Re:GameStop Is Happening Again
by akavi on Thursday February 25, 2021 @01:59PM
(#26266678)
He knows (Matt Levine always knows), and addresses that very fact in a footnote:
> To be clear, market makers are not required to do what the model tells them, and the “common sense” answer is perhaps ambiguous. Arguably the fact that someone bought thousands of these options means that the probability of them paying off is a bit higher than the model suggests. If you are selling way-way-way-out-of-the-money options, you probably should not be blindly following your model. Here is a story I likefrom Nassim Nicholas Taleb.
Re:GameStop Is Happening Again
by bo1024 on Thursday February 25, 2021 @03:32PM
(#26267876)
Ah, missed that, thanks. One thing I dislike about this sort of conversational writing is "Here's a very strong claim that I want you to believe[1]" "[1] footnote refuting that claim, but you should still believe it".
> To be clear, market makers are not required to do what the model tells them, and the “common sense” answer is perhaps ambiguous. Arguably the fact that someone bought thousands of these options means that the probability of them paying off is a bit higher than the model suggests. If you are selling way-way-way-out-of-the-money options, you probably should not be blindly following your model. Here is a story I likefrom Nassim Nicholas Taleb.