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mistic , just ignore him... With new IB 75 cents per contract , total commissions are approx 0.20 % from the total and this includes all 30 longs and short on Index (i do DIA)

thanks for the info , VG. If one can successfully pick "cheap" volatility candidates , why he needs to lock the position in the partial hedge and limit his potential profit ? As for the second part , unless you compare SV/IV adjusted to benchmark (VXO , VIX or whatever) those ratios won't tell...

I see what you are saying , mystic. Is that what Egar suggesting and pros are doing ? To go long on components that have a favorable SV/IV ratio and short the Index ? Sometimes the partial (40-50% on 10-15 components) hedge toward the Index can be a disaster , especially if the Index went...

no , many of them lost their WS jobs and then find out that relative/benchmark performance ( read : when you trade other people money) is quite different from absolute ( read: when you trade your own money).

it's not my way of thinking , it's a fact. Reverse dispersion can be done (when ratios = favorable to reverse , actually this month is one of them , very slightly) , but I always took the direct so far , because of my strategy of aggressive intra position adjustments ( on long basket). I'm just...

the "huge difference between index IV and basket IV" is fully compensated by basket ABS % change vs. Index's change.

sell a "cover call' on the 5 Y Treasury Note. Figure out the the ratio ( a bit complex). This will work at the best in you can obligate to add new money into account month after month

agree on the part about chasing no risk/free lunch

how all the above will help to erase the -expectancy for initial retail position ?

just saw this thread for the first time... I am runing something similar , short on the Index (Dow) straddle and long on all thirty components... But not 1:1 ratio

right , its mostly for indicators. The function calculates the highest correlation by using different time periods. For example the Average Hours per Week is a "leading" indicator for future Employment numbers and the lead is three month. I need the formula in Excel that calculates the lead...

in Excel. Anyone has it ? Thanks in advance

this result is for monthly (or given time period) % change and not for stocks or total return action. So they comparing correlation between +100% and -40% (time period #3) , of course it will be close to -100

http://www.ivolatility.com/options.j?ticker=tnx&R=0&top_lookup__is__sent=1

. [/B] why don't you post a link of how many "jobs" Klinton create via Y2K and Dot.coms scam?

generally , I don't think its a good idea to short Weekly , the Index easily can go five days in the same direction , not enough time for V shape

got it , thanks for the info

I notice the price collapse while volume going up in Seats vs. Volume chart around 2000-2001. Probably related to decimals/less profit era.