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Today in ‘automating my job’ I now have a script that jiggles the mouse every 5 seconds, my productivity is exploding
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Merry Christmas, I hope your life is as full of love and joy as mine is
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From a locked account: “These fake ass Jupyter Notebook jobs are never coming back. Hope everyone enjoyed them while they lasted. Sorry to all the folks who missed out.”
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Student loan forgiveness is unfair for those of us who paid for it the old-fashioned way, with a large bonus from Goldman Sachs
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Update from London: ‘meeting for a beer at the pub after work’ means ‘skipping dinner and drinking until you have a hard time forming compete sentences’
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I was explaining gamma and delta to a non-quant and tried explaining it as ‘how much you have to buy to replicate the PnL and how that changes’. He didn’t quite get it so I said ‘it’s the second-order Taylor polynomial expansion of the option price’ which I guess is still hard?
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Whenever I hang out with mid 30’s tech bros sitting on a few mm of accumulated stock comp I realize that this is what finance guys were like in 2006. They all have expensive hobbies, watches, cars, travel like their life depends on it, and wear designer clothes.
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I'm bored and people seem to like
@bennpeifert
vol explainers so here's a dollar store version of Shreve and Bjork's intro to stochastic calc for option pricing. A very rough guide to learning one way Black Scholes is derived
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I am a ‘quant’ and the most complex things I’ve done in this job are y=mx+b regressions, calculating std dev, and calculating that if $10mm fund A has 10% in China, and $20mm fund B has 30% in China, I have $7mm China exposure. And checking to see if the farms are on fire.
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A clever person here said to always short companies doing an ERP transition
Potato giant Lamb Weston is down 19% because a tech upgrade screwed up its ability to fulfill orders.
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I was a GS intern pre-GFC. They took us to Broadway, big dinner events, etc. in 09 it was gone forever. Getting subpoena’d for selling dogshit MBS and bailed out with TARP meant the public hated us. That’s why public image matters. Banks are wards of the state now.
Got coffee this morning with an '84 alumni from my college. Spent an hour hearing stories of the glory days of NYC finance.
Barney Frank and Chris Dodd (Senators who wrote the post '08 banking regulation bill) should be publicly shamed and banished to a remote island.
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When all you have is a French exotic trading desk, everything looks like an autocallable
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WFH risk manager life:
8a: wake up, check twitter
830a: lift weights in your garage
930a: check the open, check your automated error and risk check emails
945a: get out of shower, check email again (nothing to respond to yet)
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As your resident vol explainer guy, here's a long-form version of how one can be down 200% a la Malachite. They were doing capped vs. uncapped variance swaps, 'picking up $100 bills in front of a Soviet locomotive'
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Pretty cool career this guy has going, writing about being an underachiever
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Am I a good employee? No. Do I try to get better every day? Also no.
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Very funny to look at junior quant resumes and they use a ton of big words but all I see is “my boss kept me busy by having me feed data into a statistical/ML package in R/Python/Matlab and fiddling around until I got an interesting but unusable result”
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I love pandas, but it still amazes me how fucking hard it is to append a single row to a very simple dataframe
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When I think about crypto/NFT I remember one time at a Midtown rooftop bar with a bunch of retired HFT veterans. I told them there was no juice left in exotics, structured credit/ABS, HFT and my generation needed their own scam. A gentleman told me “you’ll have to make your own.”
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My grandparents were put into concentration camps and lost their entire life savings and businesses in WWII
A Constitutional Right has never been taken away in U.S. history.
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Just me, a bottle of Dassai 23, and the Bloomberg data REST API on a lovely summer Saturday
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I was seated at the single childless adult male table at a family reunion and I’ve never wanted kids more in my life
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Spent 30min on the phone with my dad explaining that no, a finance or econ PhD will not make me a better investor, if anything I’ll end up even dumber
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These headlines are great, I’m gonna pick up failed ‘data scientists’ for pennies on the dollar (four hundred thousand dollars per year for 25 year olds)
$COIN "Therefore, I've made the difficult decision to reduce our operating expense(1) by about 25% Q/Q, which includes letting go of about 950 people(2). All impacted team members will be informed by today." --
@brian_armstrong
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In the last 10yrs, Boston Dynamics has been owned by Google, SoftBank, and Hyundai. If nobody wants to own them, the fears of our future robot overlords are overblown. Their primary product appears to be their own equity, it’s all vaporware
Boston Dynamics released a new video of its Atlas robots navigating a parkour course, leaping over obstacles and doing back-flips.
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My 2023 resolution is to be Very Normal. NYT cooking. Local sports. Contemporary TV/movies/music. Plaid J Crew shirts and Stan Smith Adidas shoes. Golf on the weekends. Drink Californian wine. Pretend IPAs are good. Develop a coffee addiction. Very Normal Stuff. No anime or JRPGs
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I fuckin love quant finance. 60 years of innovation in portfolio construction and the best we can come up with is 'just do an equal-weight portfolio', we should all be cultural revolution'd to the countryside and re-educated in something useful
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Howard Marks memos are extremely mid, right? They’re just 1000% conventional thinking. Rates are up, the investment landscape has changed, inflation is at 40 year highs, and a global slowdown is imminent! Oh no!
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Boss is asking me about the SVB situation and I’m just delaying until I can read
@matt_levine
tomorrow
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Three big ones.
***I will block anyone who says I have bad form or squats are bad for you***
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having worked for a megabank and working with some of the biggest custodians, asset managers, and software vendors, you realize everything is held together with duct tape and zip ties.
Mission-critical systems are robust but everything else is barely keeping it together
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Cool, so you studied stochastic calculus for option pricing, the Hull 2004 paper for synthetic CDOs, credit models for bond and CDS pricing, wrote scrapers and adjustment methodology for fundamental data, and kept a database of every CUSIP ever issued?
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I think if someone had $200k cash and sold options with it, that’s enough to probably never work again.
Given a frugal lifestyle and playing their positions right..
You could make $5k-$10k per month no problem.
And it would compound.
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He just tweeted it out. I spent years on this and he just tweeted it out.
= theta
+ delta * dx
+ vega * dv
+ 0.5 * gamma * dx^2
+ 0.5 * volga * dv^2
+ vanna * dx * dv
if you are short this option, you will earn the theta decay over time, but you are paying the piper on the other side: every time the stock moves materially you lose money on gamma
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I tell the juniors at work to pick a number below which they will not do crimes. It’s actually a good thought exercise - you realize that a $500k bribe isn’t worth going to jail over.
Running away with $400mm? Extremely based
The Swiss-based oil trading arm of Polish refiner Orlen met an intermediary it had *never dealt with before*.
Still, it signed pre-payment oil contracts worth $400 million. It wired the money in advance, but took no guarantees.
Now, the middlemen have vanished — with the money.
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Its been a couple years since I did an explainer of how an autocallable structured product works, so lets walk through this relatively straightforward one from Morgan Stanley. Autocallables are extremely popular across the globe because of the high coupons
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I can't wait for The Big Short, COVID-19 Edition, with
@MargotRobbie
explaining capped vs. uncapped variance from a bubble bath. "The
@EmanuelDerman
model replicates vanilla variance swaps using a strip of options to get constant variance exposure as spot moves." *sips 1969 Dom*
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While you were out partying I was studying O’Kane (2008)‘s seminal text on credit derivatives
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Open question: is there any true value being created in the crypto/defi/blockchain ecosystem other than a self-referential casino of stuff to bet in?
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Peer envy is a funny thing. My two best friends are (1) tech PM that spends tons on fine dining and wine (2) runs family biz and FO and golfs at noon “because we already traded the London fix today”
Meanwhile I’m trying to save $3 on chicken breast at the Chinese grocery
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Coworker: you have such nice furniture how’d you pick it
Me: I just buy the best, most reviewed cheap thing on Amazon or Wayfair
Coworker, whispering to wife: he’s an indexer and doesn’t believe in security selection, he wants to fire us all and replace us with risk parity
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Amazing how fast Evergrande went from “this might be the big one” to nobody caring
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Incredible stuff - crypto people panicking when they realize they aren’t exempt from US statutory law
Gensler really went live today to give us all a huge "fuck you"
In all seriousness though- this is the most aggressive and hostile stance re US crypto regulation to date from the SEC- magnitudes more than anything before.
Working through this speech rn to give a breakdown soon
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This is some The Wire shit, nobody will step out and say exactly what happened or who manipulated what because everyone who could do something about it won’t put a black mark on their resume and admit they did something unsanitary on his behalf
BREAKING: Stanford president to resign his post, retract “at least” 3 papers, after our reporting in
@StanfordDaily
exposed multiple papers with data manipulation and his refusal to retract studies when given opportunities over the course of 2 decades.
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Losing my mind when they start talking about banking regulations on a TV show
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Just taught a new data sci grad what a regex is. What do these kids do for four years?
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Everyone still worships this guy, but Nevada PERS now has private equity and real estate! That WSJ article is 8 years old!
Nevada state pension fund invests only in passive index funds and is managed by 1 person.
It beats almost everyone.
The manager's only decision is whether to have BLT or tuna sandwich for lunch 🤣
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Genuinely: SPX going straight up after the GFC made me realize that the anti-deficit-everything’s-a-bubble-multiples-too-high people have been full of shit for my entire career
What moment in history or in your life deradicalized you?
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Can’t believe the things people have to do in this country to make ends meet
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Why does RETwit just love to relish in the fact that they can make peoples lives unequivocally worse for a few hundred bucks. Send your tenants back to the 1920s because you save $10k furnishing your units. Absolute scum
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Everyone seems to be commenting on this so let’s pick apart an actual structured product: a worst-of autocallable from Morgan Stanley
More on SocGen 99% plunge in equities trading revenues in Q1. Looks like they had an absolute nightmare on their structured products book
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My date that night spotted a huge engagment diamond. I said theyre dumb and I’m not sacrificing a home down payment for a ring. She said she wants hers to be visible from space. I showed her my bank account and told her she was on my own. By the end of the night we had broken up
@PScatterpatter
In retrospect I should have simply asked. I was buzzed and she was minutes away from dumping me so there was stuff going on
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Today I was asked to produce a report that took a week to compile before I joined and I was asked to produce it today. It’s automated now, I just copied the numbers from the spreadsheet into an email and went back to playing Skyrim.
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I try not to talk earnestly about my personal life but I just want you all to know that dating in the modern era on the apps is an absolute minefield, you have to be ready for *anything*, anybody can be an op
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I complain about my career a lot but I’ve realized that everything that’s happened to me has been my own doing. I wanted to work at a bank, so I started with a CS degree in the technology division.
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VC GPs will spend years looking into election fraud and about 5 seconds considering whether or not FTX is a fraud
Another topic we’re not supposed to talk about
A topic that’s too complex for all but the most astute observers
Rote, religious, repetition does not equate to truth
Do your own homework ❤️ 🇺🇸
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I had a coworker who structured a collared prepaid forward that got written up by
@matt_levine
at Dealbreaker and he said it was the best moment of his career. Regulators deemed it ‘too beautiful to live’
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I got drunk last night and asked a hot girl what she thought about Durban interchange and lectured a guy moving to Germany about the FBAR filing and the physical presence test for foreign income exclusion, living my best fintwit life
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Happy inflation Wednesday. Here is a four-ingredient omelette I made on my new nonstick pan.
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It’s funny how my nonfinance friends with a few $100k in their PA obsessively trade and follow the headlines. I actually ‘manage’ money and barely pay attention. They ask how I ‘traded’ the crisis and I just say ‘uhh I was long SPY and kept up my 401k contributions’
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@quantian1
People in your mentions gonna talk about how gas is superior and how you can’t wash cast iron with soap
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Halftime storytime: my Japanese-American ancestors were all put in WWII concentration camps but my grandpa did translation and received a bronze star posthumously and my great uncle served in the all-Japanese-American 442nd, the most decorated unit in US military history.
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This isn’t even a joke, I am amazed when people say how much ChatGPT speeds up their email drafting and tell them “I only write 1-2 sentence emails”, every senior person in this industry has zero attention span
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This is my first time watching layoffs from a buyside role and I still think that a lot of this is firms reducing staff because they want to reduce staff and not because of some macro headwind that’s going to obliterate economy
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Funny how life goals change:
• 18y: I wanna be a sw dev
• 20y: I wanna be a sellside quant
• 27y: I wanna be a quant dev
• 30y: I wanna be a risk manager
• 33y: I want to have a job and not get fat
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Using swaps for synthetic exposure is a well-known technique but it sucks they will get regulatory scrutiny after all this. No more hiding positions from your 13-F. One bad apple has to spoil the game for all of us. (Disclosure I sold equity swaps on the GS synthetics desk)
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Here is how option voice trading works:
client: offer $50mm MSFT 330C Mar21
sales: offered at $10 40d 300 ref
client: done, buy $20mm 5% of volume
(once the $20mm delta hedge is filled at, say 301)
sales: filled at 301, final px $10.40
Voice trading is so civilized; why did we ever let a bunch of computer nerds ruin the simple pleasure of calling a desk and telling them to “get done”?
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Agreed to meet with an undergrad and we had lunch at a nice restaurant, he looked like he was homeless so I’m never doing that again
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Welcome to what happened to everyone whose career fell off a cliff in finance after the GFC
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I’m at the nutcracker and the ppl behind me were doing coke. America is back baybee awooooo
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My Japanese family lived in Santa Ana, CA and all got sent to the camps. Most ended up in the Midwest after. Going to a funeral of one of the survivors of the camps in a few weeks. Still insane when I have to explain that we had concentration camps *in America*
#USA
🇺🇸
#onthisday
When President Franklin D. Roosevelt signed Executive Order 9066, eighty-one years ago today, it ushered in one of the most shameful periods in American history—the wrongful incarceration of 120,000 Americans of Japanese descent
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I still don’t know how to fit it in my mental model of markets that a guy that spends his entire career learning a very specific thing blows up while trading that thing
“Everyone is kinda stupid at the end of the day” is all I can come up with
ANDURAND’S OIL HEDGE FUND SLUMP WORSENS TO 46% AFTER MAY PLUNGE
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If I wanted to know about settlements and custody, I would have read the terms of my divorce
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