Wednesday, January 21, 2015

"I like… fat… tails and I cannot lie, You vol sellers can’t deny..."

From The Mercenary Trader:

Baby Got Black (Swan)
(With apologies to Sir Mix-a-Lot)
I like… fat… tails and I cannot lie
You vol sellers can’t deny
When a hot trend breaks with a well-timed stop
and a great big black swan pop you get
Paid… P&L year gets made
‘Cause you noticed that trade was packed
Buncha mean reversion suckers got jacked

Oh baby I wanna get lumpy
Long gamma for when it gets bumpy
Central banks tried to haze me,
But those carry trades just don’t faze me!...MORE
See also:
Aaarrrggghhh: I Can't Get Matthew Klein's Song Out Of My Head