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It’s a well know source of alpha, which has been gradually disappearing over the last 5 years or so despite a high number of IPOs (SPACs are partly to blame). You, obviously, have curve-fit the parameters quite a bit, I’d expect it perform much worse in real life but you know this already.

Yup, I got a totally different message from your original post. Everything you said is on-point. Mental game can be the main marginal contributor to traders performance once every low (and medium) hanging fruit is already picked. It's an optimization to an already-positive expectation strategy...

I used to ride a bike in NYC, it's a coin toss no matter how good and defensive a rider you are. Most motorcyclists underestimate the risks and many of them tend to do poorly in the long run. Fatality rates in the US fluctuate around 20 thousand deaths per million miles of travel. To quote my...

It’s also a bit more complicated since it excludes rolls, EFPs, blocks and BTIC

That’s 20% decline on a variable that does not go up or down that much in any given decade. It’s pretty dramatic if you ask me.

True, you’re right

I also assume that they are using some of the interest right?

Yeah, for sure! But for now Trump needs train in MMA and lift weights, so he can avoid gang rape by a pack of convicts in the Rikers bathroom.

Poopys click-bait is like crack - first time it’s free :)

Cancel culture is someone getting booted off some site for taking a non-consensus view on an ambiguous topic. For example, if I posed on a car forum that Honda Civic is the best care ever made and the locals banned me for "dumb opinions", that would be a version of cancel culture. However...

Was there any updates on this? They had both options on futures and a new (yet another) iteration of variance futures in the pipeline but suddenly went all quiet

https://data.worldbank.org/indicator/SP.DYN.TFRT.IN?view=map I know literacy is not a strong suit for an average ETer, but this particular information was literally a single google search away. Birth rates have been declining globally for the last 80 years, globally, in population-weighted...

I am half-expecting GME to do a secondary this very morning while the stock is up LOL

Just to add to all the noise here. 1. If I had an option, I’d have shorted DJT when it was trading in the 60s. Even with the borrow rates approaching crazy levels, it would have printed big-time. It’s still a short IMHO. 2. As a Republican, I am glad this happened. The dude got convicted for...

How would you think about something that has the same underlying but different structuring? For example, would you consider excess return and total return futures separately?

I wonder if FLEX options are gonna be electronic RFQ. For example, if I want XLE Nov 6th ATM call, European, would I be able to quote that directly through API. If yes, I wonder what pricing would look like

It’s definitely path dependent. If you’re going through a period of positive autocorrelation, leveraged ETFs will actually show positive expectation and vice versa

Yeah, that's correct. I just think gamma implies some sort of convexity which this thing does not have.

The "decay" comes from several sources (a) locking in mean-reversion which tends to be higher in more volatile markets. (b) hefty fees, which will probably be reflected in the borrow rates (c) slippage at the close - usually these things have a pre-close observation window (d) impact on the...

I am confused why either of you think that these things have any "gamma". It's just an excess return index, so it's a martingale by definition.