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i am working on adding a scaling-in component to my entries. in my approach, i define a starting point and an ending point of scaling-in and a rate of scaling-in between these points. based on an arithmetic solution applied to my trading strategy, it appears that an optimal rate of...

CPTrader - yes, i think we are talking about the VIX futures - the volume runs 1,500-3,000+ contracts a day and the spread tends to be around 1 point ($100) but may be narrower or wider depending on market conditions. interesting dynamics in the volatility curve - yesterday and today the VIX...

ok, so people roll to the outer months or prefer outer months to prevent the erosion of premium in the front month contract..., makes sense, thanks - i look fwd to following the journal, all the best.

hi riskarb - what a journal, what sexy trades, almost makes me feel like my futures trading is so routine compared with all this exotic stuff :D i was wondering if you have an idea why Open Interest and, on some days volume, in the VBI futures has been running significantly higher in the...

also, all the action is in the calls, the OI is 5x-10x+ greater than in the puts for most strikes - i guess it's a reflection of the current environment and also of the lower volatility of the puts given vix's probability distribution / floor on the downside - it seems that selling calls / call...

it seems the volumes are running pretty decent in the vix options... - i have taken a look at a couple of papers on valuation methodologies referenced on cboe's microsite: http://www.cboe.com/micro/vix/Bibliography.aspx would anyone know which valuation models for vix options are actually...

excellent link, i have seen these before, but not used them, i have gotten used to cboe's chain format, so was looking for something more like that - appreciate your help, all the best.

i can't find it on their website - i am looking for volume and open interest - i have registered for myCME but still can't find the info there, instead it seems to provide a very cumbersome way of looking up a T&S - can anyone help? thanks in advance.

yes, there are plenty of broad-based etf's and also some sector-based ones - you will have to go to each exchange's website to get the details - ishares is just one vendor/distributor, there are plenty of others, from my research i believe deutsche boerse has the broadest offering - all the best.

excellent thread - can one of you folks or anyone else speculate as to which area of trading was the largest contributor to Goldman's $16 billion in net prop. trading revenues (the figure from one of the earlier posts in the thread) - i am guessing it's not marketing making? - i haven't verified...

thanks, folks, really appreciate the feedback - i have looked up a couple of older threads and it looks like people used to have problems logging in with SSL, but hopefully this has been resolved by now - i have tried running with SSL for a couple of hours today and i can't see any difference...

can anyone comment on the performance with / without SSL, is there any significant difference with order executions? i'd like to switch to SSL but it would be great to hear any comments before i go live with it. also, i am not a security expert - can anyone confirm / explain whether enabling...

yes, i have gone through a few different color combinations in the last few years and it seems that this one is the most comfortable for my eyes... - all the best.

i don't gauge s&p on the support/resistance basis, i have found it very tough with this mother-of-all indices - looking at this downward trend in volatility, i am guessing that bigger players targeting more aggressive returns have had little choice but to short volatility on any significant...

hey duard - here's my take on longer term volatility trends (see the attached chart) - currently i don't see a turn up at all, it may take a while longer - all the best. (the chart is monthly VIX)

ok - i have dug around a little bit but not found any material discussing / comparing the alternative tradable commodity indices in any significant detail - i guess i will have to research each individual index when i find time... - thanks for your feedback and all the best.

have you looked at other commodity index products? what are the pro's and con's of RICI vs others? - i have looked around a bit but have not been able to find much info comparing the different commodity index alternatives, one piece i came across said that RICI has outperformed the others over...

interesting points - here is what i am guessing: the order book has to be balanced on average, i.e. the total bids = the total offers, most of the time - it is the inherent property and purpose of the market, to balance supply and demand - therefore, if you see, for example, that the total of...

chart.

i took a look at this some time ago - i think my vendor's data is from yahoo - i simply took an average of 21-day (i.e. monthly) volatility during each year (i.e. average of annualized 21-day std. dev. of daily log returns on DJIA's closing values) - you can see from the attached chart that...