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i thought the name of the game is to short volatility when it gets to an extreme high - no need to predict since it will mean revert...eventually - the key is to figure out how to manage risk properly when shorting it.

appreciate the clarification, thx, all the best.

can you buy stock in here after-hours to lock in the profit, full or partial?

fortuna - by the way, with the massive run up in the european equity indices last year, what are your thoughts on spreading the European index volatility to the long side against the U.S. index volatility; i realize however the event risk is greater for the U.S., i.e. will need to be managed...

ok thanks, makes sense; however, i find the june expiry attractive due to the "sell in May" phenomenon (or april/may).. - all the best.

hi fortuna - i appreciate your tips - with respect to your above comment concerning volatility, i have used the $VXO chart in my work (attached, using this as a quasi-proxy for $VXN, i don't have a longer term $VXN chart) - looking for example at the '91-'96 low volatility, extended period.. -...

thanks for the comments, i look fwd to following the journal, best of luck with you trades.

thanks for the comments, good luck with the journal.

hi - great journal;i am not seeing this in CELL - did you mean a short here, doesn't seem to fit with your theme, this one is making multi-year highs.. - also, is 11 days (or 8-11) a some sort of an optimized parameter, i.e. how did you come up with this number... - thx and all the best.

hi W.B. - thanks for your comments and i hope the practical issues caused by the weather etc are getting resolved for you - i was looking at the historical downturns - 1929-32, 1937/9-1941 and 1973/74 - at the end of each of these periods, within 3 years there were at least 2 years of 20%+...

hi - great thread, i have been interested in the subject for a while but haven't gotten around to looking into this in any detail... - if i may ask a couple of questions - does implied volatility tend to rise in the period approaching earnings, and if yes, you believe that it still ends up...

take the 80/20 rule as an example, 80 sideways years and 20 trend years and within each year 80% sideways days and 20% trend days - what i am saying is that during these huge sideways times/ranges, the surge in liquidity and information and execution efficiency will continue to result in...

by the way, i am not sure about this - i am guessing that, it's not like while we are sitting here in the middle of a big range in the stock indices, and either side of the market is going to decide to commit in here - i think that in the end events are going to drive the market to an extreme...

i don't disagree with the "major" emotions and exaggerations.. - when a major event happens (or commitment as you say), the volatility may become unpredictable.. - i am saying "on average" (i.e. "most of the time") - for example, take some sort of a countertrend strategy, let's say japan or...

perhaps the title of the thread is a bit too pompous... clearly, the "Information Age" contributes to efficiency, i.e. information dissemination, electronic transactions etc etc. "globalization" is a parallel phenomenon contributing to efficiency. the effects are clear - there is a huge...

gaps (and gap fills) are a function of volatility - volatility is primary, i.e. if there is zero volatility, there will be zero gaps... - study historical volatility vs gaps/gap fills and you will see the connection - i have done some work recently on a different subject, but related to...

hi Art - i have done a draft backtest of your bias rules with ES - my data is limited, from mid 2002 to mid 2005 with the base case of using +-1 as the threshold, i get a 56% win rate and a 1.4 profit factor raising the threshold to +-3 and greater, increases the win to 59% and profit...

Don - the yield differential is not the only reason driving demand... - look at the explosive growth in all the derivatives, such as credit default swaps etc etc - institutions employ complex risk/asset diversification/allocation/arbitrage strategies which drive demand for individual corporate...

cbot uses 250 vs 252 for annualizing the dailies from http://www.cbot.com/cbot/pub/page/0,3181,774,00.html Annualized Historical Volatility Formula annualized historical volatility = square root of ( 250 * variance of natural log differences in daily prices for the calendar month)

what is the principal makeup of the order book - there (a) designated market makers who are required to supply bids/offers to maintain the exchange's set max spread (b) arb/counter players showing big sizes and (c) others - let's say the "normal" bid/ask size is 100-300 per level on ES without...