Recent content by stevenk85

Do you have a guess how much of your P/L in this journal will be from index vs SN vol ? I would assume the bigger edge is in index, no?

Got it, thanks! Sounds like it's more of a holistic, constructing favourable risk-reward situations kind of process than a data-driven forecasting one. If not too much to ask, how much of what you do could be automated and how much is based on instinct/feel?

First of, thanks for doing this journal, as well as all the others under your various nicks that you have done over time. I have learned a ton from them. I'm not sure I understand this answer however. Using corr between vol and price, skew and price or some such still requires you to forecast...

Would these be in single name or index vol? I presume the latter since the bid/ask in single names would probably make a high turnover strategy unprofitable?