Recent content by Real Money

The Wiener process is the one used in quant finance, based on Brownian motion. This is an example of how its "self-similar" just like a fractal. -Wikipedia

MMT is hiding behind a dishonest accounting of inflation, as well as a complete denial of responsibility for the spillover effects causing massive price distortions in domestic credit markets. LOL that this retard (book promoter) says debts aren't real. Tell that to Japan. Aggressive deficits...

This is a good question. First, you can definitely use volumes and VWAP, and IMO, it's even more effective than when you use it on the index/equity markets sometimes. [example] Depending on your familiarity and experience with CME, and your ability to chart futures spreads, you can get...

I would imagine you would need a fairly robust set of metrics from multiple datas, and likely, a non-trivial understanding of probability theory to do this well. Inter-market will be involved, and you'll probably have to use some proxies for hard to get data.

The rate spreads with the performance bond offsets (duration spreads), i.e. 2s/10s, 5s/10s and the NOB/BOB butterflies have even crazier leverage. You can put on some fucking size with that shit. (Note: I mean gross exposure here -- net exposure may actually be lower than higher margined...

The quants always say the lit exchanges are the most expensive place to trade. Maybe this is part of an effort to reduce costs vis-à-vis dark pool economics.

Does this mean NYSE, NASDAQ, etc. will have to quote half-cent on stuff like XLK SPY QQQ UBT TMF TLT and FAANG stocks? (mag7) I would love to see tighter markets on sector ETFs and long term bonds.

One thing to think about, if I may. Most participants are buying/selling ES as a hedge. Their portfolio has a beta, and they're in this trade to manage it. Nooby retails seem to forget that. They seem to think that everyone buys in order to sell at the bid/ask. Or even, that large groups...

The funny thing is, yea a nominal rate at 5% may arguably be "restrictive", but most of the curve is far below that. Wildly inverted yield curve and shit guys. I would love it if Powell fucks up again.

For me doesn't matter. I don't really fuck with options either, but you don't have to. To put things simply, the mega cap stocks are all hedged in vol, and for simplicity, you can just think of "vol" as options prices. Higher implied vol means more expensive options. Now, traders will short...

You can go to programtrading.com to read about US listed market algos, or you can check out mrtopstep.com or you can go check out something like Nanex, LLC and its founder. Each one is different. Traders on ET should know this stuff, but they don't.

Interesting. I did the research for this a while ago. This is a model for pricing the difference based on the risk-free rate and expected dividend. The basis actually contains an embedded floating interest rate.

First idea was a complex example involving lots of charts and explanations, but then I got a better one. Vol is usually trending, but it's always range bound as well, to some degree, even intraday. People say vol is "mean reverting" even...

One man's trend is another man's range.

I always chart the contract value with that software. Maybe you didn't think about this, but the scripts running and deriving the overlay from the spread, have multipliers hard coded in the logic. Sooo, that's one reason.