Nassim Nicholas Taleb

@nntaleb ↗

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Last Checked April 23, 2022

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Mon Apr 04 03:01:27 +0000 2022

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Nassim Nicholas Taleb @nntaleb

@mpolhill @aaronbrask Then it is as if I rephrased: Very high vol as starting point. — PolitiTweet.org

Posted April 4, 2022

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Nassim Nicholas Taleb @nntaleb

@_KartikMenon So far, with slow vol, maximum is many many more times, 18 times the premia. Unless there is a mistake. I perturbate \lambda the vol multiplier for the grind. https://t.co/DehEXNBfN1 — PolitiTweet.org

Posted April 4, 2022

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Nassim Nicholas Taleb @nntaleb

3) Not pretty. About 18 times premium lost under the nasty path: a grind up to the strike where you keep shorting more stock and losing on the hedge. \lambda is the vol multiplier; worst is when lambda is about .3 and S ends up at strike, 120. Breakeven is at 1.2 times vol. https://t.co/gMXECGqXx7 — PolitiTweet.org

Posted April 4, 2022