of my more important posts from a trading point of view (hardly any quanty stuff in this one). Might be relevant now hence posting. Just so it's clear for anyone wanting to trade call ratio spreads in the future in a bear market:

Conservative Trader

@AnandableAnand

3 years

Tomorrow expecting flat to gap up open on #nifty Bought 16700 CE at 92 3X sold 16900 CE at 31 Expert comments welcome 😅😅 @muskk @sanjufunda

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ExQuant

@muskk

2 years

Link to my webinar on vol trading...

Volatility Trading in Indian Equity Markets

Join in as Ankit Garg hosts Kranthi Kiran (ex- Exotic Options Quant) for an exciting discussion on quantitative edges to exploit in Volatility/ Options Trading.

www.youtube.com

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ExQuant

@muskk

2 years

(expiry/0dte) Banknifty Put Ratios Didn't cover this during talk so covering now... Whatever I say below keep qty no more than 100 on the long leg and just try to LEARN.. make notes.. +even improve on what I say! No need to hurry. put ratios (specially IF mkt gaps down along +

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ExQuant

@muskk

3 years

(Reading material) Feast your eyes! His website is one I used to visit frequently long time ago & somehow completely forgot during my "second homecoming" of exploring the equities markets. Also chk lecture notes on "Quantitative Investment Strategies"

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ExQuant

@muskk

2 years

Just want to add this is a risky move and defo not for most! I've my back up plans.. i.e selling trading setups!!... Err no.. will go back to London (easy as my passport is from that area), work for a few months, top-up my back account & come back

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ExQuant

@muskk

3 years

If someone were to put a gun to my head and asked to give one Twitter handle for trading that I'll surely follow, it has to be: @therobotjames His posts could be understood by almost everyone.. no heavy jargon..and they're only about making money. No show off/attention seeking

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ExQuant

@muskk

3 years

(Quant interviews) #alphaleak 😂 One of the best ways to prepare for a junior derivatives quant interview is by doing problems in the below book: It has questions on general math, probability/stochastic processes, option pricing and more. Even if +

Quant Job Interview Questions and Answers (Second Edition)

The quant job market has never been tougher. Extensive preparation is essential. Expanding on the successful first edition, this second edition has been updated to reflect the latest questions asked....

www.amazon.com

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ExQuant

@muskk

1 year

(Weekend task) Could be quite quanty but you might want to go through @julienguyon1977 podcast that just released. I once attended his webinar at Citi (we used to have these weekly quant webinars, across all asset classes, where speakers both internal +

Podcast: Julien Guyon on volatility modelling and World Cup draws - Risk.net

Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias

www.risk.net

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ExQuant

@muskk

2 years

#JainamBroking IOC4.0 Shout out to my two pillars of support at the event: Shilpa ( @shilpasurepally ) my trading partner & Amit ( @amitupadhyay ) my closest college buddy (they're hardly active on twitter btw) Big thanks to one of the nicest guys Kiran @Mr_K21 for betting on me +

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ExQuant

@muskk

2 years

(boring stuff!) On 100qty you.. lost about 9k on vega gained abt 4.5k on delta lost about -3.5k on 2nd order (delta) effects i.e gamma/vanna

Saketh R

@saketh1998

2 years

I had a 41000 short straddle when market was at 40800. I actually lost money as markets came to 41000 Calls went from 170 to 325, Puts fell from 330 to 255

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ExQuant

@muskk

2 years

Thanks for attending my webinar and unlike how I felt about my Jainam talk, I felt this one went decent :) Btw came to know some wannabe-quants, who are actually risk managers working at tier 2 banks but posing as quant fund mgrs on twitter were back-bitching abt me in their +

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ExQuant

@muskk

2 years

What an amazing thread this (dunno how I missed it) Read the whole thing and start applying straightaway today! Infinite times better than the donkey threads I keep seeing these days, specially on Indian fintwit

Agustin Lebron

@AgustinLebron3

4 years

26/ The only thing that matters is: Is the current price fair/cheap/rich? And how much? I.e. What position should I have, and how do I work towards it?

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ExQuant

@muskk

3 years

(Thread) Forecasting Once upon a time (many many many years ago!) one of my friends was asked to implement a forecasting project as the last stage of getting an offer from a prop trading firm in Europe. Below is the problem statement: +

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ExQuant

@muskk

2 years

I'm giving this talk on trading equity vol. Apart from vol concepts, I'll be discussing - how NOT to trade options - myths about greeks (over-hyped IMO) - small matter of how I traded Adani vols I recommended @l_thorizon be invited as a speaker..

JAINAM BROKING LIMITED

@jainambroking

2 years

We are honoured to introduce Kranthi Kiran as our distinguished speaker. Catch him at IOC4.0 #optionsfuturehai #JainamBroking Register Now:

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ExQuant

@muskk

2 months

(Paid training) This is a topic I've had strong opinions about and today feels like the right time to express. It obviously relates to @AshishGupta325 . Let's talk facts, let's be logical & let's keep the bigger picture in mind. Indian option trading ecosystem is corrupt to +

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ExQuant

@muskk

3 years

#Paytm I wonder how many years will it take for startups who earlier had plans to go public will take that step now given this gargantuan level donkey performance of Paytm. Am assuming this will have a knock-on effect on funding of early-stage startups & their valuations.

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ExQuant

@muskk

2 years

(retail f&o losses) Success in options trading does NOT require you to: - be able to solve black-scholes eqn - be able to construct a vol surface - know vanna/vomma (good to know but not necessary) But c'mon bruv you can't trade options just looking at their terminal payoffs!

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ExQuant

@muskk

3 years

(Liquidity measure LIX) Came to know about this recently while reading some commentary for insti clients about S&P futures. Paper link below. Planning to analyse this/a variation of it before using it In short, LIX = log[Close * Volume / (High - Low)] +

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ExQuant

@muskk

6 months

(updates) Gonna post (rather infrequently) on trading related research papers from now on: a summary of what's being discussed/observed in a paper & my views on each wherever relevant A research team at citi, used to do something similar calling it academic research digest +

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ExQuant

@muskk

2 years

(FY pnls) While my friend, who's a fixed income relative value PM, made 16% last year which was his highest & is very happy about it, bros on Indian fintwit cakewalked their way "making" over 100%. My friend really should be "ashamed" of himself #sarcasm

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ExQuant

@muskk

3 years

(Thread) Stochastic processes Thought of posting a primer on stochastic processes that’ll be useful for any future posts on whether deriving Black’s formula for pricing calls/puts (my next post and should be a quick one) or discussing interpolation of vol surfaces (SVI) etc.

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ExQuant

@muskk

1 year

(Hedge fund story) Might delete this tweet later on. One of the most frustrating experiences I had career-wise was back in early 2019 while negotiating comp with this fixed-income relative value fund in London(greek CIO, in Knightsbridge, a spinoff) I found out there is a +

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ExQuant

@muskk

2 months

(Research Digest) Option market making (OMM) We look at below paper. Thought I could cover this in one post but it ended up pretty long and so will have to do in two parts (it's like "The Raven" turning into "The Divine Comedy"). Next part tomorrow. +

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ExQuant

@muskk

2 years

#VIX If you haven't got a clue about a certain topic it is fine NOT to tweet about it

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@muskk

3 years

VIX: I'm the king Month-end straddle seller: Abhi batata hoon rukh Delta: Accha bata?

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@muskk

3 years

(Variance risk premium) Check out below article by @macro_srsv . Good & easy read. Talks about all short vol strategies (straddle/strangle/condors etc) and how they performed in the last 25yrs. Has links to the original paper as well.

Variance risk premia for patient investors | Macrosynergy

The variance risk premium manifests as a long-term difference between option-implied and expected realized asset price volatility. It compensates investors for taking short volatility risk, which...

macrosynergy.com

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ExQuant

@muskk

2 years

(confusion) If there's one word that characterized my state of mind during last weekend's event it was confusion. The experience below highlighted that Post my talk there were a group of 6-7 ppl who came to me. (I hope i won't be taken as someone judgemental..) They looked and +

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ExQuant

@muskk

3 years

#Straddles More important than selling straddles when the clock hits a particular time (or immediately after my dog takes a leak!) try computing some measure of realized moves of the index. It could be something crude to start with. So if you're looking at expiry, +

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ExQuant

@muskk

2 years

(Earnings event risk) Below paper explores event risk around earnings announcement days (EAD) via IV curves for short expiry options. Concave IV curves i.e. ATM vols > OTM put vols (which is unlike the usually found convex IV smiles) just prior to EAD, +

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ExQuant

@muskk

3 years

Possible New SL (little thread) @mnopro suggested a few days ago about using call/put (leveraged) spreads for replicating SLs (can't find your tweet bro.. did you delete it?.. thought of embedding it here) Let's practically look at how to apply it for Nifty/BN short positions +

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ExQuant

@muskk

2 years

..Wonder if someone has said something real bad about tail risk on short expiry options that indices are hell bent on teaching a lesson

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ExQuant

@muskk

2 years

(Rates) While I'm going to start posting some rates non-linear stuff soon, if anyone wants to understand swap derivatives, not just intro to instruments but their valuation as well, I'd suggest Amir Sadr's interest rates swaps book. It isn't long (as a Brigo's) or boring and..

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ExQuant

@muskk

3 years

Non-desi breakfast after a long time

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ExQuant

@muskk

3 years

Lord of all Greeks is not Zeus it's Delta!

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ExQuant

@muskk

3 years

(Thread) Math study material below for anyone interested in pure math. There are many useful math repositories on the web and one such I found decently useful is Cambridge uni's math Tripos website (that's their signature/world famous three part math course). These cover +

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ExQuant

@muskk

2 years

I speak to Gaurav ( @l_thorizon ) quite frequently and for hours. He's the only one I found via twitter that I call a good friend. And he's incredibly humble (I sometimes wonder what these arrogant folks have missed in their lives. Are they trying to compensate for something?)

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ExQuant

@muskk

2 years

(Rates exotics) Callable multi-index range accruals Just published this on my substack account. In case you ever wondered what my job was like this should give a decent idea :)

Callable Multi Range Accrual!

These are part of the rates exotic books at investment banks specially in the APAC region.

exoticquant.substack.com

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ExQuant

@muskk

3 years

Quite an innovative way of presenting Pani Puri. (Bengali restaurant this)

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ExQuant

@muskk

2 years

(papers) What do you guys think of the below? I already plan to write stuff on my substack that's a little research oriented but should I write a paper or two? What topics? Obviously I'm out of the industry now so I'm free. Last year before i moved to India had plans to +

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ExQuant

@muskk

3 years

#Strangles A little note on getting into strangles in a bear market scenario If you're an intra-day trader selling delta-neutral strangles on non-expiry days in the morning and holding them till day end then be careful of the following when market is expected to be bearish. +

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ExQuant

@muskk

2 years

N(d2) If anyone is using N(d2), N(-d2) to get implied probabilities P(F>K), P(F<K) resp. .. for example probability Banknifty will end below 40000 by 23rd Feb expiry picking today's IV of 40000put comes to 13.35%.. and making a trading decision (I dont!) via say comparing +

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ExQuant

@muskk

1 year

(Black-Scholes) Given an implied vol, using black-scholes formula for pricing vanilla options (to compute greeks) DOES NOT mean we assume underlying returns are NORMALLY distributed Below tweet exchange between Artur & myself should explain more.

Artur Sepp: Systematic Quant Trend/Vol/Rates/Macro

@ArturSepp

3 years

The real contribution from Black-Scholes-Merton is that options can be dynamically replicated (in theory) not Gaussian prices Both conversion from price to implied vols and from implied vols to option risk (w/o assumption that the risk is Gaussian) are important @EmanuelDerman

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@muskk

3 years

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@muskk

2 years

"Trading" noise If you keep changing your view over every 0.1% move of an index and then justify that by giving a variety of reasons from Fed pulling money out->resistance level breached-> FIIs going mad, all you're doing is trading noise bro And your Pnl is also that.. noise!

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@muskk

1 year

(Persistent Systems) The way MMs are playing around with option bid-asks is hilarious. Show a little desperation to exit and they're trying to sell dosa at biryani prices!

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@muskk

3 years

This is possibly THE most important thread I've seen on fintwit. Get your pens/papers ready & get this in firmly into your brains. Try doing hist. analysis of events & compare implied vs. actual/realized returns and get a measure of event risk premiums.

Sergei Perfiliev 🇺🇦

@perfiliev

3 years

This Wednesday! The Fed is expected to announce a first rate hike in many years. But how will the market react? How will the stocks move? What is currently priced in? The options market has the answer! Let's have a look! 👇🧵

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@muskk

2 years

#HDFC #HDFCBank You can't help but think what happened on the 4th of April was a classic pump & dump

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@muskk

1 year

I'll be giving an hour talk on trading vol, (ratios, high vol stocks like Adani, events/earnings), and if time permits Pnl attribution (Just to clarify, I won't be trading expiry. @paststat brother will do that)

Watanabe Show

@watanabe_in

1 year

Hello everyone! 📢 The wait is finally over! Watanabe has lined up an exciting event, and we'd love for you to join us! 📈 Registration is now open! Please see the following link for more information.

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@muskk

3 years

Keep following in mind before trading ratio spreads: Biggest threat to: -Credit CRS is Gamma -Credit PRS is both Vega & Gamma. Vega impact more as we are further away from expiry(much less at expiry). Gamma impact less compared to CRS as we get bigger range at entry due to skew

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@muskk

3 years

@Ankit_Quant @tarunnayak21 algo experts, what do you guys think of stanford uni's "Elements of Statistical Learning" free book for algo trading/data science? My friend, a senior/desk head HFT trader, recommended this long time ago. I'm planning to read.

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@muskk

2 years

(Research task list updated) Find appropriate realized vol measure to sell short expiry/weekly Index straddles intra-day (with focus on Banknifty)

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@muskk

3 years

In case you're making profits today STFU and keep it to yourselves.. it's a war that has started.

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@muskk

3 years

Was just listening to vol trading spaces.. Just to correct, as far as VIX calculation is concerned there is NO IV input into its calculation. The inputs are purely option prices of near month and next month end prices (if near month is less than 30 days away) and their strikes

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@muskk

2 years

Prof Richard Weber's notes below are pretty good.. (I prefer lectures notes usually due to their concise nature)

Vnkt

@Vnkt95

2 years

@muskk hi..what resources would you suggest to learn these...for a complete beginner

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@muskk

1 year

(Deriv quant question) As we know VIX (in vol units fair val of a proportional return var swap) has the static replication formula of weighted avg of OTM/ATM calls/puts etc etc What's the fair value of a var swap with returns now absolute (S(i) - S(i-1) instead of proportional?

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@muskk

3 years

Fantastic question. Let me give it a try. So can't really tell much in terms of actual values for cut offs but will try to give some theoretical color. When you long an option, say a call, and delta hedge it, you pay for the positive gamma PnL +

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@muskk

3 years

Dear single stock option traders, @subham_banka @AshishGupta325 @gauravs85278125 What are your observations on the points mentioned in the below article about - stock option straddle prices (& IVs) typically going up a few days before results day +

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@muskk

2 years

I believe it's fair to say trading single stock vols intra-day is pretty much close to useless. If something blows up, like IndusInd bank did today, build positions over the day (adjusting only if necessary i.e. touching your delta limits) & carry them over atleast to the next

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@muskk

3 years

(Trend following) After what indices did today it is time (even for me😀) to start understanding these strategies! Below looks like a good one. Richard Martin is a hedge fund veteran (paper seems newly written.. early last year)

Design and analysis of momentum trading strategies

We give a complete description of the third-moment (skewness) characteristics of both linear and nonlinear momentum trading strategies, the latter being understood as transformations of a...

arxiv.org

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@muskk

3 years

(Thread) Risk premium in Index options Just read the initial parts of first paper below and got a gist of that they're trying to do. Objective of the paper is to analyze "risk premium" in OTM options (mostly on OTM puts) that can't be explained by +

ExQuant

@muskk

3 years

Check out below two papers. Planning to read over the weekend (hopefully) Am curious coz as I always find credit put ratios much more attractive than call ratios and want to understand this fully.

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@muskk

3 years

Check out below two papers. Planning to read over the weekend (hopefully) Am curious coz as I always find credit put ratios much more attractive than call ratios and want to understand this fully.

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@muskk

2 years

If @SinclairEuan takes an online webinar/course on expiry/0DTE trading for Indian audience the number of tickets sold is consistently hitting upper circuits! #Facts

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@muskk

1 year

(Hair loss prevention tip) DO NOT enter short vol on stocks before or just after earnings when declared during market hours

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ExQuant

@muskk

3 years

#Vix understand that this increasing VIX means either: 1.More people are into buying October month end options or 2.Less ppl are into selling those options Either way, ppl seem not interested in going short gamma. Maybe expecting a big move? Just be careful before selling them

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ExQuant

@muskk

1 year

(operational risk) Planning to apply for head of operational risk at GS or citadel given the amount of operational issues i faced this year & became an expert! All thanks to 5paisa (which I've now quit) & XTS terminal (i wanna talk to whoever designed that custom basket thingy)

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ExQuant

@muskk

1 year

(Bnf ratios) Dodging a bullet would be an understatement! Entered a bunch of call ratios (45000/45500 1:-3) at the beginning seeing a pronounced -ve spot-vol beta/corr. Got the hell out when it started turning +ve + realized SBI results most likely would be in mid-day. +

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24

ExQuant

@muskk

3 years

Apart from Michael Covel you might want to watch the below video from Aspect Capital (a big trend following hedge fund) (I'm now watching these as well😃) Also the below little primer seems a decent read:

Jitendra Jain

@jitendrajain

3 years

Any starting point?

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ExQuant

@muskk

2 years

calcs..

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27

ExQuant

@muskk

1 year

(Casino) Heard there's a new casino in town. It's all online and you can gamble your house/clothes everything from the comfort of your home. It's funnily named FinNifty! Not for me though, I'd prefer the glitz/entertainment of an offline one.

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27

ExQuant

@muskk

2 months

Note: Finally, let me come to myself wrt training!! The way I trade is of ZERO/NADA/ZILCH use to retailers! Even if I take a course you guys will understand nothing and will be huge waste of both our times. So the max you'll get from me is these twitter posts. Cheers

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ExQuant

@muskk

3 years

Simple and sweet! Anyone trying to get into trading stock options(like me) surely can't miss listening to the recording. Disc: anyone thinks I joined a Twitter "gang", two words - Fcuk off! I'm not into that shtt. All I care is how to maximize returns!

Ashish Gupta

@AshishGupta325

3 years

Starting now.

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ExQuant

@muskk

3 years

Is it fair to say Nasdaq is the Banknifty of US markets?

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