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Yup, especially rolls in US bond futures where there is a fair bit of CTD optionality. There are a lot of things to do around basis, rolls etc if you know what to do. For a retail person (e.g. someone with P&L target in hundreeds of K, not in millions per year), there is also a lot of fun stuff...

Riding the Yield Curve is another good book, can't recall who wrote it

I would also suggest learning how the delivery basket and the Treasury bond basis works. Oh, yes, and you don't have to use CME ratios - they are frequently off and you would be taking a fair bit of unwanted directional risk.

Yeah, but his definition of Sharpe ratio is a touch different since he's using Violence in the denominator... nonetheless, I don't think Chuck would bother with the seminars

His sharpe is about 12 aand he's got a calmer ratio of infinity (no drawdowns)... Even Mr M could not produce a track record like that!

4) if anything, 24-hour liquidity (e.g. in bond futures or equity futures) results in lower volatility because open gaps are taken out

when Chuck trades a CDS, it always ends in a bullet payment!

Chuck Norris is selling payers (puts on bonds) - he does not need protection against high rates.... high rates need protection against Chuck Norris!

This is because Chuck Norris' book is long gamma AND earns theta ;)

yeah, and Chuck Norris does not post collateral, he posts collateral damage :)

True, though we are starting to deviate from the whole max pain thing. I think (never done it) that in some assets if you keep track of all institutional purchases (given that most bookies will give you a spam of all trades they are doing, in some sh*t form like "grnH86/88 cs +paper") you...

In numerical fields (e.g. engineering, finance etc) here is reality and there is illusion. You can say it "well, you don't believe it, so don't use it" about everything, for example I know people who use lunar cycles for their trading. Out of curiosity, have you verified for yourself using...

This is so odd, I am not even sure how to react :D . You know, "a seller of X " anything means you don't like it and "a buyer of X" means that you like it a lot. For example, if I say that I am a buyer of Aruba, it does not mean that I am going to purchase the island. Similarly, if I say that...

At the moment I only trade ETFs, futures options and OTC in a very different asset class, so there is very little i can offer to you there. As I said above, the general idea that the stock will expire around the areas of highest open interest is based on the assumption that long option...

I am a big seller of the whole max pain concept. Mainly because it is meaningless unless you know what strikes are delta hedged and what strikes are kept naked. Also, it would only matter if the open interest in a given strike is meaningfully larger then ADV. There was a concept of "put...

Dude, there are 64 ticks per option handle - futures are quoted in 32nds, options in64ths

Yeah, legging a spread is very much like spreading the legs... you might get screwed..

Why do you feel that this is "off'? In general, first principal component of the vol surface dynamics is a root time relationship. Implied "fair" variance (which is what VIX is) for each expiry follows that relationship very well. If you do any sort of term structure trades, you would normally...

We were talking about trading in underlying, in case you did not read the original post. Delta is pretty relevant in that case.

All you have done is substituted market implied vol with our own, the "marking" vol would still effect your rebalancing P&L. Btw, this also assumes that you are managing your book on some form of volatility prediction (very few people I know do that). This type of vol management can produce a...