Recent content by Durian

We want to do some day trading purely on futures, we are using soc gen right now but I think they have nothing for us. Just not sure where to start looking for info.

Hi all, Boss asked me to find out about black box trading, I guess he and the company wants to develop something for trading futures. Any directions pls? Thanks

Nazz, can you tell me how to do teh delta to dollar value thing if for example, HSBC stock options and hedging with HSI index futures? The correlation should be very strong here. Thanks

Hi all, Would be most grateful if someone here can enlighten me on this. I have long several stock options from the same underlying index, and would like to use the index's futures to hedge against the deltas on the stock options due to liquidity issues, ignoring correlation for now...

Oh and I am a little baffled on the Greeks too, since the stocks selected for the replication accounts for about 50% of the index, not sure what should be done to adjust this or will it just be a matter of trading double to make the replicated basket equating to 100% of the index.

Yes, I realize that, thanks for the tip

He wants me to identify some of the larger and more liquid constituent stock options for the purpose of replicating the stock index's volatility for dispersion trading. I am having trouble getting the resource that wil give me an idea of how to treat the volatility in relation to the index...

Hi All, Could someone recommend some resources to me, website or books, for my current task at work. My boss had asked me to figure out a way to replicate the HSI index, and trading strategies on the volatilities of each stock in the replicated index. Any help is fully appreciated.