Recent content by meanreversion

I thought short vol was the ultimate high Sharpe strategy, a la LTCM ... ? The funds and punters who've made the most money from options over the years are those who've taken long vol positions, whether it was buying IDR vol at 3% just before the Asia crisis, or CDS just before sub-prime (a...

Are these the same institutional managers who lost truckloads when the market collapsed in '08? I'm not disputing that occasionally end users purchase options for protection, that is fairly obvious. However, to imply that these options are always overpriced is wrong. BUT in the absence of a...

It's like I said - anyone who convinces themselves that a systematic short vol strategy is profitable will not be persuaded otherwise.. no amount of reason or logic will permeate. In other words, your detailed and rational explanation will be ignored!

Who is consistently buying and losing money on S&P options? It's odd, when you think that the most obvious thing to do with options is sell them, and thus "collect" the premium. When you say "risk premium", do you mean that implied vol is consistently higher than realised turns out to be...

Would you care to give us an example of either case?

If you're bearish on vol and turn out to be right, then of course, that is a viable strategy. By "selling options", I am referring to the notion that systematically selling options over time is profitable simply by offsetting delta risk through hedging with the underlying - this is not a...

It is now my firm belief that if anyone decides that selling options is a viable strategy, they cannot be convinced otherwise. Thus this thread is fairly pointless... Steffan, go off and sell options and see what you think.

The major differences between you and an insurance company are 1. they have a vast number of positions, thereby achieving a (mostly) balanced portfolio effect 2. they sell insurance at a decent clip above the offer price - this is their built-in profit margin

Well, rather than putting the burden of proof on me, think about it from another angle.. In order for your strategy to work in the long run, you require that options are systematically overpriced. Why do you think the market would always overprice options, and do you not think that, if this...

Are you Howard Cohodas in disguise?

The price of an option reflects the anticipated cost of hedging it. Thus there is no merit in your strategy whatsoever, UNLESS you believe that options are systematically overpriced and that indeed turns out to be the case. If we accept that options are, for the most part, efficiently and...

The other issue which I don't believe has been mentioned is the quality of data that Julian is using. I've not used NT, but I had eSignal for a few months before I realised that their FX tick data is completely unusable. The number of rogue prints, even in something like EUR/USD, was...

I never look at the equity curve for backtests as the eye always sees what it wants to. If you're excited about the system, you'll only see the inexorable march higher in equity, ignoring the nasty looking pullbacks and the occasional 1yr+ drawdown periods. I've looked at Kelly before, and...

I run a robot using Amibroker to control IB. The data feed itself comes from IB into Amibroker, so it's neat (2 systems instead of 3). This is a very low cost solution - Amibroker is under $300 and if you get your data from IB then that's free.

I'm having compatibility issues using Amibroker 5.3 with TWS 907. I've installed the latest Amibroker IB controller (1.3.8) but am still unable to ModifyOrder s. I'm looking to downgrade to TWS 904 - any ideas on where I can get this? IB have said it's not on their website. Thanks