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It sounds like OP believes that the vol crush since the start of July is normal and that no-one has ever heard of being short gamma; that bad things happen so rarely he'll be fine. :banghead: The whole point of selling options is that you make money almost all the time and then abruptly give it...

To be fair, it's only bollocks in the sense of eliding long run p&l expectation, in which case he's probably not that far wrong, and the p&l path over many trades that implies. 50:50 1:1 bets can take you very very far from flat...

I think you have to look at these things holistically. The futures market is only one part of the jigsaw. So, for example, maybe at the 5yr level leveraged funds are doing a lot of betting on spreads between treasuries and other instruments so the futures leg is the interest rate hedge on that...

A few advantages to places like IG: - with IG you can ask them to automatically roll your position on expiry. - you trade in your currency, not the underlying's currency. There is some value to the clarity this gives if holding for longer periods. Obviously not a huge deal as we're just talking...

Ah cool, get it now. Thanks for the explanation. It seemed to come out of nowhere in their modelling with an unexplained constant or two...

Nice update, thank you. If you get a chance, perhaps next time you update it would be good to know your thoughts on the recent AHL team co-authored paper (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2695101). What's the response function stuff about in the momentum section of it? Cheers, Q1

"...without the broker cut.": broadly speaking, since you are entering into an fx trade, you are lending at X%-cut on the long side and borrowing at Y%+markup on the short side. For fx spot the values of 'cut' and 'markup' are positive numbers. For futures they are zero. Sounds like a benefit...

So the benefit of the future v spot fx is that the financing cost is "built-in" to the price without the broker cut.

Of course they do (for positions held post NY close). FX is equivalent buying cash in one currency with the proceeds of a "short-sale" in another currency at the spot price. So you earn the interest on the long side and pay it on the short side. Spot forex and CFDs are broker-heaven as naive...

The future should represent the keenest implied interest rates available, ie it should work out to cost a little bit like IB's rates excluding their cut (on both sides) - if this were not the case then the future would be arbitrage-able. I'd doubt even for very long term holdings the friction...

double checking the time to save now on my laptop (ie not same machine) I get about 0.17s to save the data to csv - meaning time from before file-open to after file-close only. So seems ballpark ok to me given i'd expect my desktop to be faster.

So on Windows (8.1) on same machine but with original 3yo SSD I get 1.25s (worst of 3) to read a million lines (compared to 1.15s on Ubuntu). Both Pythons are 3.4 via Anaconda with Jetbrains PyCharm (by far the best Python IDE imho). Like for like, Python can read the file into a list (without...

I revised the test to use the sample data the OP posted. It's now actually faster. The code is in the attached text file. It generates the test data, saves it to a file (all outside pandas), reads it into a pandas dataframe then strips out the row below the headers. It's a bit faster still if...

The Dropbox client is python btw afaik so while not algo-trading complexity its still got to run for a while, behave and not fall over (in millions of environments too). There are lot of other big players using it btw not just Dropbox. People say the popularity of Python since the mid 2000s is...

Yes I'm sure using the data he posted will make a bit of a difference. If I get a chance later I'll mock up a better test. Interesting difference between our machines. I am running on a brand new Samsung 850 Pro SSD though so that *might* make a difference (Linux doesn't support the Rapid read...

10million lines is roughly 10 times slower so ~18s.

I think C# is great and am quite excited MS seem to be backing Mono guys. I also think python is great and widely misunderstood but nevermind. The code below reads 1mx10col lines in about 1.7s on my PC fully parsed into a pandas dataframe ready for anything pandas can do. You can read in by...

Ok I had not considered wholesale bond cancellation. I guess the point here is that something must crash - save the JGBs by ruining the currency or pull back from that (stopping QE) and crash the JGBs (when talking in these extreme scenarios). For all our sakes though, I hope neither of...

Yes that's possible I agree. I just wonder about the crisis-scenario endgame? How do you solve a crisis created or at least popularly associated with infinite QE - as the QE amounts get larger and larger in that scenario and the JPY gets crushed... Eventually the QE has to stop for any sort...

I'm probably being too simplistic: either they are on a path to normalisation (little JGB fall due to inflation) or crisis (large JGB fall due to extreme inflation or capital flight). or they just muddle through for a while more yet...