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What else is it going to be, an "ejaculation seat" and "every color of the rectum"? Make American Great Again! :D PS. I get it that proles need to hate someone and that xenophobia is the easiest outlet. What I don't get is why the Republican party (the party of free markets, of self reliance)...

I recall them increasing the spreads to "curb excessive speculation" but never paid attention to where these things are. For what it's worth, I think the ETFs are getting interesting again, but let's talk about that off-line.

Someone said “History never repeats itself but it rhymes” From my relatively limited view, a backtest is simply a way to validate of a hypothesis, but not a way to discover what works.

On the fixed income side, there is also Tuckman and Jha - both are very useful if you dabble in these markets.

What they said, plus Trading Volatility by Euan Sinclair (or is it Volatility Trading?)

It depends on the exchange. For example, on CFE you get a marginal discount from customer fee levels if you are a TPH (for VIX futures it's like 1.45 to 1.1). On some exchanges all fees are waved, but the cost of the seat is much higher. Professional level commissions are pretty low compare to...

"Picking bottoms gives your smelly fingers" (c)

It's just fancy words, of course :) No you don't. It's just a distribution where you have 1 with probability P and 0 with probability of 1-P. It's a simplistic model for most of the world around us, but it makes a lot of problems easy to think about. In this case, the OP is saying "I have a X...

Well, the idea is that the futures follow the underlying market. If there is no physical settlement, that linkage can be rather tenuous.

Sadly, not at the moment. Both sides are apparently more interested in self-preservation by pandering to their key voter groups. The right cares more about abortions and immigration, the left is pushing various pipe dreams. PS. Personally, I think it's going to end in tears, but it's hard to...

There is, of course, a strong recency bias in this study - we are coming off a decade when investing into equities has been the only game in town. If they had taken the prior decade, from 1998 to 2008, the results of the same asset mix would have done very differently. A prudent manager (not...

Indeed. I was merely saying that even if you exclude the emotional component, the rational approach is to care. It's a complex trade-off, of course (let's define it broadly as social inequality, beyond "not having money to retire"). Not caring about extreme social inequality could lead to...

How does it make sense to sell puts if you're are already holding S&P?

A hedge fund is usually a complex legal structure that has all sorts of entities and moving parts. When done properly, it costs upwards of 50k just to set up with a white-shoe law firm (and investors do look at who your law firm is, your admin, your primes etc). It's hard to say what is the...

It's PAreto Distribution :D Of course you do. If people can't eat, they rebel (either outright or via democratic mechanism) and that never ends well.

How?

That. Also, if you are delta-hedging a SPY option position and do not want to deal with delivery.

Wait, what? The probability of X-long losing streak depends on your sample size and that's not present anywhere from what I see. The problem is not as easy as it seems PS. if you assume that you actually living in a Bernoulli distribution world, you can use the de Moivre formula (originally...

Well, that's the nature of the beast. If you really want a scientific answer, you can calculate a confidence interval with regards to any risk metric that you use (Sharpe, Sortino, profit/loss etc). That helps a little. There are still unknowns and strategies are know to fail/decay, but usually...

Erm, it's not the return, it's the Sharpe/Sortino ratio that matters. If you are running 6 Sharpe, six months of positive returns is plenty; if you are running Sharpe of 0.75, 2 years is still not enough.