Recent content by proption

there is no free money doing this as in theory the stock will drop by the div amount and so will the value of the put on the ex div day. are you thinking of the formula for when it is profitable to early exercise ITM options?

The benefits of order flow are a little more subtle than that. Imagine a rising market and you have been hit on the bid. You immediately have the bid ask spread as a cushion (stop loss) for your long if you know there are other orders there to buy too.

Not sure whether the original question was after such an answer, but I'll dip my toe in anyway. On a different note, I would say the key difference between a price-maker (market maker (MM)) and price-taker (prop trader(PT)) is that the MM has order flow and benefits from the bid ask spread -...

Along with Taleb's book you should read Niederhoffer's latest: Practical Speculation. It will open your eyes.

Anyone out there care to define a good trader in terms of annual p/l as a multiple of VaR?

Hi Anyone know if there is an 'accepted' format for calculating the Sharpe Ratio if you work on a prop desk at an investment bank? It is not straight forward to know what the starting capital is, like it would be fora hedge fund. Does one relate the vol of returns to either 1. your VaR...