Search results

This quote from Ansbacher makes me think he isn't the sharpest knife in the drawer: http://www.ansbacherusa.com/files/optionstrader0106article.pdf "OT: Is it fair to say that your strategy is basically selling volatility? MA: I don’t know if we’re selling volatility. We like to think...

Haha sorry, you're not thick, and I am referring to strangles. I think beating the Gaussian (with statistical significance) is enough for me. You can't state that Max Ansbacher beat the Gaussian significantly without knowing the probability distribution he was targeting. Do you know the...

I have no idea what you mean by this. Any option "construct", regardless of the trigger, has a probability distribution of the manager's selection. You simply can not look at historical returns without understanding the probability distribution the manager has targeted.

Well, actually, if a manager came to me and told me they achieved a high Sharpe over time with ATM straddles using strikes half a standard deviation away from the underlying... I personally would invest in them. If a manager came to me and told me they were selling 1 std dev out, I'd tell...

It really doesn't. Sharpe ratio is notoriously useless for any option strategy. Investing in most financial instruments is (for the sake of argument) a 50/50 thing. You buy GOOG today; 50% chance it'll be up tomorrow, 50% it'll be down tomorrow. It's a coin-flip. If someone comes to me...

It really is a matter of "perspective". If you, in the context of your portfolio, value your option positions by looking at the notional value of the underlying shares (and manage risk/leverage accordingly)... then intestinal fortitude becomes a little easier to build. I think in that sense...

Thanks, hadn't seen that before. Looks more legit than other managed futures indexes I've seen... partly by limiting to $50mm AUM. How about BarclayHedge's CTA Index?

Hi there, Just curious what's most commonly used as a performance benchmark for commodity fund managers. Just looking around, I've come across: - S&P GSCI, - Morningstar (Long/Short, Long-Only, etc, etc...) Any reason why one would be preferred over another? GSCI seems popular, but...

CME shows it too. Weird. Someone just felt like being funky this month, I guess. http://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_quotes_globex_options.html?exchange=XNYM&foi=OPT&venue=G&productCd=CLN0&underlyingContract=CL&floorContractCd=CLN0&expMonth=201007

I see it with both IB's TWS and Rithmic's R|Trader.

Hi there, Just noticed there's a 80.40 strike for July crude options. Why? Usually only every 0.50 interval.

I look at % deviation from MA, on a 5-min bar, as a really simple filter for "think twice" moments.

In equities, I believe the regime tends to be pretty stable over time. Vast majority of time, equity index options are being bought by long-only investors as a downside hedge. This leads to the skew mentioned before. But absolutely, you have to understand the underlying behavior at any...

Hi there, I'm not having much luck finding details on the CME site about the implied-spread contracts. Are these distinct instruments...? Do you have a link? I'm curious what the spread is doing today. It's just really striking to me that June crude is down about 1% today, while June...

Correct.

Exactly right. And you can find this "correlation" in any instrument just by looking at the skew the vol surface. If price moves in a direction of pain and IV surges... sell OTM options in the direction of less pain.

The point is, this would've been a heads I win, tails you lose trade. If you sold puts, and the EU meeting over the weekend failed.. then you would've been on the hook for huge losses. My point is that by selling calls Thursday or Friday, it was a one-sided traded heavily in your favor...

Different instruments have different behavior, in terms of how implied volatility moves with price. With stock indexes, implied volatility moves up when prices drop, and drops when price goes up. This is because a large flood of option-buyers come into the market when prices drop. (With...

I don't really trade equity options. But I was considering getting some as a hedge last week. If you had sold May 21st ES 1180 calls last Thursday, after that collapse and the underlying was trading at $1120, you could've gotten ~$7.50 for your trouble. Obviously, if the underlying had...

I'm mostly cash at this point. My take is that upside is limited, however. No matter how well the EU issue is handled... What's the upside? Back up to 1190 on the S&P? That's about it. What about downside? 2010 lows in Feb were 1050, and second half last year.... 980? 900? I don't...