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I wrote my own program in C++ so I can go through all possibilities smoothly :cool:

There are 124750 pairs possible among 500 stocks. You may need a stronger software to make the calculations ;-)

lol, no. Correlation is a time varying phenomenon.

OUT UNG:RZV -10.38% (different exit times), stopped out OUT XLP:TIP + 0.69% (different exit times), discretionary time stop

I think they try to trade 1000 to 3000 shares per stock and get 3-4 fills per day with an average of 2 cents that's between 60 and 240$ per open. And that is only the first 15 minutes of trading (1 to 2 hours of preparation). If you can combine that to other strategies during the day it may be...

Let me guess, positive mathematical expectation? It took you time to figure out that one.

Credit spreads are directional... against credit! Market neutral means that the beta of your PnL regressed against the market (let's say the S&P 500) is weak, or uncorrelated. So a stock protected with an option is going to be somewhat correlated to the market.

I have my own home made tools. C++ and Matlab.

OUT of EWS:EWW at half profit target. +1.71%

Blooomberg has an amazing tech support. Just contact them. I dont even bother reading wahat you wrote :-)

Yes

Got in the 3 pairs. Long: UNG/RZV 8.91/33.39 Long: EWS/EWW 10.91/49.06 Short: XLP/TIP 27.08/103.74

If you dont plan on using the optimisers or the VBA code (macros) OpenOffice is just fine. I dont know if you can have macros in OpenOffice. I must add that OpenOffice is slower if you have a lot of data or calculations.

http://www.elitetrader.com/vb/search.php?s=&action=showresults&searchid=3310918&sortby=lastpost&sortorder=descending

Make a search, there are some threads talking about that.

It is an interesting concept but I am not sure it make any sense. What is the faire value of this thing? Because this ATM vol does not exist. So you can't look at ATM historical vol to set the fair value price because the ATM options dont exist most of the time, unless that really are ATM...

Watch list, all ETFs: UNG / (0.3265*RZV) EWS / (0.2349*EWW) XLP / (0.2515*TIP) Did not yet made any fundamental analysis or dividend watch.

Why would they go there for a deal done in Greece ;-) Think about it. It's money in the bank for the US. Same thing as fucking hard on Toyota. Bash on the succesfull foreign company = drop in sales = higher sales of US cars = more jobs in the US :eek: How fair is that?

Goldman always keep his mouth shut, always.

No sure but I think he and you forgot to account for a beautiful thing called compounding before making any judgment. Not that I did the calculations or that I think it will make any more sense.