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