Recent content by jmsco

Thanks for the reply/replies atticus. A calendar spread as you described would have the greek characteristics that I want. Has anyone seen studies on the es return versus change in IV or VIX on a daily or intraday basis. How has this relationship changed over time or has it been stable...

In my original post I meant to say I was very short vega. Mr. Finch, would you elaborate on your suggestion to go long the bear-delta time spread? I want to make sure I have the jargon correct. When you say my trade converged into a short strangle are talking towards expiration(30+ days)...

I am currently having trouble putting together an option/futures position whose P&L outcome matches the desired position traits. I am looking to have an overall position that initially is positive theta, delta negative, with increasing positive vega as price declines and ideally decreasing...

Atticus, you're right. I meant long theta / short gamma. My positions tend to look like a strangle - covered call/put combination. If bullish: Short 2 otm calls and 1 otm put, long the underlying. Reverse for bearish trade. I'm looking for a sort of convergence or retracement fading...

What futures contracts have the most option liquidity? I know ES is very liquid and TY has been good. I swing trade and usually I have two options legs and then a position in the underlying I don't like legging into a position and having to wait for leg A to fill before knowing if it makes...

Atticus, you know I don't speak spanish. English please. preferably slowly with small words and color illustrations. How stationary is the relationship between the IV surface and the underlying? If not very, then how does one estimate the parameters for the relationship? Obviously, over...

Thanks for the succinct reply, NazzDack. Today was a good day to be long deltas and short Vol in the ES. I'll have to go back and look at those IV relationships as well as the intermarket relationships. Do most option traders take into account the dependence relationship between price...

In looking at the ES there is a significant relationship between the ES return and the change in the VIX level (No noble prize in that statement). As ES moves up the Vix generally moves down and as the ES plunges downward the VIX spikes. My question is what is the relationship between the IV...

"Carve out?" What would be a good choice for a program to do the number crunching. I first stared using Excel, because it could do a fair amount of number crunching. I do agree that I need to keep the raw data in a separate file from the file or program that does the number crunching. The...

I'm trying to analyze a mechanical trading system I developed using Excel, but I'm beginning to think XL may not be the best program to use. The the size of the file is approaching 30mb and contains over 25 worksheets. This represents the long side trades only. I had to put the short trades...

I don't know what the SPX will do going forward. But I do know what the MA will do if SPX remains at 881.27 for the next 10 days based on the old data that is leaving the ma equation each day. In this case the 13 day MA will increase by $546.30 per thousand shares each day on average. Thus...