Tag: expected-pnl

Interview Questions

• The edge you need just to cover fees and adverse selection
• The expected P&L of quoting both sides
• Skewing your quotes for inventory risk
• Can the maker rebate make a losing quote profitable?
• Explaining today's P&L with the greeks
• From a per-trade edge to an annualized Sharpe
• A one-cent edge, repeated a million times
• How your P&L's average and spread grow with trade count
• Total P&L of a vol-arb trade over the option's life