A few questions! I don't trade single stock options or even indexes really. I do trade other futures options but not as a market maker.
1. Would you say you ran short gamma or long gamma more often? Did you lean short gamma when vol is high or not that simple? Where do you think you made most of your p&l?
2. Can you give an example of a typical process for generating a new trade idea you used? Prop trading covers a wide variety of possibilities! Would you generally be looking to sell IV believing you could hedge realised more cheaply or which other strategies?
3. How did you actually incorporate 2nd order greeks into your risk management, assuming you did? Did you just come up with an estimate for dSigma/dSpot based on recent empirics and calculate total delta or what?
4. Are you able to discuss how frequently you delta-hedged?
5. Do you have any particularly interesting periods of trading, say for example during the recent VIX spike, that you could say you learned lessons from and what were they?
Thanks for taking questions!
Q1 🙂
