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
