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    Riskarb's combo to fly conversion journal

    yep , I already ran some what ifs and tomorrow PnL is heavy depended on the price action. Heard so much about the smile and decided to check R/R ... Reverse Calendars are much more attractive , imo Thanks , B
  2. I

    Calendar Spreads

    not really , both front and back month vols are inflated , BUT back month have a higher vega (May more then double than March) , so if March vols will lose 20bp , but May 10 its an even $ amount. The rest is in the stock move. Maybe I'm not explaining it right.
  3. I

    Riskarb's combo to fly conversion journal

    got it , thanks a lot
  4. I

    Riskarb's combo to fly conversion journal

    riskarb , huge vols smile [puts] on NTES , reporting AC. What trade would you suggest here ? Tnx
  5. I

    Calendar Spreads

    shakan and Donna , take a paper trade on MRVL RC: MAR/MAY 62.5 call for 2.1 credit , or MAR/AUG 62.5 call for 4.30 credit Not the best one , but you can see the R/R as a sample, reporting after close
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    Calendar Spreads

    Donna , what is the initial rational/edge to enter Calendar (non-event related) ? Is it a gamma , ratio , directional trade or something else ? I did couple of them before and always lost , so many adjustments [and over adjustments]
  7. I

    Calendar Spreads

    got it. They are reporting sometimes soon , expecting vols to go higher
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    Calendar Spreads

  9. I

    Calendar Spreads

    IMO , you must run "what ifs" , that is the only way to learn this strategy. Put greeks aside for a second and try to "guess" next morning variables : vols and absolute move of the stock , then use those in different "what ifs" scenarios. History of last 3 qtrs shows average MRVL's move of 4%...
  10. I

    Calendar Spreads

    are u sure that credit=4.20 ? From last quotes is 1.80 or so. If stock will move less than 10% (up or down) , trade will lose 20-80 cents.
  11. I

    Calendar Spreads

    shakan : ideally , you want your both (long and short) option's premium to be the same next day. If large move in stock occurs , they both might be at zero or , let's day at 10$(very deep ITM), this way you are keeping the most of the premium received. The lesser time left for exp , the more...
  12. I

    Calendar Spreads

    Reverse Calendar , just like your trade on TASR ( personally , I don't think it's a good R/R trade) ; buying front month , selling back month on the same strike
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    Calendar Spreads

    Retail. It's a bit more complex that what you described above , but basically very close. I do it a little different from how Mav describing it in his posts , especially when it's comes to "times to exp" , I almost never put RC if time>15d.
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    Calendar Spreads

    just for one day , usually entering after 3pm and closing sometime next day
  15. I

    Calendar Spreads

    yep , I am trading RC for the last 2 years , excelent results and excelent R/R
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    Calendar Spreads

    I posted couple of real samples of RC on another thread , very similar what Mav described.
  17. I

    Nassim Taleb makes the rounds again

    there is a very serious flaw in historical vols calculations and any analisys (StDev , Longnormal distro) based on HV can be very misleading, IMO. Look at the 30d HV graph from Oct to middle Nov, does anyone want to use those numbers for their future analisys ? Magically , HV goes from 100 to...
  18. I

    Systematic US Equities Investing

    Got ya. I wonder how the bottom(bad fundamentals and TA conditions=short signal) 10-40 performing , now if they are lagging {or down big} the top 30 , then you really got an edge.
  19. I

    Systematic US Equities Investing

    I cannot see so many changes in fundamentals ( like ROE , ROA) in one month , so I guess reshuffling of portfolio is due to TA , right?
  20. I

    Systematic US Equities Investing

    so what you doing for the next month ? Going with all new tickers ?
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