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Not necessary if he/she is clipping 50 lots :) (I guess your question leaves ambiguity re trades vs. contracts)

This is incorrect as per the second sentence on the CME's website: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Orders+-+Examples

Not many people 'daytrading' these in the same way as for example equity index futures - a significant part of volume is done by spread traders - for example intracommodity (calendar) or intercommodity (example TED spread) trades. Note that few traders still leg into spreads through the...

Shouldn't this be equal to the equity risk premium + (or -) the alpha you generate? By entering into specific trades as opposed to taking broad market exposure, OP assumes he's able to generate alpha (If this is realistic / statistically significant or not is a different question)

Please work this out for yourself again... (I understand the concept and importance of ratio spreads, and they are not used to calculate P&L.) Hint: if 'the number' as calculated by IB goes down, you will lose money on a long spread position (i.e. long stock a and short stock b).

Can you give one example where 'the number' falls and you have not lost any money?

Feb 19 is not the 9th contract:

What is rude? Asking for someone's (expert) views on a subject? I'm not looking for a shortcut, but I am aware that GAT's views / suggestions on any adaptions required are likely to highlight areas that may be missed otherwise.

Hi Rob, Just wanted to check on the position of the above item on your to-do list :) Your thoughts / view on adaptations required would be much appreciated! Thanks in advance

I see https://www.degiro.eu/ advertising a lot lately. (I don't use them, so I cannot comment on quality or service)

No, what Matt is saying is that futures are a cleaner way to express a view on direction than options.

You have to think in USD value of the pair rather than futures levels. The USD value is the futures level multiplied by the point value of the future To calculate your P&L, you simply deduct the sale value of the 'pair' from the purchase value of the 'pair'. Example: If you bought ESM8 at...

Thx, this would be very much appreciated - looking forward to it!

Hi Rob, I noticed in the presentation (~17:25) you mention that the framework you discuss in the presentation doesn't particularly 'play well' for mean-reversion strategies, or if limited leverage is available. Specifically you suggest making some tweaks to make it work for these type of...

What about (al) most (all liquid) commodity futures or US stocks? Are they not quoted in USD? (MSFT is effectively MSFTUSD, Corn is effectively CornUSD). If you really want (let's assume that USD is not your base currency), you could opt to hedge the USD exposure into your base currency -...

Near-front volatility was mostly driven by unexpected closure of Forties pipeline. As this should be repaired in a matter of weeks, I would not expect the back end of the curve to be impacted to the same extent.

In your situation, IB is providing you with a margin loan in USD on which you pay interest. The OP is taking a different approach: He does not hold a EUR balance but converts all his EUR into USD. When he now buys US stocks he will use his USD balance and therefore he does not pay any interest...

Not really an options guy here, but always interested to learn more so I wouldn't mind reading your draft paper either. (Similar to JackRab I also had a quick look at your published paper - if you want 'proof' of my detective skills, its on pages 214-219)

FYI, In the Netherlands (and probably many other EU states), derivatives are protected up to €20k under the so-called BCS (Beleggerscompensatiestelsel - More info: http://www.toezicht.dnb.nl/2/50-202210.jsp)

For people looking for a good explanation on how to get the solution: http://datagenetics.com/blog/july22012/index.html