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Did you ever work at Salomon?Your style is eerily familiar... You wrote any good dispersion trader is gamma flat or long. I am referring to long equity vol/short index vol.Call it anything you wish... I then ask you,apx what underlying notional must you sell in index options to be flat...

Mo,Do you have any idea how he has done the last 3 years???

I doubt he has been thru the sustained crunching of vol cycle that began in late 2002.If the posters are correct to his approach,this equity vol contraction cycle could not be kind to his style of trading.. Its no knock against him

It should be about implied correlation,but it hasnt been the last 3.5 years.I dont know where delta came in to the conversation. Off the top of my head,if you are neutral gamma/theta that means you oversold index vol.You would probably be short 2x index notional as you are long equity...

Mo,I dont know about you,but i dont know ANYONE who has made money trading a dispersion type strategy that didnt "oversell" index premium to the point where tail moves work against them... If taleb made money the last 3 years with a strategy similar to that,he is as good as he boasts

What i think you are trying to say is Taleb sells front month or near by gamma to offset some of his longer dated vega exposure. Bottom line,it appears he is backspread and instead of having a "pure" backspread he is essentially "goes long a calender "which creates short vol in the front...

have you read talebs first book on exotics????

My subjective comment regarding his "attitude" was from reading his first book.It was very clear that he had a hard on for traders,and annoyingly voiced his contempt and loathing thruout the book....His huberis and self appointed intellectual superiority was a bit much.. Bottom line is if he...

Not suprising..Taleb is a bitter frustrated quant with a ridiculous ego...He may have done well for a while,but he probably got smoked the last 5 years if he played the equity markets..He buys the tails and always long vol,and its not sprising he went the way of the dinosaur as vols contracted...

i think the CBOE has free software you can download..how complicated is the position??

Depends what you are looking for.... If you are interested in a programming language that is user friendly is the best in the business in creating markets,groups and sectors,than AIQ is your choice... The charting package needs an update..

If you are interested in creating industry groups and sectors very easily and being able to set up RS relationships AIQ is the best ...BY FAR.... AIQ will also allow you to scan almost anything you like.The charting is a bit old in the tooth,but its a very very good program if you want...

tradedecision looks like a decent platform,but they are ridiculously priced....

Is the Language identical to easylanguage or do they have their own programming language

I thought you employed a 10% stop???? I see stops that are significantly less

Aus,i share your pain!!!! I am an ex floor trader who later ran derivatives desks and always had programming jocks doing everything for me... I ventured out on my own and was faced with the grim reality of having to learn to program... To make a long story short,I purchased Murrays...

Th only reason I suggest it is if you post 15% returns for the year,many people will view that as a failure.If you have 15% returns with a 2.5 -3 Sharpe,you are a star..

I would like to add to that... If you look in Technical Analysis of Stocks and Commodities /Traders Tips and compare identical coding examples for Ami vs Trade Station,Trade Stations code is at least 10x-25x longer than Amibrokers. I am not an advanced programmer and have always wondered...

Alpha, As i have said all along,I think you will find it very very difficult to acheive 25%+ returns running a long short book.I am not saying your return isnt excellent,but I would strongly suggest you post your Sharpe ratio as well. My guess is you will have 17%-25% returns when all is...

If you are considering Trade Station,you should also take a look at Traders Studio...It reads EasyLanguage,and costs about $499.Right now,its EOD,but it can test intra-day data.It has extensive portfolio testing capabilities and a very interesting approach to sophistictaed backtesting.It is a...