Recent content by AlphaTango

It happened for at least 8 different underlying stocks and there were no splits etc. in the last 12 months.

Thanks rb7 and others for taking the time to reply. It was on US mid to large cap stocks (i.e. >=$2bn market cap). The trade-log for off-tick fills state venues like 'NASDAQOM', 'NASDAQBX + 1', 'BATS', 'PSE + 1' What puzzled me was that unlike options on indices and futures it let me place...

Hi all, I've traded single name options for the very first time recently(been only involved in index before). When placing a 'non-standard'(i.e. not a multiple of 0.05) bid inside the displayed market on Interactive Brokers, my bid never shows up on the screen. I use 'smart' routing with...

Do you happen to have the code in EasyLanguage or perhaps the basic premise in English?

Thanks for taking the time Guru! You've certainly given me some food for thought. What's "skewed conversion" -re-investing some risk-free/treasury income in paying premium? I've looked at #1 in the past but the margin usage (for ratio spreads on back-burner) away from long theta strategies...

If you held SPX Feb'18 1450/1400p from 26th Jan through 9th Feb 2018. You made $1000 on 50x100 contracts and that's before slippage and commissions. What's the upper limit on the sizes that you can trade in such strikes in ES/SPX?

These (Oct & Nov'18 1400-1500p) are ~0 delta ! What's the point in having these?

cheers oldmonk.

Thanks Srinir. I'm assuming that's in delta 1 space. What's your experience using trend following in options? E.g. would you bias your flies in the direction of trend?

Has anyone had any success with strategies that have a positive downside exposure(to events like Aug'15, Jan'16 , Feb'18 etc.) and simultaneously have a net positive long term expectancy?

No pressure => No Diamonds :)

Does "Corr(new vs. existing)" here include the sign (rather than the absolute value) i.e. any negatively correlated new strategy will always get added to the portfolio? Also, what should be the optimal weights for the new portfolio? (I've so far looked at but I'm not too sure about brute-force...

Greetings to all, If I were to construct a portfolio and choose two of three strategies say S1 (sharpe ratio 2.7); S2 (S.R. 1.6) & S3 (S.R. 2.2). Equally weighted S1&S2 has S.R. 3.2 while S1&S3 has 3.6 Would you ever chose S2(uncorrelated) over S3(small -ve correl) to go with S1 in a...