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This is will be an interesting experiment to quantify the real cost of slippage and poor execution of orders in front of high velocity traders in real markets. I will be interested to know just how wide the differential is - be interesting if you go from up 64K to down xx dollars as a result of...

Your risk goes up if you maintain a short position over the longer term which is why you only do it when they compensate you for that. The Delta will be higher on longer dates so your gamma risk is much smaller. This is not a normal strategy this is an opportunity that happens a few times a year...

If you read the contract/agreement "fine print" provided by the broker, they are required to seek our approval to their relationship with provider and that includes how much they are paying - TD is paying $1.75/contract per the agreement we sign to become a customer. That was two years ago when...

When you short options, you get a credit into your account which is a negative number until a major event happens and then you get a margin call from your broker and they charge commissions on both sides of your trade plus high interest on your margin until you deposit more money. The best...

In reality, even if you have a graph which is an average across maturities, you wont see the one strike which has a spike on large volume/open interest because some hedge fund decided they want to own that strike/maturity. It's tedious to look across the strikes and maturity to look for unusual...

There is no silver bullet for picking your strikes - you have to understand how time and vols impact pricing to balance profit vs time exposed to tail events. Standard deviation is the square root of variance and therefore it is proportional to the square root of time. When the vol skew is flat...

Let's hope IEX as the new 13th exchange can start getting the majority of the flow and then the other exchanges will have to follow. But that doesn't stop spoofing of orders deeper in the order book cause they are not impacted. The risk is higher for them but they are not locked in. CME is also...

I agree that we easily forget how hard it was back in the '80s. I was not complaining then cause I was in the pit paying low commissions and picking which orders to take the other side. But I won't forget that there were plenty of people blowing up around me when I was in the pit so it was not a...

The exchanges make money from this so why would they want to change? The regulator gets the heat from retail account losses only during flash crashes and then they need a scapegoat. In reality, the only one trading In front of the order spoofing are the other algorithms that trade the depth...

Bitcoins are traded via the blockchain which is not hackable. This provides the most secure method of transaction between merchants and customers. It's also anonymous so people can't find you including your X. Once all coins have been produced, the supply will stay static and the upside is...

agree - not easy to find a flat vol skew or equal shift up across maturities but when it does happen, I know why I'm making money. When it is flat or upward sloping vols all the way out - I have no problem selling one year options. The premium is huge relative.

Today there is a good example of an oil company coming out of chapter 11 bankruptcy. The symbol is $BAS. The news says that existing common stock holders received both new stock and warrants. Here again, people before the opening were confused that this was the old shares. They paid over $110...

The problem is that the exchange charges fees for these players to spoof per order but They price it Low enough to encourage them to play these games. If they were serious in providing a fair playing field, they would ban firms who put in bogus orders. Or They could increase the fees to the...

You are right in the Theta decay of the front month is higher. But Theta and Vega are inversely related. Thus if vols are expected to go up, the front month will go up less than the back month. That's the risk. If vols drop significantly, you will lose more on the back month. The challenge is...

The more interesting question for me, where is the cost of producing a bit coin today and how will the exponential curve going forward in terms of cost impact the price of bitcoins? Can we expect the price of bitcoin to reach $2000 in the foreseeable future. This would not be simply a demand...

So now they're moving beyond the kid trading from parents basement in London to the real culprits in the ongoing manipulation of the market. Interesting. I noticed this manipulation has not been pointed directly at the flash crash itself. So a kid in London can take the market down but the...

Agree. Where the strategy fails is when the positions are too big and markets drop. You have too assume that stocks can drop 90%. You have to be able to average down on a position at that point. This allows you to make considerably more after a major event. But how many people want to leave...

Not done the Mac when working in Chicago. Sydney Harbour and Thailand. Better night life!

Weekly puts have little premium and high gamma risk. The problem with the strategy is that stocks that go straight down or then go straight up will result in losses. If you sell puts and end up owning the stock and you sell a call which has any premium, if the stock rebounds you will be...

The liquidity will dry up in these going forward as other Traders will want to trade standard options. This happens all the time in leveraged ETF's which use options to generate the leverage on a daily basis and thus significant decay over the year. Those puts should be held to expiry and just...