I don’t think they can do it with arrk. I think arrk is actually a closed end fund which is like a mutual fund that trades on the open market. You can’t create/redeem it for the underlying basket
totally agree.
But for the trader profitability is his only concern and he has a lot of hurdles to overcome in this scenario. I would say that any trader who walks down this path is by definition a bad trader.
no. only that he claims he started buying after the 20% selloff.
but in fairness to the OP, it doesn't mean he didn't have shares before. It also doesn't mean he wasn't selling after he made the statement.
Those who survive those tests have an edge that specifically works for those constraints. That's really tough.
I'm pretty sure I couldn't pass the test and most people would call me a good trader, though i'm probably not as good as those people think i am.
there are probably studies about this. if you look up trinomial pricing models or binomial pricing models you might find something.
The firm i was at spent years building a trinomial pricing model with jumps. Honestly I don't it gave us any better understanding of listed options than a simple...
One of the fox bucket shops shared their users stats (by law they had to) and it was like 2percent are profitable in a given month and every month it’s a different 2percent.
not quite the like the line from Rounders “how come the same ten guys make it the final table every year?”
So you want to do this in other to determine what the option will be worth after a spot move?
In my opinion no matter what you will have to do an adjustment based on whether your option chain is sticky delta or sticky strike.
If you are using listed butterflies then you are limited to the strikes that exist.
if you are using fictitious butterflies, you might as well use N(d2)
why would you do this?
i think this only has value if you are pricing otc options where you have to take a listed surface and extrapolate vol data points for a myriad of different types of options (for example pricing down var of the value of a forward starting option that crosses an event...