×

Where Wall Street goes to play

When I was 25 and working at Morgan Stanley, I remember being at a holiday party. I was looking across the dance floor at a group of traders, a generation above me. They were tapping each other's beer to make foam shoot out of the bottle. I said to my friend sitting next to me, "If I'm ever that 35-year-old who never grows up, shoot me!"

Fast forward 10 years…

The “buy side” fish: Turney Duff and his 70 lb. Sailfish.
The “buy side” fish: Turney Duff and his 70 lb. Sailfish.

Catch Turney Duff on CNBC's "The Filthy Rich Guide," a show about how the .00001 percent spend their money. The show airs Wednesdays at 10pm ET.

The plane touched down in San Jose, Costa Rica, in the late morning. After the usual baggage-claim torture, three of us smush into the back of a taxi. We're heading to Jaco. My friends Rex and John and I are meeting a bunch of female Wall Streeters for four days—just a little getaway. Ninety minutes later we hop out of the cab and head straight to the swimming pool. We'll check in later. A 3-on-3 volleyball game is center stage in the shallow end as we walk up. Umbrella drinks are handed to us; we're still clad in our February New York City clothes. Then out of nowhere my friend John is bear hugged and tossed into the pool. It's going to be that kind of trip.

Read MoreFilthy rich! 10 outrageous stories of Wall Street excess

"You've got 5 minutes until the vans get here," one of the girls shouts to us.

Thirty minutes later, I'm hang gliding, soaring over incredible landscape. We were like my 9-year-old daughter and her friends trying to get in line for the roller coaster. I was first, but I worked on the buy side, and the client always goes first. Afterwards, on the way back to the resort, we're all giggling like school girls in the back of the van.

Tonight, there's a cocktail party and dinner, we might even work in a game of "I Never" or "Truth or Dare" if the evening starts slow. And from that point, we're free to do whatever we want. Some guys are heading over to the infamous Beatle Bar; rumor is that every woman in the place is on the clock. Others are planning on getting a good night's sleep because we have a full day tomorrow.

Breakfast. Pool. Beach. Lunch. Pool. Beach…

Read MoreThe 12 types of people on Wall Street

Halfway through my massage in the spa, I'm thinking about our next activity. The trip is centered on chartering a 70-foot fishing boat; the world's fastest of its kind. I used to fish growing up in Maine, but it's been a while. We also need to make time for zip-lining in the rain forest, snorkeling and diving – and, of course, the nightlife.

It's like Costa Rica has become our own private theme park.

The next day we're on the water by 6 a.m., which means I got two hours sleep — and what sleep on this trip means is me staring at the ceiling for two hours. The boat cruises out to sea for a few hours as the captain guides us to his favorite fishing spot.

I can't claim any special skill or technique, but I was the guy on the boat who landed the big one. It feels as if Moby Dick is on my line. "YOU GUYS," I scream. "I got something…" It's like Christmas Eve. I know a present is coming, but I don't know what. After about 45 minutes of reeling it in by myself, I pull the 70-lb. Sailfish (it looks like a Marlin) into the boat.

Read MoreRidiculously extravagant purchasesof the filthy rich

On Wall Street, where they spend more on vacation than some people's annual salaries, it's possible to live out those childhood fantasies of being an astronaut or a race-car driver in an indulgent grown-up reality.

Here are some of the daftest Wall Street playgrounds, where you never have to grow up:

Basketball camp at Duke. Every year, Duke Basketball Coach Mike Krzyzewski conducts a fantasy camp for five days. And you could fill a private 737 jet with the amount of finance guys who attend. For a five-foot-ten white guy working on Wall Street—it's a dream. And for a $10,000 tuition fee, it can be a reality. But don't expect to see too many dunks.

Porsche driving school. Most traders only drive their Porsche on the expressway to the Hamptons. At the Porsche Sport Driving School in Alabama, their inner child will be screaming "Faster! Faster!" as they put it to the test on a world-class race track. Packages range from $1,800 for a one-day course to $6,000 for a three-day competitive driving course.

Want to see how fast your Porsche can go? Porsche Sport Driving School
Source: Porsche Driving School
Want to see how fast your Porsche can go? Porsche Sport Driving School

Surf camp. Some traders secretly wish they were surfers — blame it on the movie "Point Break." But anyone can go to surf camp. At Witch's Rock Surf Camp in Tamarindo, Costa Rica, you can reserve the whole campsite for your crew. You'll also need to rent a beachfront house with a chef, cleaning ladies and a butler to get the full experience. "Brah, can you pass the caviar?"

African safari. The hedge funders call &Beyond when they want to go on an expedition: four days in the bush, four days in Ngorongoro Crater (It might as well be the Eighth Wonder of the World) and end the trip at Memba Island off of Tanzania. But this is how Wall Street roughs it: Bunked up in fortified tents with chandeliers, sinks, bathrooms and king beds — completely in the wild. With 10 private safaris all day every day, there's no wait or schedule time. You have a tribe at your disposal to cook, safari and hunt. The trip is complete when you catch an early morning kill of an impala from a slew of lions that sit happily and chow down. It's like watching a novice sales trader trying to cover a hedge fund.

This is how Wall Street roughs it on safari? Ngorongoro Crater Lodge, Tanzania (&Beyond)
Source: &BEYOND Ngorongoro Crater Lodge
This is how Wall Street roughs it on safari? Ngorongoro Crater Lodge, Tanzania (&Beyond)

Sundance. One of the more popular Wall Street playgrounds is Park City, Utah. Traders go to party, ski and occasionally watch movies. It's like recess and Wall Street's sister school "Hollywood" is invited. Last time I went, we rented the house that Matt Damon, Ben Affleck and J-Lo occupied the prior year during "Project Greenlight." It got out of control real quick. I hit a tree on my first run down the mountain and my friend accidently drove his jeep off a 10-foot cliff. God, it was a great week.

Read MoreWant that year-end bonus? Read this

Astronauts, actors and fighter pilots … oh my! There's always a silent auction at every Wall Street charity event. It's like the gift shop at Disneyland — you have to get something. Companies like Polsky Sports & Entertainment offer unique experiences and signed memorabilia to the highest bidders. "Top Gun" fan? Bidding to be a fighter pilot for a day starts at $6k. The Astronaut Training Experience (ATX) at Kennedy Space Center starts at $10k; you get to wear the suit AND the highly strengthened polycarbonate helmet. Or maybe you just want a Jimmy Page-signed guitar — just make sure you bring your checkbook.

Lest you think it's all for the men, there are lady fantasy experiences, too. One of the sexier items usually up for bid at Wall Street auctions is the Hollywood dream. The most heated battle I've ever seen was between two wives of hedge-fund managers. They were trying to outbid each other to be an extra on the set of "Sex & the City" and hang out with the cast. I think, deep down, both women believed the only reason they weren't famous yet was because they hadn't been discovered. This was their chance.

Commentary by Turney Duff, a former trader at the hedge fund Galleon Group. Duff chronicled the spectacular rise and fall of his career on Wall Street in the book, "The Buy Side," and is currently working on his second book, a Wall Street novel. He is also featured on the show, "The Filthy Rich Guide," which airs Wednesdays at 10pm ET on CNBC. Follow him on Twitter @turneyduff.