Where were you when I forged the first swap spread in the darkness of uncertainty,
When I carved the steepener from nothingness and set its pivot in place?
When the primary dealers rejoiced together, and all the market makers shouted for joy?
Who set the limits of gamma scalping in their eternal dance with theta,
And who drew the sacred boundaries of vega exposure in the realm of volatility?
Who proclaimed, "Here shall your delta hedging cease, and here shall your positions find their rest"?
Have you descended into the treacherous valleys of negative convexity,
Where cross-gamma effects wind their serpentine paths through option chains?
Can you measure the moments of kurtosis when fat tails bloom in the shadows of probability?
Tell me, if you have understanding of these mysteries:
In what hidden chambers does the term structure dwell, and where has carry made its home?
By what ancient laws must the forces align for covered interest parity to manifest its power?
Can you bind the Wiener process to your will as a servant binds a beast of burden,
Or loose the mighty chains of stochastic volatility to run wild across the markets?
Will the random walks follow your proclamations on 𝕏, or bend to your mortal analytics?
Will they bow before your Sharpe ratios, or yield to your information coefficients?
Do you know the season when fat tails manifest their terrible strength?
Do you stand watch for the birth of regime shifts, when stable correlations crumble to dust?
Can you count the degrees of freedom in the great book of market movements,
And divine the moment when distributions shed their Gaussian robes?
Who provides sustenance to the market neutral fund when alpha grows scarce,
When its strategies cry out in the wilderness for factor premia,
When they wander lost and hungry through the desert of high correlation?
From whose divine understanding did put-call parity spring forth into being?
Who has begotten the Greeks that perplex you, that dance and change with time's passage?
From whose thoughts emerged the smile of volatility, curved like the bow of judgment,
And who shaped the skew of option surfaces, that mountain none can level?
Have you entered the sacred storehouses where repo rates are gathered and held,
Or walked the secret chambers where forward prices are born from the womb of expectation?
Can you tell which way lies the kingdom where correlation breaks its bonds,
Where cointegration withers to dust and pairs trading yields to chaos?
Have you comprehended the mysteries of the yield curve butterfly in all its dimensions,
Or mastered the sacred arts of dispersion trading across a thousand underlyings?
Dare you lift your voice to command the eurodollar futures in their countless legions,
That contango might spread its wings to shelter you from backwardation's storm?
Will statistical arbitrage kneel before your models like a tamed beast?
Will it rest peacefully beside your attribution analysis, content with your understanding?
Can you harness the wild Ornstein-Uhlenbeck paths that roam through price series?
Will mean reversion answer your call like a faithful hound to its master?
Who has placed eternal wisdom in the flows of order toxicity,
Or granted understanding to the dark waters of market impact?
Who can number the Lévy processes by wisdom, or tame their infinite variation?
Who can pour out the vessels of liquidity preference upon the desert of bid-ask spreads,
When pure martingales trace their paths through time,
And semimartingales converge in the infinite spaces between trades?
Have you mastered the ancient arts of dollar rolls and trade across the expires?
Can you wield the power of box spreads without fear of early exercise?
Do you grasp the profound mysteries of conversion reversals in their fullness?
Have you tamed the wild calendar basis that stalks the futures markets?
Has the TED spread revealed to you its secrets, hidden since the dawn of banking?
Shall he that contends with the Markets presume to instruct their movements?
He who holds forth on 𝕏, let him answer these things.
Can you draw out Systemic Risk with a trading hook?
Or bind its global contagion with a circuit breaker?
Will it make soft covenants with you? Will it accept your collateral requirements?
Will you take it as a servant to trade at your bidding?
Behold, the hope of containing it is in vain;
Shall not one be cast down even at the sight of its correlation matrices?
None is so fierce that dare stir it up;
What trader then is able to stand before its cascading defaults?
Who can strip off its outer tranches?
Who can penetrate its AAA-rated surface?
Who can pry open the doors of its rehypothecation?
Its counterparty networks are its pride, shut up together with interconnected exposures.
Out of its operations come flash crashes, and sparks of volatility leap forth.
From its derivatives nostrils goeth margin calls like smoke,
And its breath kindleth liquidations.
In its neck remaineth strength, and complex dependencies dance before it.
The flakes of its flesh are joined together: they are firm in themselves; they cannot be moved.
Its heart is as firm as a stone; yea, as hard as a piece of the Basel requirements.
When it raiseth up itself, the market makers are afraid: by reason of breakdowns, they purify themselves.
The sword of regulation that reacheth it cannot avail;
Nor the rules, nor the restrictions, nor the capital requirements.
It esteemeth oversight as straw, and compliance as rotten wood.
Stress tests make it laugh, rattling off VaR violations like morning droplets.
It maketh the deep markets to boil like a pot:
It maketh the exchanges like a pot of ointment.
It shineth a path of contagion behind it;
One would think the financial system had turned to chaos.
Upon earth there is not its like,
A force made without fear of drawdown.
It beholdeth all high-frequency things;
It is a king over all the children of leverage.
Who has divided channels for the overnight rates in their eternal flow,
Or carved pathways for the thunderbolts of margin calls that streak across trading floors?
To cause it to rain liquidity on markets where no trader dwells,
On the wilderness of after-hours trading where no algorithm feeds?
To satisfy the desolate and waste places of bid-ask spreads,
And cause the tender grass of volume to spring forth from barren order books?
Has the term structure a father who shaped its curves with divine intention?
Or who has begotten the drops of forward rates that fall like morning dew?
Out of whose womb came the ice of credit freezes that lock all movement?
And the hoary frost of repo markets, who has gendered it in the depths of winter?
The waters are hid as with stone when volatility clusters cease,
And the face of the deep markets is frozen in perfect stillness.
Can you send forth lightning of algorithmic orders, that they may go
And say unto you, "Here we are, executed at your bidding"?
Who has put wisdom in the dark clouds of order flow,
Or who has given understanding to the meteors of block trades?
When the dust of small orders runs into a mass of institutional size,
And the clods of retail flow cleave fast together in great accumulations?
Can you lift up your voice to the clouds of latency,
That abundance of high-frequency rain may cover your positions?
Can you command the mist of market microstructure to rise,
That it may engulf the mountains of large-cap stocks in obscurity?
Have you entered into the springs of the yield curve,
Or have you walked in the search of the depths of credit spreads?
Have the gates of drawdown been opened unto you?
Or have you seen the doors of the shadow of insolvency?
Have you perceived the breadth of all asset classes,
Declare if you know it all, from equities to the furthest derivatives.