Search results

In a wheel, are long the stock and short the call (ie short a synthetic put) or flat the stock and short a put. So you are always losing money when the underlying is going down and don’t make any money (beyond the premium) when underlying is moving up. Feels a little like a missionary position...

Nope, you’re on your own!

Selling weekly SPX 10d puts is easy and consistent. Just need space in the garage for that Lamborghini.

The index in its basic form (OI of calls va OI of puts) is flawed, but has some predictive quality. There are better forecasts that can be achieved with more involved data (especially if you have access to tagged OPRA feed and/or pcaps from each exchange), but that’s orders of magnitude more work

“Noel Holcroft : I have a friend who lives in the country, and it's supposed to be an hour from 42nd Street. A lie! The only thing that's an hour from 42nd Street is 43rd Street” (The movie “The Holcroft Covenant” has been out for 38 years, but this quote is as true as ever)

That better come with a bomb shelter in the basement. I would not call it “cheap” by any means. NYC real estate is a unique beast. One of these houses, after some basic work can bring in a nice rental income (assuming the subway is close enough). FWIW, even in the worst of time, NYC prices...

@wxytrader it’s very straightforward, you just need to abstract yourself from “probability” for a moment. 1. a call spread and put spread with the same strikes is the same thing in terms of the payoff - you make money linearly from k_low to k_high and are flat outside of this range. You can...

Because you’re missing the present value component from your thinking. Like @taowave said, model the whole thing in some sort of option-analysis software.

This summarized what I missed about ET!

@Sanfrancisco76 I would recommend understanding what you’re planning to trade (calendar spreads in equity futures have very specific price drivers) and go from there.

Now that I am back, he’s got competition! As a side note (not for you, but for the public) even if factor investing is not your glass of hooch, it is so pervasive by now that you have to know and understand it. For example, I’d venture that a good vol trader (and I aspire to be one) has to pay...

Wait, so it's a 2x short put (one of which is synthetic) and 3x long put. AKA, 2x3 ratio spread. What do you think is so magical about it?

Doesn't make me less of an insecure moron :) BTW, for all the haters out there. A friend who is a fund allocator is gonna get me long-term historical performance for AQR’s Absolute Return fund. I remember seeing their tearsheet at some point so now I am curious if I remember their performance...

I’d imagine this would be it: https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.margins.html#span=span&marginsTab=INTRA&pageNumber=1 FWIW, the div angle is interesting, but you’d have to do a rate hedge and that would make it pretty inefficient margin-wise

It’s gonna be something silly like $250 per spread. Is the idea based on forward dividends or something else?

Oh, insulting people on ET is buckets of fun. Arguably, that’s one of the very few valid reasons to be here for people like myself or @newwurldmn . It certainly not the intellectual thrill that brings us here But seriously, if you want to see real life performance you have to pay for access. If...

I don’t know, do you? :)

I was not aware that they rebalance so infrequently, thanks for the color. It makes sense in retrospect, since there gonna be so many stocks and every rebalance is gonna be annoying. The portfolio weights are probably also geared for liquidity rather than factor beta. Do you think Bloomberg...

I'll repeat one more time, there are factor ETFs tracking all of these factors and their returns are pretty fucking transparent. All you need is a Yahoo Finance search.

In terms of decision making, the classic Kahneman/Tversky studies seem to suggest exactly the opposite, that neutral to tempered-positive thinking leads to better decision making. However, I think the article says something else, something along the lines "if you see a bubbly optimist, he's...