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You can get month-to-date performance by looking here: http://www.barclayhedge.com/ Newedge CTA Index, -2.3% MTD. Morningstar Long/Short Commodity Index, -0.62% MTD.

You can implement your "position dead man switch" via the Rithmic API with your own application running independently. I don't know that they need to get involved. That specific error scenario isn't a concern at all for me. I'm more interested in more refined risk control, preferably at the...

Hmm, I'd be interested what background you have in these issues. You make pretty strong statements. I do have my fund attorney looking over these issues as well. Some of what you state is clearly overstated, however. Electronic trading risk (specifically mentioning things like orders...

Er... not limited abilities. Limited liability.

I'm not convinced there isn't hope. For example, maybe I'll establish a separate LLC structure which owns/develops/manages/maintains the software. The general partner could license the software for use in the context of a specific fund, with limited abilities. That way, my automation...

Hi, Anyone out there running a fund use auto-trading? Do you add a special risk disclosure in your docs discussing auto-trading? Or, has anyone seen such disclosures in any other context? I'm working on docs for a commodity pool, which uses auto-trading. I'm much more concerned about...

Only reason I can think of is margin. Oh, and I guess purely in theory, rho... since if interest rates start to go through the roof and we hit hyperinflation, you better do something with your cash sale proceeds.

Any thoughts on Hong Kong? I'd think it's largely comparable to Singapore.

There are also a number of mutual funds (and I believe even ETFs) that implement a covered-call only strategy.

I'm sure MF clears them. I got sort of a mixed answer from Advantage... I believe they're a clearing member of ICE Europe, so you'd think so.

Vision provides margin number for each account, not individual position. If you're a CTA doing managed accounts, you probably have to do initial maintenance, since you'll be held to that number. I'm doing a hedge fund structured as a CPO, so the margin/equity number is just a reference I'll...

By the way, I've been researching the original question, and apparently it's not a big deal. At least, the NFA documents suggest it's legal to make a "leverage" change, and to then show results as pro-forma. I say this without having actually gone through the NFA approval process yet...

I believe this is on page 8, the section where they're discussing the proof of their theorem, and the context of the proof.

hlpsp, The paper talks at length about delta-hedging. If you've looked at how Black-Scholes is derived (or at least one of the more common ways, and the only one that I truly understand)... it's by assuming an arbitrage-less environment, and by comparing an option to the cost of an...

It's very straight forward. My FCM (Vision) sends me a detailed equity run statement at the end of every day. I pull from it my current initial/maintenance margin number, my net equity (minus a few adjustments as mentioned above)... and I divide to get the margin/equity ratio. I then...

I just didn't understand how gamma could be independent of the underlying price. And what they're saying is, independent of the underlying price at time t = 0, by assuming price = K at expiration. And with enough options at different strikes, you have all possibilities covered. I don't see...

Oh, page 8 states the theorem in more detail. I understand now. Each hedging option weighted based on gamma, assuming price is at its strike K. Original post: Not sure what you mean, re: negative gamma curve. Why would there be a negative gamma curve with a single option position? The...

The article clearly specifies they're dealing with vanilla European options. I'm not really understanding it however, and would appreciate some hand-holding. Specifically, it states on page 2: <i>"As the target option’s future gamma does not vary with the passage of time or the change...

I've only seen liquidity on ICE Futures Europe, not any of the CME products. My current broker doesn't clear ICE Europe however, so I'm not trading it yet...

1) Encrypted partitions are a good start. Crude raw copy of the drive is useless. 2) Beyond that... lock down your system with some of the mil-quality security Windows can provide. I run Windows Server, and use two-factor logins for this purpose: physical USB key + PIN code required for...