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Sorry for any confusion, but my request for the Twitter posts that prompted this thread was directed to the OP as only he/she would know. A little frustrating when anonymous sources are cited who have all the background details. Also note that the OP said weekly ATR's, not daily. That should...

There is a "sweet spot" for a ramp up in gamma which it sounds like they are targeting. That's why I'd like to read their posts, to get the full context.

From your description, it sounds like they are trading speed, not nominal gamma. I'd like to read their posts. What is their Twitter handles (or PM me if you prefer not to post it here for any reason).

I discussed this topic with an IB rep a few years ago and he advised me that they calculate margin in a very dynamic manner and not to rely on any static list of rates. This is especially true if you're trading bespoke spreads where there is no posted margin for your creative combo. For a...

In this case, which measure of variance would you use?

I should be "careful what I ask for" because a better solution for POT is quite a bit more complex than 2*delta. I'm currently reading about one-touch barrier options where their pricing addresses this topic in a more robust way. There are some similarities to delta with differences in...

It's reasonable to have a small portion of your portfolio in gold to hedge a global Armageddon. The more interesting question is, which gold instrument do you choose? If you own ETF's or futures contracts, your hedge is potentially beyond your reach if the financial systems are down. Perhaps...

That certainly makes sense for skews on stocks that are pre-earnings. Probably also true for commodities with seasonal tendencies. They have a directional tilt. But for equity indexes where Puts had a positive skew over the last three years of a bull market, it's been wrong almost every day.

The common rule-of-thumb is that an estimate of POT for a strike is the delta of its option x 2. For example, a 25 delta OTM option has a 50% POT. When you have a steep put/call skew that is reflected in the deltas, an equivalent POT for puts and calls will be at different strike distances...

That generous leverage/margin should be used to manage risk with thoughtfully chosen hedges, not to simply inflate your position size.

I'm sure you can find a lot of short setups that work during a routine market phase. My concern is tail risk for a systemic market decline. We've been in a Trump bull market for the last few years, so it's easy to become complacent and forget what a crash looks like.

Ugh. I would never short Gold, Swiss Francs, or any other "risk off" market. It's akin to selling stops.

If you really have a trading system that is consistently profitable, then you are in a small minority with "secret sauce" that you should regard as proprietary and confidential. I suggest you learn how to program it yourself. It's not that hard, especially if you already have the mental...

I suspect there are a lot of closet pill-poppers out there on a regimen of steroids or growth hormones who skew our perception of weight training and muscle growth. When I see an almost perfect specimen of whole body muscle development, rather than admiration I just say to myself "he must have...

I just checked his FB page and he's not dead! In fact, he looks to be in good spirits. :) It's really not any of our business why he stopped posting. On reflection, I should not have speculated on that myself. He's smarter than any money manager I've ever listened to, so I guessed he might...

I just assumed that he started trading OPM professionally and could no longer post due to regulatory restrictions. He is missed.

Keep in mind that uncorrelated markets (i.e., price series which have a correlation coefficient near zero) will still move in the same direction half the time. This directional co-movement of 50% is more than a casual observer would imagine for "uncorrelated" markets. The foundation for your...

Don't regard futures leverage simply as a profit booster! Instead, utilize leverage for risk management by hedging your position with other thoughtfully chosen futures/options trading instruments.

Send me a PM with the date range you want (start date, end date) and I'll see if I can grab the data for you.

I don't think the problem in this case is that the strategy is constantly in the market. I believe the problem is the underlying premise of successful pair trading is flawed. In modern times where indexing of stocks is a major part of the trading volume, pair trading no longer works...