Recent content by Scottsdale

I re-posted this at the end of a very extensive discussion of calendars spreads. The moderator may feel free to delete this.

When a long gamma strategy is being used; ie a short calendar, long straddle, or short butterfly what's the minimum ratio of gamma over theta that you guys are willing to accept? Also, with respect to the short calendar, what's the minimum ratio of short vega over theta that you are looking for?

When a long gamma strategy is being used; ie a short calendar, long straddle, or short butterfly what's the minimum ratio of gamma over theta that you guys are willing to accept? Also, with respect to the short calendar, what's the minimum ratio of short vega over theta that you are looking for?

Granted you normally get farther by talking to the wall, but has anyone discussed this issue with NYSE market surveillance?

The edge I can gain over a machine is achieved when I figure out what that machine is reacting to. A simple example was trading the large cap nasdaq stocks off of the S&P and NDX futures back in the old SOES and SelectNet days. Because I knew that a huge amount of index arb was being done, I...

Idiot price wars is one of the best descriptions of the nasdaq that I've heard! On the other hand, this phenomenon has become such a dominant force in the market, that I sometimes feel like an idiot for not making more of an effort to exploit it.

Mean reversion may be profitable the vast majority of the time, but it only takes one crazy day to negate many slightly profitable mean reverting days. This is especially true in the nasdaq stocks with small daily ranges, and .01 spreads. Access to order flow information is by far the best...

I haven't traded the nasdaq since the pre-supersoes/supermontage days. On the NYSE I read the tape and open book for clues about relative strength or weakness of the stock relative to the sector and overall market. I try to step in front of size early in a move, and fade it when the move...

It seems like more algorithmic market making is taking place on the Nasdaq, NYSE, and futures exchanges than ever before. Seeing as how algorithmic trading is reactive rather than proactive, a sharp human trader should be able to pick up on some variables that the algorithms are triggering off...