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He trades var swaps from his ToS account. He is as legit as they get.....

Index or ETF vol is made of 2 components - single stock vol and implied correlation between the single stocks. When vol increases, Implied correlation (IC) increases. Since IC is capped at 1, skew will flatten as we approach that number on the downside and IC will increase on the upside as well...

IIRC Bouchaud also wrote a paper explaining the correlation between return distributions of a strategy and PnL - the more skewed the strategy, the higher the PnL (you get paid to take risk). With a 1 day short straddle, its going to be hard to size the position and tcosts might eat into that...

yes for someone in the usa.Let me edit. Ok thanks Rob. Ill let him know

Hey ET, been awhile. Asking for a friend who lives in the USA - what vendors other than IBKR allow you to trade derivatives (vix futures especially) in an IRA. The ability to trade algorithmically is also required. Thanks for your help and i hope you all are keeping well

Subjective TA being self-fulfilling is talked about quite often. If you take a step back and try to play out a few toy examples in your head or on paper you will quickly realize it is not the case. I encourage you to try this but make sure there are not infinite fills at the levels you are...

start trading these! This might be a losing trade for dest but that should not discourage you. Take his trades, post your fills and get feedback. Then repeat. I cant encourage this enough especially if you have read his previous journals. Watch how the position moves and relate it back to...

Greeks are simply your exposures to certain changes in the world. Delta -> your exposure to the change in the underlying price Vega -> your exposure to the change in expected movement Theta -> your exposure to the change in time Gamma -> your exposure to the speed of movements in the underlying...

I am not sure either is an asset or a drag. Its about good decision making and you have to live with the variance. I have seen guys on this board get into huge positions only to cut it at monster losses because it was the best decision at that time. Or hit the gas even when an onlooker would...

Hi everyone, I am trying to replicate an ETF using the least amount of components as possible. There are really 2 parts to my questions. 1) How to explain the most variance and 2) How to size the position* The idea is, if I am trying to replicate QQQ, buying the top 5 holdings may not be the...

Are we talking 50% on an annual plan? @Matt_ORATS

thank you for the help kevin!

I guess i should have looked at the prospectus first :p I read over a white to see the formula they were using (my original post), but did not notice the actual holdings. Last question I have that will really get my head around this. Why is it that the formula rho <-(iv**2 -...

code is working, thanks. I am still a little confused on the output. The output is .31. When raised to the power of .5 I get the same result as basket vol/weighted component vol and the same result as CBOE implied cor index. So do we take the square root of the output to get implied corr or...

Attached is the SandP500 component ivols + weights. ICJ is trading at 51% right now and SPY 30d ATM vol at 19% Using the attached data: vIndex/sum(w*v) = ~55% Using original formula I posted you get only 38%

Kevin im having a hard time getting this code to work (getting a strange number). Was there a typo somewhere? I re-did this example with a 100 asset portfolio. I realized that if I take the square root of the output from the original formula I get the same output as iv/sum(v*w). Is that because...

hey guys I need a bit of math help. I am trying to compute the implied correlation of an ETF as i am trying to find expensive/cheap ivol. I was hoping someone could cross check my code or dummy example before I go and bet. I am using the CBOE implied correlation formula to back out the IC from...

At first I was not too sure if your original post was serious. But it looks like you are being serious. Instead of focusing on the exact question "Does selling vol make lots of money"? I think it will be more insightful to talk about strategy. Note there are also countless papers on the returns...

Take all my earlier stuff with a brick of salt. I was just getting into options and was very excited to learn about this stuff. If you read my journals, learn more from the people who have tried to help me rather than my posts. I tried to ask good questions so most of the responses i got were...

I have also heard from other traders i look up to that I should spend sometime really understanding micro structure. It also looks good on a resume to have some experience in that field. If you have some time, could you explain why its important to know about it and how a a higher frequency...