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no , its vise versa

Thanks , Rally. I have my own database for five years now,the source that you mentioned probably very close to my results : its a clear cut stats. Actually the universe's average IV was higher than in the last quarter(partially market/war related), but stock's change even much higher that...

Hey , RR , how are you ? Every quarter those stats are pretty much the same , but this time was a huge bias for a long play. Based on those recent big moves in reporting stocks , I think we will see extra ramp in pre-report vols in OCT. Vols skew for OTM puts should be significant for many...

RM=kodkod

About 50% of optional stocks reported so far. The after report ABS change vs. premium paid ratio was the highest in the last five years (maybe ever), which made the long straddles/strangles a HUGE winners. Short combos suffered a double whammy : stocks moved big AND IV did NOT collapsed to SV...

I see. I don't think your will get a clear advice with what weighting to go ; its really up to you. You also must have an upfront rules how to handle future additions/delisting ( and this is not so easy as its sounds). Here are some scenarios : 1. Buyouts and mergers 2. Add new 3. Delete...

B , SPX and Russel ( classifications) are using diff stocks and weighting methods when creating similar sectors/industries/indices. The ability to create a custom index is very popular with some WS participants.

what are your objectives ? To mimic already existing index ? Then you should do the weight the same way ( and concentrate only on adding/excluding components/stocks) .

Mo , twice within 2 point , you are my hero. Can I subscribe to your news letter ? :):):)

next time , can you please break the future price action by hourly intervals ? Thanks a lot :) lol

Nice call...

nice job hedgeless Mo , when the exp ?

thanks , Mo. Nice to see that you still around :) , looks like everyone else is gone...

Ratio returned to the mean (1.35 from low of 1.20) , "position" closed. BTW , only exotic's position made money ; I couldn't find any vanilla entry. http://finance.yahoo.com/q/bc?s=%5EVDAX&t=3m&l=on&z=m&q=l&c=%5Evix

July long dispersion final results : Index -> -(1.2) Basket wgt ABS -> 5.4 PnL -> +8.9%. This was the best month in last two years ; for whatever reason half of the DOW stocks went up and the other half went down. Best performers : MO = +12% GM = +13% XOM = +9% MMM= -12% WMT = -9%...

just wait until we will say something really stupid ! What time is it now ? :)

in this case ( ratio at the lower end) absolutely nothing , IMO

a bit of topic Q : is concept "got middled" exists in exotics market making ?

OK , my final prediction : ONLY stocks with current 5 cents spread will see a penny action in the "normal" trading environment. Prior to event its all open. Just like many stocks that trading at firm 20 , 25 cents spread seeing 5 and 10 cents on the day of report. This has nothing to do with...

w-bear , can you answer this ?