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I'd expect that the volatility market responds very quickly -- within a day -- to reprice options when realized volatility increases.

In Positional Options Trading (2020), Euan Sinclair says on p110 that "short-dated options had the highest variance risk premia" according to the study Which Index Options Should You Sell? and that "returns from shorting OTM put options were concentrated in the few days preceding their...

VXX (long VIX futures ETN) has a lending fee of 33.8% on Interactive Brokers. If I were to buy a large position on IB, what is the chance I would be able to lend the shares, and what fraction of the lending fee would I get? VXX has had very poor historical returns since long VIX futures is a...

The study looks at slippage based on trade prices, not commissions.

The 'Actual Retail Price' of Equity Trades is a recent working paper, covered by Bloomberg. According to Table VI, the average roundtrip cost for all trades, in basis points, was 7.2 TD Ameritrade 19.7 E*Trade 23.4 Fidelity 31.4 Robinhood 44.4 IBKR PRO 46.2 IBKR LITE 61.9 NBBO (Worst...

You are just making noise.

VIX options will priced relative to the VIX futures contract with the same expiration, not spot VIX.

If you are able to time the stock market intraday why not just go long or short S&P 500 futures?

What value did you add to the post just before yours?

Define "smart". The closest thing America has to a national IQ test are the SAT and ACT. Do you doubt that the average score of quants who took those tests is high? I have worked as a quant, and most people who know me would say I am smart.

Could you explain how? If I understood this I would more comfortable investing such an account.

Nexo says you can earn 8% on a Fixed Term bitcoin savings accounts. Would it make sense to invest in such an account and hedge the price risk of bitcoin by shorting CME bitcoin futures or BITO? The main risk appears to be Nexo becoming insolvent -- I don't know how to estimate the probability of...

Even if that's true, one could in theory short overvalued stocks and hedge by being long individual stocks or an index.

Thanks for this. The CFA (Chartered Financial Analyst) curriculum could be of interest, although it covers accounting in more detail than most traders need. What about the topics of derivatives -- futures and options?

RIP. I recommend his 1997 book "Cybernetic Trading Strategies: Developing a Profitable Trading System with State-of-the-Art Technologies", which is cheap used on Amazon. He had interesting ideas for intermarket technical analysis, building on John Murphy's work. He also published many articles...

She can wear what she wants. I don't think disrespectful comments about women belong on this site.

https://www.cnbc.com/2021/05/03/verizon-sells-yahoo-and-aol-businesses-to-apollo-for-5-billion.html Private equity firms cut expenses at firms they buy. I hope Apollo does not get rid of the data downloading features of Yahoo Finance, but I would not be surprised if they did. People who rely on...

Have you looked at ARMA (autoregressive moving average) models, perhaps supplemented by GARCH to model conditional volatility? Those are the classical time series models. There is a book from 2000, Non-Linear Time Series Models in Empirical Finance by Philip Hans Franses and Dick van Dijk.

Stock prices are commonly modeled as a geometric Brownian motion to value stock options, as in the Black-Scholes model. How do you model a stock price where market price is temporarily disconnected from the fundamental value and is far more volatile than it? You can write S(t) = z(t)*s(t)...

I think shorting UVXY has positive expectancy, but it is highly correlated to being long SPY, which also has positive expectancy. I think being long stocks is a safer (losses capped at 100%) strategy than unconditional short UVXY, with a higher Sharpe ratio.