Nassim Nicholas Taleb

@nntaleb ↗

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Last Checked April 23, 2022

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Sun Apr 03 21:49:00 +0000 2022

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Nassim Nicholas Taleb @nntaleb

FINANCE QUIZ DU JOUR A call struck at K=120, for t= 66/252 trading days (.26 of a y) has a delta of .04 and a price of .1595 ($15,950 per million) when the underlying S=100. It is dynamically hedged daily at end of every day (total 66 x). You spend $15,950. What is the max risk? — PolitiTweet.org

Posted April 3, 2022

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Nassim Nicholas Taleb @nntaleb

@Porkchop_EXP I had an aphorism: Never do business in a country if you don't like their courts. — PolitiTweet.org

Posted April 3, 2022

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Nassim Nicholas Taleb @nntaleb

2) Correction: $1,595 per million notional, was off a decimal. — PolitiTweet.org

Posted April 3, 2022