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May I ask on qf.se the following question:

  • "How to be an Option Market Maker (on illiquid underlyings)?"

Should I ask this here or just ask directly on qf.se? Maybe this is even not supposed to be asked here.

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I'm just not sure how someone could answer this, at least the way it's worded. Are you asking for career advice? Strategy ideas?

You could ask about some of the mechanisms employed, like how to get the borrow on the underlying. But that's just going to get a broad answer with a conclusion of "talk to your broker".

However you ask this, you'll need to be very specific about what kind of answer you're looking for.

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In general, how-to questions are certainly allowed. However, as it stands, your question sounds very vague. Are you interested in alternatives to ordinary delta-hedging, given that the underlying is too illiquid? Are you interested in how to place quotes in the marketplace? Are you interested in what sort of technology or capital you will need to pull this off? All of these could potentially be valid and excellent questions, provided you are specific in your request and provide a reasonable amount of background information. Garbage in, garbage out. Put in the effort in writing the question and you will be rewarded with a better answer.

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  • $\begingroup$ Thank you for your answer, Tal. I'll probably ask my question later. Currently I have found a related question and am reading the references therein. I will be more precise. I primarily wonder about how I'd arrive at a price if I was the guy with the only quotes for a new option product (vanilla, but not traded much). $\endgroup$ – Konsta Jul 13 '12 at 19:04

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