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McElligott Revisits The Thanksgiving Turkey Parable
"We all should understand that generic / naked vol-selling is the proverbial 'picking up pennies in front of a steamroller' trade," Nomura's Charlie McElligott wrote Monday. "Or, alternatively, Taleb's 'life of a Thanksgiving turkey' parable, where a smooth glide path meets an unexpected outcome."
McElligott was in the process of reminding traders that his penchant for highlighting short-term Sharpes for various vol-selling strategies is quasi-satirical and instigative on purpose.
The focus on
