Search results

Yes Gambit, Transcend is a good firm. Last I checked though, they didn't offer portfolio margin. Has that changed? Are they still clearing through Penson?

You were right, I can hardly believe it! Congratulations. Good call.

"Looks like they'll come in about $9 per share (for the quarter), which is well above the estimates. On top of that they're probably going to say they've already taken orders for about ten million of the new phone, so even though it's already north of $400 it should pop some more...

Thanks. I would love to have a look at it! Send it on over. I will test it over the weekend and post results here. Edit: I usually work in C/C++, Java, C#, R/S+, and Matlab. Some VBA, Perl, Python. If the model is in anything else it might take me longer than the weekend to run the tests.

How far back do you need it?

Hey Peil, "birthright" is one word. So is "nutjob." Just FYI.

So you want to trade the skew but immunize yourself from any delta, vega, gamma, and theta risk? That is a pretty tall order! I can't see how to do that, or even get close, without an correlation based synthetic skew trade embedded in your position. So you'd lose on the embedded synthetic...

Thanks for the tip! Given your track record, the obvious move here is to SELL the 56 put. Practically a sure thing.

I am shocked, shocked!, that they have passed over William Schamp (ProfLogic) once again. And deeply saddened. And Jack Hershey, they ignored him too. It's one thing to give Fama and French the cold shoulder yet again, but it is another thing entirely to quash the nominations of these two ET...

Civil war? If it came down to it, the 1% would flee, not fight.

I apologise to Maestro. My doubts about his academic credentials were unfounded. He does indeed hold a PhD. from a highly-rated eastern European university. And he is widely published (just not in English language journals). I remain skeptical, however, that any significant percentage of the...

For those interested, "Dr." Bogdan's company trades under the symbol QAT on the CNSX, a Canadian penny stock exchange of dubious anticedents. Trading around 15 cents a share lately. I guess the market is not that impressed with the heads-up display or the 30-monitor workstations. FWIW, I...

Not true. Usual hypothesis is that mu = r + (sigma^2)/2. The condition mu = r corresponds to the process S(t)B(t)^-1 being a martingale -- a fairly implausible assumption.

You're right! We're consumed with envy. Many of us have worked in this industry for years, spent countless hours studying the options markets, and still can't make calls like yours. So naturally I down-rate all of your threads. I am still in awe of your Starbucks call from a few years...

You seem to have lost your train of thought here. Maybe you should come down off the three-day coke bender and get some sleep. So you have got yourself banned at Nuclear Phynance and now you have come over here? Good idea, you will probably last much longer on EliteTrader. It takes truly...

Going from C# to Java is a lot easier than going in the other direction. Usually it is pretty simple. I have used cs2j and have had no complaints. Sounds like a three day project. Does your code reference many third party assemblies?

Hold on! Don't hire anyone! I will complete your project for $199.95*. Just to be sure, post the spec. UML if you've got it. And a few use-cases too. Make sure the use-cases are comprehensive, preferably illustrated with stick figure drawings. Don't listen to your advisors on this...

Excessive! And requires estimating parameters at a higher frequency than his garch estimate. Easier to just fit a t distro on high and low conditional on log return and log retuirn ^ 2. Use an ML fit and then just draw from those fitted distros. Should be adequate. What he is trying to...

A good idea nevertheless. 5-day rolling dv01 in this context is basically a rolling 5-day correlation, somehing I had not thought of trying. I have always run my correlations on the same timeframe on which I test for cointegration -- a year or more. I've now plowed through the most recent...

Thanks! I had never thought of applying dv01 to vol derivatives instead of rates. Makes sense though. ... and, whadayouknow but the second Google hit on "dv01 vix futures" is this quote from you: "Have you considered calculating say a 5-day running dv01 in the front month Vix futures (Mar...