Whenever I emerge from South Kensington station in London, a sense of happiness envelopes me. It isn't because the women are slightly more beautiful there, indeed, I once spotted Liz Hurley in the streets of South Ken. It isn't because the cars are that bit shinier and more Italian (Ferraris) than elsewhere in London. Instead, it is because of the memories the area conjures up in my mind, reminding...
Tuesday, 29 July 2014
Saturday, 26 July 2014
Fruity carry filtering
Later, I am due to attend George Cooper's Thalesians talk in Budapest on his new book Money, Blood & Revolution. In the meantime, I am supposed to while away the hours. I should be adept at doing very little. Unfortunately, whiling away hours is something which I am ill suited to. I always have...
Thursday, 24 July 2014
Why trade?
If we go back to the ancient world, let us think of Thales of Miletus, the ancient Greek philosopher. He was mocked for being a philosopher, who couldn't make money. To prove his doubters wrong, he bought options for the use of olive presses, during the low season, because he foresaw a great harvest. When it was indeed a great harvest, Aristotle tells us, he made a fortune. An illustration that sometimes,...
Tuesday, 22 July 2014
What's gamma trading?
Given this blog is supposed to be interactive, I asked my readers for ideas for this article. By popular demand (well at least 3 readers @krs, @JeremyWS and @jaredwoodard), it was suggested that I write an article explaining what gamma trading is.
Let's first consider the simplest option trade we...
Monday, 21 July 2014
Traders matter more than their code
I really love Twitter. Yes, I've said it. True, it seems to absorb time, like a never ending sponge. However, on the plus side I have learnt a huge amount about finance by using Twitter. Recently, I started following @krscapital and I recommend you follow him too, if you're a finance Twitterer. He recently tweeted a link to an article entitled Wall Street Techs Take Secrets to Next Job at Their Peril...
Saturday, 19 July 2014
The time when Iraq invented time
For today's post something a bit different to my usual quant posts in this blog. So feel free to skip if you prefer my quant articles!
Humanity revels in the beauty of the future, seeking to make the unknown known. In 2003, Bush and Blair said Iraq’s future would be bathed in beauty. However, in modern Iraq, the future has rarely turned out to be quite so beautiful. So often in modern Iraq, the future’s...
Tuesday, 15 July 2014
Fixing the 4pm fix
There has been a considerable amount of controversy around the 4pm FX fix. It has been a big media story. We can see in the chart above, the number of articles on Bloomberg News referring to WMR. From the chart, last summer was the starting point for much of this media coverage. Earlier this year,...
Friday, 11 July 2014
Much ado about low vol
The notion of nothing is one thing that the market loves to talk about at present, . I mean nothing in the sense of there being low vol. By which ever metric you choose, implied vol seems low. VIX is sheltering in the 10 area, whilst in FX, EUR/USD 1M implied vol is on a 4 handle, spurred by central...
Wednesday, 9 July 2014
What can traders learn from Brazil's defeat?
The World Cup has unsurprisingly spurred much media coverage (see above) as the world has been glued to the spectacle for the past few weeks. Brazil's defeat at the hands of Germany by 7-1, has prompted many questions. Absent from Brazil's team were Thiago Silva and Neymar. Whilst I am not a football...
Sunday, 6 July 2014
What's beta in FX?
For my very first post on the Thalesians blog, I feel that I should tackle the notion of what is beta in FX. If you haven't spent a long time in FX markets, it can seem somewhat confusing to understand what should be a benchmark or "beta" to use a bit of market jargon. In equities, we have the...