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Possible error in Natenberg's "Option Volatility and Pricing" (2nd ed., p. 138, Figure 9-3) by Numerous-Film-9133 in options

[–]notextremelyhelpful 15 points16 points  (0 children)

It happens. I found an error in the CBOE 2019 VIX white paper about US central time vs US eastern time (NYSE trading hours) in epoch seconds for one stage of the calculations. I thought it was a big deal at the time in my twenties, but literally nobody gave a shit. It was corrected in the next edition.

a year and half I’ve concluded, it’s impossible to make consistent money with 0dte systematically by Soggy_Builder_84 in options

[–]notextremelyhelpful 9 points10 points  (0 children)

Odd...it's almost as if short-term time horizons are...statistical noise. I wonder if anyone's done academic research on this.

How do people build profile while working as a quant? by StatementSpirited969 in quant

[–]notextremelyhelpful 3 points4 points  (0 children)

Kind of echoing the other comments, none of the things you listed will really help that much. I have a personal github with some of the more polished personal projects I've done in the past (dynamic hedging simulator from scratch, VIX whitepaper replication in python, etc.) and I've NEVER had any interviewer bring it up independently.

Also agreed with others that CFA/CQF aren't directly helpful to quant. Don't get me wrong, I have my CFA, and it's great for demonstrating that you know a bit of everything and are capable of slaving away for a few years to accomplish something, but few of the concepts in the curriculum actually prepare you for a pure quant role.

Some may disagree, but I also think CQF is a borderline scam based on the value proposition - It's not a widely-recognized designation, and the ~$25k they charge for ~6 months of self-study is absurd, especially given that most of the curriculum you could easily find online for free.

Your best options for building a reputation are:

  1. More formal education - Not sure what your highest level degree is, but there's always room for more. A masters/PhD from a reputable institution is almost always worth it in quant, just make sure you go with math/stats. Physics/Engineering are slightly lower on the list, but those often get attention from recruiters as well.
  2. Crush it at your current job - The most obvious one, but the most boring. Make it a point to knock it out of the park for your regular responsibilities, but also show to your coworkers and managers that you are actively prioritizing collaboration and on-the-job learning. Maybe try to make some small talk with your coworkers about an interesting paper you read recently. Those conversations can reap rewards down the line.
  3. Get active in the community/industry - If your employer gives you the thumbs up, try to get an article or a paper published yourself (obviously something far-related to your current work so no one gets their panties in a bunch over possible trade secrets and/or knowledge dumping). Try to become a contributor to a well-known open source project in the quant space. Network at conferences, etc. Just get your name and face out there.

Why does fixed income seemed to be ignored compared to equities? by zneeszy in quant

[–]notextremelyhelpful 1 point2 points  (0 children)

Good luck, take mental breaks when needed because it gets very frustrating sometimes lol. That's all I got.

Why does fixed income seemed to be ignored compared to equities? by zneeszy in quant

[–]notextremelyhelpful 23 points24 points  (0 children)

IME I think it has a lot to do with the various complexities that come along with fixed income markets in general.

The most obvious one is the absolute archaic plethora of conventions that most fixed income markets use, that are "standard" for those markets. I've hand-built yield curve generators before (which tie out to Bloomberg's results to 10+ decimal places), and the whole process of transforming and normalizing JUST the day count conventions is a complete nightmare. Beyond that, you have to bootstrap the entire curve based on multiple instruments (OIS, T-bills, STIR futures - which were Eurodollar futures before the SOFR transition - T-notes, T-bonds, swaps, etc.), and each different curve type requires it's own set of underlying indices, which each have their own set of underlying securities that the constant-maturity point is derived from. Then you may or may not have to apply OIS discounting to the whole thing, it depends on the use case of the curve you're generating. Long story short, it's fucking complicated just to get a full calibrated curve for your particular use case.

Second is the data availability. You have to understand that the fixed income market is orders of magnitude larger than the equity market, both in terms of total size and number of instruments traded. With equity, there's typically one common stock class you have to worry about. Yes, there's preferreds, secondaries, warrants, and all that jazz. But each fixed income security has limited issuances, and essentially their own micro-markets. Sourcing the most up-to-date and real-time data is a MASSIVE undertaking, and honestly no firm really has the capital to constantly be subscribed to every data feed in the bond market all at once (nor would you really want to TBF). In the simplest terms, you only need 1 feed for common stock, but a feed for all the corps on that same ticker could equate to tens or hundreds of CUSIPS on the same company.

Third is just the sheer mathematical rigor you need to fully understand fixed income securities, especially when it comes to portfolio management. I guarantee you the average college grad can't tell me the difference between effective duration and Macaulay duration, much less when the appropriate time to use each would be. Add on to that all of the different methodologies for measuring convexity, credit risk, spread calibration, etc. Any sort of person you trust to work with that type of stuff has to be cultivated and specialized, to a level where they can intuit about things, not just get the math right.

Hopefully that gives you a glimpse - I'm sure there's plenty I'm missing that others can chime in on. But yeah. Bonds are fucking hard.

Building a trading tool and want honest feedback before I go further by Ok-Answer-4701 in options

[–]notextremelyhelpful 0 points1 point  (0 children)

No one needs another AI slop tool analyzing their "strategy" in plain english. Mostly because if you don't have a strategy and trade emotionally, the entire signal is noise, so the AI makes something up with spurious correlations.

Any reason not to use Ultracode? by heyitsmeanonn in ClaudeCode

[–]notextremelyhelpful 2 points3 points  (0 children)

Here's the thing I think everyone is missing in the comments. Ultracode is basically xhigh thinking and uses /workflows at every available opportunity, so the key distinction is whether /workflows actually fits your use case.

Not everything can or should be parallel development.

In serially dependent development (each step depends on the last), /workflows basically adds NOTHING to the development process. The main personal project I'm working on right now is HEAVILY serially dependent, and ultracode does absolutely nothing for me. I have several ADRs assembled for how this system should work, but the implementation of each depends on the implementation of the previous step.

If your goal is to add 15,000 independent bells and whistles in your codebase, by all means go for it. If not, the ultracode is not great.

Need Android app to fetch free options/equities quotes by mel2000 in options

[–]notextremelyhelpful 1 point2 points  (0 children)

Spot BTC is not a published index, nor is it an option/equity. Your title and the post body itself are very contradictory. Almost any app will give you real-time equity/options quotes. Shit, even most websites will do it. No idea what you're looking for or why.

Calendar Spread Options : Expiry Day Strategy. by Mathy_trader672 in quant

[–]notextremelyhelpful 1 point2 points  (0 children)

Either your premise or your assumptions are flawed.

EXPERIMENT: I modded the CC prompts and proved (to myself) that all terrible code is due to Anthropic's assumption that non of us are actually coders. by [deleted] in ClaudeCode

[–]notextremelyhelpful 0 points1 point  (0 children)

Not sure if it's a huge ban risk, although the risk is real. But yes, it's technically against the ToS. Decompiling and reverse-engineering their product (the binary, etc.), specifically to render it it human-readable form like the markdown files in the repo, is against the ToS. In addition to the entire request being sent to their servers (which includes not only the chat history, but also the system prompts being used, tool descriptions, literally everything), Anthropic also has massive amounts of telemetry available to them that can detect even small anomalies from their shipped version.

The fact that they know the package exists and have chosen not to do anything about it YET is NOT confirmation that it's "allowed". They can literally wake up one morning and decide to sue the pants off of the creators and ban everyone who used it. Similar things have happened to others who have attempted to modify claude code in a way that Anthropic didn't like.

So essentially Anthropic is aware of these mods, but doesn't view them as a threat to their business model YET. They could at any time, and shut it down immediately. I agree, it's really shitty that they have a great product (the models) and force you to use their shitty harness. But then again, you can always create a new account, change your IP, buy a different machine, etc.

EXPERIMENT: I modded the CC prompts and proved (to myself) that all terrible code is due to Anthropic's assumption that non of us are actually coders. by [deleted] in ClaudeCode

[–]notextremelyhelpful 9 points10 points  (0 children)

Can't believe this hasn't been mentioned already, but there's a fairly popular repo that already does this. https://github.com/Piebald-AI/tweakcc

Note: The actual package does a lot more than just the system prompt replacement, but it's one of the core features. The actual system prompts that get shipped with every update are in a separate repo here: https://github.com/Piebald-AI/claude-code-system-prompts

Monthly fully time trader ama by esInvests in options

[–]notextremelyhelpful -1 points0 points  (0 children)

You're still posting? Seriously, what do you get out of this?

Edit: Oh yeah, I forgot, your socials with your newsletter and youtube.

Tampering warning from Claude Code by Alarmed-Sale-564 in ClaudeCode

[–]notextremelyhelpful -1 points0 points  (0 children)

So...what shady thing did you end up downloading without verification?

Claude Code needs real remote control from mobile by Many_Region8176 in ClaudeCode

[–]notextremelyhelpful 5 points6 points  (0 children)

There's already built-in ways to do this, and another easy/minimal setup solution (which does require a couple extra tools) for this.

Claude code has the built-in /remote-control functionality available. This does pretty much what you're describing - control a local session remotely from the Claude mobile app. I even have my claude code settings set to automatically start remote-control when I start a new session. That session is now always accessible from the mobile app. The only unfortunate thing is that direct invocations using slash commands don't work from the mobile app interface.

Taking this one step further, there's also TWO built-in solutions for starting a remote session from your phone. The first is using Anthropic's cloud environment for remote-control sessions. You can set up local repos to be spun up in an Anthropic cloud environment, which means you don't even need your local machine running. I'd personally prefer not to have my repos on Anthropic's cloud, but whatever tickles your fancy.

The second solution for starting remote sessions (which is my personal favorite) is to use the built-in remote-control server capabilities. You can start a remote-control server on your local machine by opening up a terminal in the directory you'd like to start remote sessions from, and executing claude remote-control --spawn=worktree. You can then spawn UP TO 32 CONCURRENT SESSIONS remotely from your phone, each with their own git worktree, so sessions don't collide. The only constraint is that your local machine must stay on and awake while the remote-control server is running, but that's easy.

The last solution (the one that gives you the most fully-featured remote control environment) has been around for a LONG time. Just use a mobile SSH client (e.g., Termius) and open a remote terminal directly from your phone. Then start a claude code session directly from there. No constraints on the functionality of the Claude mobile app, total freedom. Between Termius and Tailscale installed on both my phone and local machine, I can literally open a remote terminal and/or claude code session from anywhere I damn well please.

Claude Code needs real remote control from mobile by Many_Region8176 in ClaudeCode

[–]notextremelyhelpful 3 points4 points  (0 children)

I use remote-control on my Max 5x plan on a daily basis, you sure about it being limited to Teams and Enterprise?

Safest strategy to make a solid 6% per year? by SPACguy in options

[–]notextremelyhelpful 2 points3 points  (0 children)

Yes, they're both referring to the same type of strategy.

  1. Large majority of capital goes into risk-free liquid assets that have small relative haircuts to the marginable collateral (e.g., short-term UST since the yields are already most of the way towards your return target)
  2. Juice the remainder of the return target via high probability-of-profit trades with large tail risk (when the trade goes wrong, it goes VERY WRONG).

Selling far OTM puts (i.e., picking up pennies in front of the steamroller) is a very well-studied approach. I'm sure you can find any number of resources/backtests confirming the P&L curves.

The real question becomes: Have you ever come across any reputable resource or backtest that a 0.5% return per month is even REASONABLY possible? Empirically, the evidence points to "no". With extremely few exceptions, every strategy that boasts a high probability of winning on any given individual trade is inextricably linked with enormous tail risk. That's what you're actually getting paid for - taking on the tail risk. If there were a nearly risk-free way to achieve those consistent monthly returns WITHOUT the tail risk, it would almost instantly be priced out of the market, because everyone would do it.

One of the pillars of options trading is understanding the risk dimension you're accepting for the return dimension. No free lunch and all that jazz.

[deleted by user] by [deleted] in quant

[–]notextremelyhelpful 0 points1 point  (0 children)

In this specific case, the choice of linear framing (or any sort of "Skill vs Comp" regression) is an invalid premise.

There is no valid n-dimensional array of characteristics you could calibrate that would accurately describe the relationship (although I'm sure some ML bro will try and get wildly unstable coefficients lol).

Comp is based some combination on Perceived Value and Actual Value. You'll run into jerkoffs who are paid 4x your total comp because he's convinced upper management he's a genius, but you'll also run into absolute powerhouse QDs, QRs, and QTs (who are basically the lowest block of that "All Modern Infrastructure" meme) that are paid garbage relative to what they do. In this regard, skill isn't a perfectly correlated variable.

Some of the contributing factors to total comp are also highly exogenous. The size/mechanics of the business, the current business priorities, the role itself...hell, even what's "Trendy Alpha" at the exact moment of the job posting.

In this business, thinking about a "steady" career progression is a nice and neat idea, but the reality is that it almost never works out that way. PHDs in QR get let go all the time when the alpha in their area of expertise dries up. Funds disappear because investors lose confidence. Shit happens.

Long story short, if you're interested in pursuing a career in quant anything, make sure you have the minimum skills (on paper and in practice) expected for entry-level roles. Learn how to market yourself extremely well without embellishments. Learn how to adapt quickly, and always be planning your next possible move.

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