Posts

A Primer on United States Treasuries 2021-03-10T03:08:13.804Z
What is the VIX? 2021-02-26T01:05:06.420Z
Bitcoin and ESG Investing 2021-02-15T21:01:27.155Z
The GameStop Situation: Simplified 2021-01-29T17:55:04.985Z
Will Donald Trump complete his first term? 2021-01-09T12:13:57.456Z
Eth2 Staking explained as a Financial Instrument 2020-12-02T03:33:19.776Z
You have recovered from SARS-CoV-2. Now what? 2020-10-18T17:52:52.074Z

Comments

Comment by Annapurna (jorge-velez) on Covid 4/9: Another Vaccine Passport Objection · 2021-04-09T20:23:12.347Z · LW · GW

What do you say about the behavior of those of us who had COVID 6 months ago or after?

Comment by Annapurna (jorge-velez) on The EMH is False - Specific Strong Evidence · 2021-03-20T00:58:32.508Z · LW · GW

Not necessarily. You can have people believe that EMH works in US equities or US Treasuries but not say, US corps. 

But most people in finance that I encountered throughout my career believed that EMH did not worked in any market. 

Comment by Annapurna (jorge-velez) on The EMH is False - Specific Strong Evidence · 2021-03-19T02:33:34.012Z · LW · GW

I studied and worked in finance and I don't think I ever met someone who truly believed that the EMH was the absolute truth. 

Comment by Annapurna (jorge-velez) on A Primer on United States Treasuries · 2021-03-10T16:40:48.019Z · LW · GW

Thank you for your response!

 

I have made some changes to the original post regarding your nitpicks. I agree with them. 

I also appreciate your in depth breakdown of all of my sections, I think the community here will appreciate your detail follow up / counters to my post. 

I am trying to think of a way to edit my post so that it is more clear that I use USTs and risk free rate interchangeably. 

Comment by Annapurna (jorge-velez) on A whirlwind tour of Ethereum finance · 2021-03-02T13:19:55.597Z · LW · GW

Solid primer. It is hard to really simplify this subject but I think you did a decent job.

Comment by Annapurna (jorge-velez) on What is the VIX? · 2021-02-26T12:05:30.070Z · LW · GW

I remember how much it irritated my advanced investment finance professors that variance and volatility were used interchangeably. 

But even in the whitepaper the CBOE uses the term volatility. Considering the simplistic nature of the post, I will add a footnote to make the definition more clear. 

Thank you. 

Comment by Annapurna (jorge-velez) on Covid 2/18: Vaccines Still Work · 2021-02-19T04:05:44.956Z · LW · GW

Regarding prediction markets, have you seen this piece by Vitalik?

https://vitalik.ca/general/2021/02/18/election.html

Comment by Annapurna (jorge-velez) on Reasonable ways for an average LW retail investor to get upside risk? · 2021-02-17T19:21:55.502Z · LW · GW

I came in here to say leverage. There are options outside of margin lending that are interesting to explore, such as: 

Investment Loan (Although the rate is similar to that of a margin loan)

Home Equity Line of Credit (Cheaper than the above)

Borrowing to re-investing and pledging your assets as collateral has been used for decades by wealthy investors to increase their return. 

Comment by Annapurna (jorge-velez) on Bitcoin and ESG Investing · 2021-02-15T23:37:03.869Z · LW · GW

I use these products:

https://coinshares.com/etps/xbt-provider/bitcoin-tracker-euro

Comment by Annapurna (jorge-velez) on The GameStop Situation: Simplified · 2021-02-04T17:32:43.809Z · LW · GW

Yeah I didn't write about the gamma squeeze because I wanted to keep the length of the post short. But you bring up an excellent point. 

Comment by Annapurna (jorge-velez) on The GameStop Situation: Simplified · 2021-01-29T23:47:07.811Z · LW · GW

I agree with you, but that goes beyond the scope of my intention when writing this post. This post was meant to be as elementary as possible. 

Comment by Annapurna (jorge-velez) on Covid 1/14: To Launch a Thousand Shipments · 2021-01-28T00:09:55.278Z · LW · GW

I saw it and sent it to my Canadian friends. They really appreciated your update. 

Comment by Annapurna (jorge-velez) on Covid: The Question of Immunity From Infection · 2021-01-21T13:47:50.120Z · LW · GW

While I concur with your conclusion, I fear that if mainstream media presents the results like you did in this post, it will create a perverse incentive. 

I posted the UK press release in my social media and immediately folks started saying that they should try to catch it in order to get immunity. 

Comment by Annapurna (jorge-velez) on Covid 1/14: To Launch a Thousand Shipments · 2021-01-17T15:41:32.383Z · LW · GW

Is it possible to make this a standalone post? This is fantastic information. 

Comment by Annapurna (jorge-velez) on Covid 1/14: To Launch a Thousand Shipments · 2021-01-15T14:34:07.676Z · LW · GW

Agreed on both comments. Hopefully the pre-print is more clear

Comment by Annapurna (jorge-velez) on Covid 1/14: To Launch a Thousand Shipments · 2021-01-14T20:49:16.272Z · LW · GW

Interesting report on reinfections came out today. 

"PHE scientists working on the study have concluded naturally acquired immunity as a result of past infections provide 83% protection against reinfection, compared to people who have not had the disease before. This appears to last at least for 5 months from first becoming sick."

https://www.gov.uk/government/news/past-covid-19-infection-provides-some-immunity-but-people-may-still-carry-and-transmit-virus?fbclid=IwAR3JeNgUqIa44Wsr8Y-79XVk8PyPNvaSLCUwASqQzAaC7OT4lnBxWu3vDag

Comment by Annapurna (jorge-velez) on Will Donald Trump complete his first term? · 2021-01-09T18:52:17.795Z · LW · GW

Great answer. Thank you. 

I hadn't really thought about Trump resigning, but I don't believe the odds of that happening are anywhere near 20%. 

Comment by Annapurna (jorge-velez) on Covid 1/7: The Fire of a Thousand Suns · 2021-01-07T23:31:57.327Z · LW · GW

Great post as usual. 

I just want to update you that my sister got the first jab in UAE on Tuesday. She's in her late 20s and works from home. Literally last in any vaccine priority list. 

She walked in first thing in the morning, walked out in less than 20 minutes. She will be back on the 26th for her second shot. 

Comment by Annapurna (jorge-velez) on What evidence will tell us about the new strain? How are you updating? · 2021-01-05T23:45:08.441Z · LW · GW

Have you looked at this preprint? 

https://www.medrxiv.org/content/10.1101/2020.12.24.20248834v1

I found it linked from here: https://blogs.sciencemag.org/pipeline/archives/2021/01/04/variants-and-vaccines

Comment by Annapurna (jorge-velez) on Stock market hints for 2021 from past crashes · 2020-12-31T02:46:55.644Z · LW · GW

I don't really understand your second graph. Didn't the S&P 500 Total Return already recover all of its losses since the crash?

Comment by Annapurna (jorge-velez) on What trade should we make if we're all getting the new COVID strain? · 2020-12-28T01:38:56.716Z · LW · GW

Also, the broader monetary policy reaction function is always critical to consider in my opinion. The FOMC would be more likely to extend the weighted-maturity of their asset purchases if it looks like COVID is resurging in an unexpected way. 

 

Wouldn't this make the long long-term treasuries attractive?

Comment by Annapurna (jorge-velez) on What trade should we make if we're all getting the new COVID strain? · 2020-12-27T19:36:43.375Z · LW · GW

This is sound advice. 

Comment by Annapurna (jorge-velez) on What trade should we make if we're all getting the new COVID strain? · 2020-12-27T01:15:23.826Z · LW · GW

And likely ElMonstro does not have the ability to sell naked calls so his only option is to buy puts. 

Comment by Annapurna (jorge-velez) on What trade should we make if we're all getting the new COVID strain? · 2020-12-26T14:13:22.444Z · LW · GW

I was looking at the options chain for VIX, and I found the calls to be quite pricy. We're talking about an at the money call till March selling at a 20% premium. Was the pricing in March similar?

Comment by Annapurna (jorge-velez) on Covid 12/24: We’re F***ed, It’s Over · 2020-12-26T02:05:30.129Z · LW · GW

Can you back this statement with data?

Comment by Annapurna (jorge-velez) on What trade should we make if we're all getting the new COVID strain? · 2020-12-25T22:46:03.806Z · LW · GW

Calls on the VIX are extremely expensive at the moment. So perhaps some of the risk related to the strain is already priced in.

Comment by Annapurna (jorge-velez) on Covid 12/24: We’re F***ed, It’s Over · 2020-12-25T22:12:54.211Z · LW · GW

There's a possibility that it didn't originate in the UK, but it likely originated either in the UK or one of the other handful of countries that have seen significant spikes in infections despite no loosening of restrictions.

Comment by Annapurna (jorge-velez) on Covid 12/24: We’re F***ed, It’s Over · 2020-12-25T16:49:27.857Z · LW · GW

Some possibilities:
- It didn't originate in the UK. It's already widespread in many countries, and the UK just happened to detect it.
- There's actually a bunch of more infectious strains all over the place, but they just haven't been detected. The higher infectiousness has already been impacting the covid case numbers for a while.

 

Looking at daily infections in Western countries, they came down significantly after restrictions were reimposed starting in September. Why is it that only in the UK (and Netherlands + a handful others) are daily infections rising at an alarming rate despite restrictions still in place?

Comment by Annapurna (jorge-velez) on What trade should we make if we're all getting the new COVID strain? · 2020-12-25T15:32:27.496Z · LW · GW

You can assume a strong flight to safety from most market participants. Typical flight to safety trades are:

Long USD

Long Yen

Long US Treasuries (Of mid to long maturities)

Short commodities (Especially Oil)

It is important to note that in March the flight to safety was so extreme that at one point Long USD was the only positive trade. 

EDIT: The trade I decided to do with regards to this situation is Long VIX out of the money calls with expiry in March 2021. 

I am already long USD for quite a bit, and I think there is a decent chance the USD strengthens in the near term. 

Comment by Annapurna (jorge-velez) on Covid 12/24: We’re F***ed, It’s Over · 2020-12-25T14:57:41.007Z · LW · GW

The first time, I made the mistake of not thinking hard enough early enough, or taking enough action. I also didn’t think through the implications, and didn’t do things like buying put options, even though it was obvious. This time, I want to not make those same mistakes. Let’s figure out what actually happens, then act upon it. 

 

I acted in March, and I want to act again. As a former money manager, I know exactly how I would hedge this risk. My current issue is that I am not fully convinced that this issue will lead to weakness in capital markets. 

Let's say we use the US stock market as the hedging tool (an S&P 500 ETF like SPY or VOO). What would need to happen for it to fall a considerable amount (10%+)?

Additional restrictions across the board for a considerable amount of time without appropriate stimulus. 

I don't have the confidence to believe that the statement above will happen. We are about to enter an era of a democratic president, democratic majority in the house of representatives, and a potential tied senate. I am confident that more stimulus will pass if needed.

I am not sure how politically viable it is to enact additional restrictions in Europe / North America. I am sure some majors, governors, heads of state will enact additional restrictions, but I doubt it will be a coordinated effort. Furthermore, I am also not confident the populace will follow said restrictions. 

So at the moment, I am convinced that this is serious, that it will probably cause significantly more loss of life in the next 6 months, but it won't affect capital markets they way COVID-19 did back in March. 

On a personal level, we are increasing our protections towards our elders. Here's to hoping they get vaccinated by the end of February. 

Comment by Annapurna (jorge-velez) on Covid 12/10: Vaccine Approval Day in America · 2020-12-15T15:47:05.416Z · LW · GW

Zvi my sister lives in Dubai and she's booking an appointment. Shes in her late 20s and doesn't work in health care. So they are opening up appointments for regular folks. I also know that it is free for residents of the UAE, not sure if non-residents can get it. 

Comment by Annapurna (jorge-velez) on Covid 12/10: Vaccine Approval Day in America · 2020-12-14T19:17:32.866Z · LW · GW

Zvi, what do you think of The United Arab Emirates opening up vaccination centers for anyone who wants to get the Sinopharm vaccine without phase 3 trial results being published?

https://www.gulftoday.ae/news/2020/12/10/covid-19-vaccine-shots-are-available-all-across-the-uae-find-out-your-nearest-vaccination-centre

Comment by Annapurna (jorge-velez) on Eth2 Staking explained as a Financial Instrument · 2020-12-08T15:21:58.749Z · LW · GW

Currently growth of cryptocurrencies (Including ETH) is solely based on what the market thinks it's valued (The most similar asset to compare it to would be gold). Sadly, the original vision of Satoshi Nakamoto has not come into fruition in any of the major cryptocurrencies. 

The original utility of BTC was to become a medium of exchange. Today, the 'utility' of BTC is to primarily be used as a store of value. 

The move of Ethereum from proof of work to proof of stake fundamentally changes the way we can derive its value. You can break it down the following way:

  1. ETH can still be considered a store of value just like BTC
  2. ETH can be staked to validate transactions and generate income
  3. The development of Sharding, if successful, will allow Ethereum to become a medium of exchange, just like a major currency. 
Comment by Annapurna (jorge-velez) on Covid 12/3: Land of Confusion · 2020-12-04T00:27:12.089Z · LW · GW

"In a remotely sane world, when Covid-19 tests are scarce, the first thing you do is give people antibody tests to confirm they need the vaccine, or at a minimum you could… ask people who have already had the Covid-19 not to get vaccinated? Even if insisting on this is not possible, of course, I would implore anyone who is immune to not try and get vaccinated until there is adequate supply. I don’t even know why they would want to."

If I need a certificate of vaccination to travel, I will fight to get a vaccine. That is, after my entire family gets vaccinated first.

Comment by Annapurna (jorge-velez) on Eth2 Staking explained as a Financial Instrument · 2020-12-02T16:20:10.556Z · LW · GW

Thank you for sharing. It's great to see these services already commit to Eth2 staking. 

I wouldn't call this a secondary market though. This is more Coinbase becoming an intermediary between the customer and the Eth2 staking process. 

A secondary market would be being able to buy and sell validator nodes. I do not think this would happen for two reasons: 

  1. Security. Every validator has a set of keys. A secondary market would imply the sharing of those keys. 
  2. Pricing. A secondary market would imply that the market value of validators (32 ETH) would fluctuate. Why would you sell a validator for lower than 32 ETH (and inversely buy a validator for more than 32 ETH) if the consensus protocol will always allow you to set up a node (and in phase 1.5 and beyond, exit a node) for 32 ETH?
Comment by Annapurna (jorge-velez) on Covid Covid Covid Covid Covid 10/29: All We Ever Talk About · 2020-10-29T17:52:24.032Z · LW · GW

One of my biggest gripes with this whole situation is that I believe that if authorities treated us like adults, the ambiguity (COVID doesn't exist vs Very Serious People culture war) would be significantly mitigated. 

What do I mean? I will use Ontario as a example. 

On September 30th they came up with a modelling update. 

https://files.ontario.ca/moh-fall-prep-modelling-deck-en-2020-09-30.pdf

Skipping to slide 9, I can infer very easily the following:

If we get to 150 COVID-19 patients hospitalized in the ICU, it starts becoming problematic for the health system in the province. If we get to 350, it starts breaking down the health system currently in place. 

OK. Seems simple enough, where are we now?

https://covid-19.ontario.ca/data

As of today 77 people in the province are hospitalized in the ICU. I can also see that the number of COVID-19 ICU patients in August were between 11-30, in September from 12-35, and in October from 36-82. 

Why is it that I had to do some decent Googling to find this information and come up with this conclusion? Why aren't government officials and the media telling us this information daily, so we as a population are aware that we are halfway in ICU hospitalizations for this to start becoming a problem, and thus we can personally adjust our behavior accordingly?

Comment by Annapurna (jorge-velez) on Bet On Biden · 2020-10-25T12:18:42.357Z · LW · GW

Yeah the +EV of this bet is marginal at best. 

Comment by Annapurna (jorge-velez) on Rationalist Town Hall: Pandemic Edition · 2020-10-22T18:22:23.050Z · LW · GW

I would like to ask the panel:

How would you design a study in order to confirm whether or not there are long-term consequences after recovering from COVID-19?

Nothing I have seen so far seems convincing. 

I found this paper on a long term followup of SARS recoveries: https://jamanetwork.com/journals/jamainternalmedicine/fullarticle/415378

Naturally, not enough time has passed to do a similar follow up. 

Comment by Annapurna (jorge-velez) on What are some beautiful, rationalist artworks? · 2020-10-19T03:17:11.063Z · LW · GW

I chose this photograph because it displays one of the most elegant watch movements ever made. Within this movement there is a perpetual calendar complication. 

A perpetual calendar complication is a calendar feature within a watch that accounts for both short months and leap years. If you own a watch with a perpetual calendar complication, it would only have to be adjusted once every 100 years. 

Comment by Annapurna (jorge-velez) on What are some beautiful, rationalist artworks? · 2020-10-19T03:10:09.023Z · LW · GW
The movement of a Patek Philippe Sky Moon Tourbillon Ref. 5002
Comment by Annapurna (jorge-velez) on PredictIt: Presidential Market is Increasingly Wrong · 2020-10-19T02:59:39.704Z · LW · GW

I just did a quick model of the 2016 elections, Clinton's FiveThiryEight prediction model probability of winning versus Clinton's percentage chance of winning based on betting odds for a range of dates. Here are the results:

August 18, 2016

Betting Market odds of winning: 81.82%

538 Prediction model odds of winning: 86.40%

September 26, 2016*

Betting Market odds of winning: 68.25%

538 Prediction model odds of winning: 54.80%

*This was debate night that year

October 25, 2016

Betting Market odds of winning: 84.62%

538 Prediction model odds of winning: 85.00%

November 1, 2016

Betting Market odds of winning: 73.33%

538 Prediction model odds of winning: 71.20%

Comment by Annapurna (jorge-velez) on PredictIt: Presidential Market is Increasingly Wrong · 2020-10-19T01:28:26.481Z · LW · GW

I believe Zvi is arguing that since the betting market hasn't moved much, despite the perdiction odds of Trump winning deteriorating, there is no reason to believe the betting market will make any moves the closer we get to election. The closer we get to election night, assuming the discrepancy stays constant, the bigger the value on the Biden winning / Trump losing bet. 

Comment by Annapurna (jorge-velez) on Covid 10/15: Playtime is Over · 2020-10-18T19:57:04.509Z · LW · GW

I think it's worth noting that the woman that died from a confirmed reinfection was 89 years old and suffering from a rare from of Leukemia.

For future reference, there is a website tracking COVID-19 reinfections. We are up to 24 confirmed reinfections. 

By the way, your series of posts on the subject inspired me to write my own, focused more on those risks that those of us who recovered from COVID-19 face. 

Thank you for the inspiration. 

Comment by Annapurna (jorge-velez) on Covid 9/10: Vitamin D · 2020-10-18T19:43:48.259Z · LW · GW

Great post, and yes, I would be quite angry if the solution to the major hurdle my generation has faced is so supplement D3 daily. 

Anecdotally, I've been supplementing D3 (between 4,000 to 10,000 IU per day, depending on the time of the year) since 2007, my first winter in the northern hemisphere. Having spent my entire life near the equator, moving to place where there was under 10 hours of sunlight per day for months was very miserable. D3 solved that misery. I've also recovered from COVID-19 in 12 days. I know I am just one person, but perhaps D3 helped in my recovery?

Comment by Annapurna (jorge-velez) on Have the lockdowns been worth it? · 2020-10-16T02:52:26.103Z · LW · GW

I read this today and I found it a great resource. Not necessarily and answer to your question, but relevant. 

We all know the success of New Zealand's lock down. This case study explains in detail the steps New Zealand took at a national level to achieve its success. 

Comment by Annapurna (jorge-velez) on Have the lockdowns been worth it? · 2020-10-16T02:48:21.985Z · LW · GW

Lock downs have led to significant decreases in seasonal influenza in the Southern Hemisphere.

Data from Australia

Data from New Zealand

Comment by Annapurna (jorge-velez) on Covid 10/1: The Long Haul · 2020-10-14T03:23:31.790Z · LW · GW

As someone who is recovering from COVID-19, my interest on the subject has naturally moved towards long term consequences of the virus and reinfection risk. 

I agree with you that there isn't enough data out there to even get me interested that there are indeed long term consequences of the virus. 

With regards to reinfections, at the moment I believe that the few reinfections reported are anomalies. The Very Serious People are focusing on this reinfection case study: https://www.thelancet.com/journals/laninf/article/PIIS1473-3099(20)30764-7/fulltext

I also found a website that tracks reinfections: https://bnonews.com/index.php/2020/08/covid-19-reinfection-tracker/

If you believe the website, there have been 23 reinfections confirmed out of 30+ million confirmed recoveries. I think the odds are pointing towards there being some sort of immunity. 

Comment by Annapurna (jorge-velez) on Covid 10/8: October Surprise · 2020-10-12T15:06:00.569Z · LW · GW

Thank you for the weekly impartial analysis on this subject. 

Comment by Annapurna (jorge-velez) on What are your greatest one-shot life improvements? · 2020-07-19T22:55:51.383Z · LW · GW

Flossing in the shower.

I went from seldom flossing to flossing every single day, improving my gum health significantly.