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RiskArb, The gamma disappears at the end of the day doesn't it -- not a big options maven here? Not sure what the risk you are referring to is under those circumstances. And since I am exposing ignorance here, don't these particular options calculate the expiry price tomorrow at the...

Just thinking out loud: After Apple and AMD reported, it would have been possible to hedge the calls by buying ES long last night -- although the magnitude of today's move wasn't evident then. Once SPX moved above 1230 it would have been irresponsible not to hedge -- to me at least. I...

Last few questions: By end of day ratio do you mean that required to stay within the margin requirements or do you use some specific formula -- i.e. want to end near market neutral or some particular bias for the next day. Finally, what's to stop you from just taking a net position...

If the second half of the year is like the first they won't have to worry... I thought professionally managed hedge funds were supposed to be low volatility. :eek:

Macro, I have never really considered trading in this manner before -- ES/NQ, TED, whatever certainly but not a "market making" style. Can you offer some pointers as to where I might learn more about the in's and out's of the style? I'm not interested in the details of what you are doing...

Nice list... It's been nice and quiet since 2001. I think other strategies would prevail if we saw that kind of volatility again. :)

Interesting... Have you asked why they didn't liquidate you on Friday and do they have a written policy for these situations and if not why not? I can't believe you are the first person to face this situation at IB. Nor do I believe they were out to skin you. But it does seem sloppy. I wonder...

Thanks. I appreciate the detail of the reply. I thought it must be something like that but wasn't certain. The cross-margining is esp. interesting.

Interesting, Do you use separate accounts for each side or does your broker allow you to hold long and short positions in the same account -- if so who do you use?

One man's thoughts (MBA from back in '93): If you want to be an investment banker I think the MBA would have been the best bet -- at least in the US. The Phd is meaningless in that area as most of what you are doing are low tech deals -- in a structuring sense -- for high monetary value. The...

I suppose it could be a flight to quality by the Europeans.:eek:

You'd think the newsie's would look at a day like today and scratch their heads. I mean what is the rationale behind today's move? Of course, news reports that the market is heavily gamed might not sit well with John Q Public. Well, as they say in So Cal...whatever.

Yes, I agree with all of that longer term. However, the timeframe we are looking at here is 1 day...:) Having said that, I do like the options expiry idea better.

The economic news today was pretty good actually. Retail firing on all cylinders.

lol...what's the matter you didn't like the academic papers stashed there? :) EricP has been doing this stuff for years. Maybe he will stop by and offer a thought or two...

There is some stuff -- including a few interesting articles -- stashed here . The recent competition and the winning buying the book strategy was interesting...

Well, At least he didn't try to claim in his defense that he had actually made his clients money...:)

What does the half year summary look like?

Thanks, That tells the tale... Sam

Prevail and Jay, I guess what I am saying is my understanding is that an option tick is .0001 and that is worth $12.50 -- like the EUR underlying. So, a price of .0130 is actually 130 ticks and not 13. Is this where I am wrong? I thought that this was what the contract info at CME said --...