Recent content by josephsmith88

Hi Mike, Can you tell me how your software calculates the leverage %? on notional of contracts? J

they lost 6% in Oct 2008, but despite that month's loss, they still make 12% in 2008.

it appears fly is very close its risk/reward ratio.

yes, someone guessed right. Someone referred me this fund for potential investment, so I am about to check them out. I think their risk is very much like short straddle/strangle(combination) positions, but what amazes me is their stress test sheet that I didn't manage to attach it the first...

Hi Option Experts!! I've been looking into a volatility arbitrage fund and try to figure out its strategy. Unlike many other short vol strategy, they have decent return profile (at least didn't blow up in 2008). So I am trying to dig deep into it. They trade SPX only. I am posting two files...