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Data Analysis Using Regression and Multilevel/Hierarchical Models I am 100 pages in and I absolutely love it! The math is simple, the examples are fantastic. For anyone who is interested in learning about shrinkage/partial pooling, this is the best beginners guide!

Thanks! If it wasn't for the Jamaican girls with the tear drop botties cheering me on I would have given up for sure.

EA Journal Return since 2019-11-13

Just getting back into action here. Finished the Marathon in 5 hours and 13 min. Worst pain I ever felt. I don't recommend it to anyone. Taking the first long vol play of the journal.

Once importing chain from IB here is what I do. Calculate Mid price for each strike use the splines package to fit the polynomial of 3rd degree using the bs() function. I don't adjust any weights. I realized after your post the loess() function has a weight parameter. I'll have to look more...

Hi Matt, I actually trade in thinly traded options. Would you mind talking a bit more about your approach to smoothing? Currently I fit a local polynomial regression through the mids of the option chain. It works great sometimes but very poorly when the spreads get to wide. I end of having to...

Could you elaborate Matt?

No problem. To answer your original questions it's 1.50 per contract (if 1 lot) and 1.25 other wise. Another thing that sucks is Canadian accounts can not have access to portfolio margin. As I mentioned to you in PM, I have attempted to trade on the TMX and was unsuccessful, 0 liquidity. Plus a...

Sounds pretty cool! I'll send you a PM maybe we can work something out as I am Canadian.

Why would you want to trade on that God forsaken exchange? The liquidity is terrible and from my limited experience you have to cross the bid/ask as there is no hidden liquidity.

Thats great dude! You seem very passionate as well. Keep it up. I am just trying to push your buttons a bit. Get you thinking.

You don't need derivatives. You just need to have an edge. If I came to you and said show me the Pinch works. Could you? Not 4 graphs, but actual results, or a backtest that looks interesting coupled with some live trades. If you dont have the tools to backtest you should at minimum have an...

Aaron, its great to see you have turned ET notifications on :p. It looks like people are really enjoying your posts. Keep them coming! Another concept you mentioned in the paper is "Feeding The Hungry". Do you think this concept would apply to an earnings event? Eg. The long vol earnings...

12% nice work! I guess being short gamma always keeps a good sweat going. Thanks for the support!

I am not a technician so take the below with a grain of salt. I'm writing this just to get some ideas flowing. I have taken a look at your charts. Those big volume days on most of your charts are earnings dates. What else would you expect there? An earnings event with average volume and a small...

Hows your shape looking these days? IIRC, @atticus was in great shape. You should come down for the run! Surprise the kids with a spontaneous trip to the beach.

no your not! r u serious! let me know how my dust tastes ;)

Aaron, can we go over this a bit more?In your example Ed George found out it was better to shrink to the average of each position. What if we find that your dominant hand explains some variance in batting average. How would I go about shrinking to both: position and dominant hand? How might...

hey stam, what stock is that for? FIVE was a sweet short vol. Unfortunately I could not do any earnings trades. Good call tho I won't be trading until -Tuesday. I am running my first marathon in Jamaica on the 8th.

Thanks for the heads up. Your suggestion on LB was excellent. Did anyone pick up CRM? I was out for $4.8 this morning. Nice $2 gain. HQY looked very scary overnight but pulled back instantly in tha AM. I'll post fills when I get in. Overall net positive due to the extra heat i was packing on...