Richard Nerland
@richardnerland.bsky.social
I'm trying to build infrastructure for scaled migration and education.
Since we are long gamma, we could lower the strikes on our calendar spreads and that will get us flatter without playing with delta to manage the spot-vol correlation.
Claude is wrong, saying we have more exposure to short-term vol, with gamma hedged that approximate it well.
Claude is wrong, saying we have more exposure to short-term vol, with gamma hedged that approximate it well.
January 23, 2025 at 3:16 PM
Since we are long gamma, we could lower the strikes on our calendar spreads and that will get us flatter without playing with delta to manage the spot-vol correlation.
Claude is wrong, saying we have more exposure to short-term vol, with gamma hedged that approximate it well.
Claude is wrong, saying we have more exposure to short-term vol, with gamma hedged that approximate it well.
Ok, the simplification to only vega and vega sensitivity exposure is annoying me enough.
We also want to decompose vol with an Ornstein-uhlenbeck to short-term vol and long-term, aka clean, vol.
The 2Y options have too much short-term vol so we could sell 1Y and buy even more 2Y.
We also want to decompose vol with an Ornstein-uhlenbeck to short-term vol and long-term, aka clean, vol.
The 2Y options have too much short-term vol so we could sell 1Y and buy even more 2Y.
January 23, 2025 at 3:04 PM
Ok, the simplification to only vega and vega sensitivity exposure is annoying me enough.
We also want to decompose vol with an Ornstein-uhlenbeck to short-term vol and long-term, aka clean, vol.
The 2Y options have too much short-term vol so we could sell 1Y and buy even more 2Y.
We also want to decompose vol with an Ornstein-uhlenbeck to short-term vol and long-term, aka clean, vol.
The 2Y options have too much short-term vol so we could sell 1Y and buy even more 2Y.
Claude basically agrees on strategy though.
January 23, 2025 at 5:20 AM
Claude basically agrees on strategy though.
You also get the most volga you can buy through targeting 5 to 15 delta options.
I focus on vega and volga because those are the reasons you "should want" this high strike/longer dated structure.
Claude is confused, you are owning gaps w/ shorter and lose on drift.
I focus on vega and volga because those are the reasons you "should want" this high strike/longer dated structure.
Claude is confused, you are owning gaps w/ shorter and lose on drift.
January 23, 2025 at 5:20 AM
You also get the most volga you can buy through targeting 5 to 15 delta options.
I focus on vega and volga because those are the reasons you "should want" this high strike/longer dated structure.
Claude is confused, you are owning gaps w/ shorter and lose on drift.
I focus on vega and volga because those are the reasons you "should want" this high strike/longer dated structure.
Claude is confused, you are owning gaps w/ shorter and lose on drift.
We can see we have higher gamma (tautologically higher theta then) and lower vega.
If we had higher strikes we would probably target them, but you'd probably just buy more vega, ie buy ~1.5x more options than you would in longer dated case, and then sell the stock to reduce the delta...
If we had higher strikes we would probably target them, but you'd probably just buy more vega, ie buy ~1.5x more options than you would in longer dated case, and then sell the stock to reduce the delta...
January 23, 2025 at 5:20 AM
We can see we have higher gamma (tautologically higher theta then) and lower vega.
If we had higher strikes we would probably target them, but you'd probably just buy more vega, ie buy ~1.5x more options than you would in longer dated case, and then sell the stock to reduce the delta...
If we had higher strikes we would probably target them, but you'd probably just buy more vega, ie buy ~1.5x more options than you would in longer dated case, and then sell the stock to reduce the delta...
The log-normal distribution hurts your head a bit and it results in actually having a 5 delta, not 2.5 with standard Black-Scholes.
We can probably get close to that with our 2 year/2p strike *assuming it lists new strikes often*
We can probably get close to that with our 2 year/2p strike *assuming it lists new strikes often*
January 23, 2025 at 5:20 AM
The log-normal distribution hurts your head a bit and it results in actually having a 5 delta, not 2.5 with standard Black-Scholes.
We can probably get close to that with our 2 year/2p strike *assuming it lists new strikes often*
We can probably get close to that with our 2 year/2p strike *assuming it lists new strikes often*
What if we tax tech monopoly power by using market signals? Here's how: when ad platforms can charge way above market rates, they're extracting rent from their network effects rather than competing on quality.
January 1, 2025 at 6:42 PM
What if we tax tech monopoly power by using market signals? Here's how: when ad platforms can charge way above market rates, they're extracting rent from their network effects rather than competing on quality.
I would probably say the logical force behind pro-growth lies at a micro level in targeting impact versus deprivation.
www.nber.org/papers/w30138
At a macro-level, country GDP explains nearly all poverty reduction in time series and cross section.
www.nber.org/papers/w30138
At a macro-level, country GDP explains nearly all poverty reduction in time series and cross section.
December 3, 2024 at 1:40 AM
I would probably say the logical force behind pro-growth lies at a micro level in targeting impact versus deprivation.
www.nber.org/papers/w30138
At a macro-level, country GDP explains nearly all poverty reduction in time series and cross section.
www.nber.org/papers/w30138
At a macro-level, country GDP explains nearly all poverty reduction in time series and cross section.
I would really enjoy being able to play with the specifications in this data. Not often that I get to look at immigration and finance data at the same time.
Main table coefs of interest in main specification are not as significant as simpler coefs. I'd be interested in how covid data affects result
Main table coefs of interest in main specification are not as significant as simpler coefs. I'd be interested in how covid data affects result
December 1, 2024 at 3:43 AM
I would really enjoy being able to play with the specifications in this data. Not often that I get to look at immigration and finance data at the same time.
Main table coefs of interest in main specification are not as significant as simpler coefs. I'd be interested in how covid data affects result
Main table coefs of interest in main specification are not as significant as simpler coefs. I'd be interested in how covid data affects result
This is static scoring because dynamic scores are evaluated ex-post. There are discussions within the text about dynamic scores but not in tables or figures.
I think the full text below is all notable.
I think the full text below is all notable.
November 29, 2024 at 2:33 PM
This is static scoring because dynamic scores are evaluated ex-post. There are discussions within the text about dynamic scores but not in tables or figures.
I think the full text below is all notable.
I think the full text below is all notable.
Lack of growth is the typical way to oblivion fiscally. Not fractions a pp GDP expenditures on a subset of migrants.
No one accuses Japan of too many immigrants. They do worry about an aging population. Many of your worries are probably aging pop -> migration and aging pop -> nimby + fiscal etc
No one accuses Japan of too many immigrants. They do worry about an aging population. Many of your worries are probably aging pop -> migration and aging pop -> nimby + fiscal etc
November 28, 2024 at 11:19 PM
Lack of growth is the typical way to oblivion fiscally. Not fractions a pp GDP expenditures on a subset of migrants.
No one accuses Japan of too many immigrants. They do worry about an aging population. Many of your worries are probably aging pop -> migration and aging pop -> nimby + fiscal etc
No one accuses Japan of too many immigrants. They do worry about an aging population. Many of your worries are probably aging pop -> migration and aging pop -> nimby + fiscal etc
Yeah, the book chapter is probably better. I do want to give a little more focus to improving foreign institutions.
There are a *lot* of people outside the UK so improving those institutions is very important.
www.cato.org/publications...
There are a *lot* of people outside the UK so improving those institutions is very important.
www.cato.org/publications...
November 28, 2024 at 8:35 PM
Yeah, the book chapter is probably better. I do want to give a little more focus to improving foreign institutions.
There are a *lot* of people outside the UK so improving those institutions is very important.
www.cato.org/publications...
There are a *lot* of people outside the UK so improving those institutions is very important.
www.cato.org/publications...
The long term political economy effects need to assume that the damage to UK is greater than benefits to local economies. Recent paper also saw general liberalization as a whole.
www.charnysh.net/research.html
www.charnysh.net/research.html
November 28, 2024 at 8:21 PM
The long term political economy effects need to assume that the damage to UK is greater than benefits to local economies. Recent paper also saw general liberalization as a whole.
www.charnysh.net/research.html
www.charnysh.net/research.html
I'm willing to quote dunk here.
This is completely fallacious to the point I call negligence!
All modern immigration studies consider multiple dimensions to determine a skill cell and evaluate multiple margins.
Ryan is thoughtful in his reply, as he is in his work.
This is completely fallacious to the point I call negligence!
All modern immigration studies consider multiple dimensions to determine a skill cell and evaluate multiple margins.
Ryan is thoughtful in his reply, as he is in his work.
November 23, 2024 at 2:50 PM
I'm willing to quote dunk here.
This is completely fallacious to the point I call negligence!
All modern immigration studies consider multiple dimensions to determine a skill cell and evaluate multiple margins.
Ryan is thoughtful in his reply, as he is in his work.
This is completely fallacious to the point I call negligence!
All modern immigration studies consider multiple dimensions to determine a skill cell and evaluate multiple margins.
Ryan is thoughtful in his reply, as he is in his work.
Oh it appears I am very wrong about marking for gold!
November 15, 2024 at 1:21 AM
Oh it appears I am very wrong about marking for gold!
@mclem.org
Migration is very expensive. We should have a financial product that matches the high-risk high-reward aspect to mitigate budget constraints.
open.substack.com/pub/flavorye...
Migration is very expensive. We should have a financial product that matches the high-risk high-reward aspect to mitigate budget constraints.
open.substack.com/pub/flavorye...
November 9, 2024 at 8:47 PM
@mclem.org
Migration is very expensive. We should have a financial product that matches the high-risk high-reward aspect to mitigate budget constraints.
open.substack.com/pub/flavorye...
Migration is very expensive. We should have a financial product that matches the high-risk high-reward aspect to mitigate budget constraints.
open.substack.com/pub/flavorye...
Reposting away and I ran into @aleximas.bsky.social classic thread that I hope he ports on over!
Superheroes!
Meanwhile, I'm getting rekt potty training this weekend...
x.com/alexolegimas...
Superheroes!
Meanwhile, I'm getting rekt potty training this weekend...
x.com/alexolegimas...
November 9, 2024 at 8:42 PM
Reposting away and I ran into @aleximas.bsky.social classic thread that I hope he ports on over!
Superheroes!
Meanwhile, I'm getting rekt potty training this weekend...
x.com/alexolegimas...
Superheroes!
Meanwhile, I'm getting rekt potty training this weekend...
x.com/alexolegimas...
As someone who likes to run Monte Carlo models a lot. You'd be surprised how quickly heterogeneous returns create distributions that look *sort of* like our wealth curve. But you always wonder why it isn't the rich getting richer.
This model captures the effect! It's great.
x.com/serdarozkanE...
This model captures the effect! It's great.
x.com/serdarozkanE...
November 9, 2024 at 8:37 PM
As someone who likes to run Monte Carlo models a lot. You'd be surprised how quickly heterogeneous returns create distributions that look *sort of* like our wealth curve. But you always wonder why it isn't the rich getting richer.
This model captures the effect! It's great.
x.com/serdarozkanE...
This model captures the effect! It's great.
x.com/serdarozkanE...
November 9, 2024 at 8:31 PM
"The baseline Income Based Repayment (IBR) substantially increased college enrollment relative to fixed repayment by 15ppt, at little fiscal cost." (And has large welfare effects for poor households)
Bureaucratic work is required to achieve these gains, but this is great!
x.com/Simon_Mongey...
Bureaucratic work is required to achieve these gains, but this is great!
x.com/Simon_Mongey...
November 9, 2024 at 3:25 AM
"The baseline Income Based Repayment (IBR) substantially increased college enrollment relative to fixed repayment by 15ppt, at little fiscal cost." (And has large welfare effects for poor households)
Bureaucratic work is required to achieve these gains, but this is great!
x.com/Simon_Mongey...
Bureaucratic work is required to achieve these gains, but this is great!
x.com/Simon_Mongey...
November 9, 2024 at 2:57 AM