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If you now owe your parents their 48 plus the 3 you lent...then your dad must be Jeff Skilling!

So looking at maturities around 2022, breakevens are currently pricing ~1.7% which seems relatively cheap by historical standards. 10yr CPI averages haven't historically done less than ~2.3% and breakevens could trade closer to 3% depending on expectations in the interim.

Yes long tips short treasuries....afaik the right structure is to trade zeroes to minimize any duration/rate mismatch. Could also sell puts for the rate hedge if you have a view.

How clean are TIPS? They're tied to CPI and according to JPM only have a correlation of ~.36 to CPI from '05-'12. Historical labor compensation has increased at an average annual rate of ~2-3% depending on the area of manufacturing, according to the BLS...

He doesn't post trades in real-time, doesn't use any stops, and he hasn't shown an audited track record - probably just a stealth vendor for Aviva:p

Lucky for him they never used the playbook...Eli would throw 30 yards into triple coverage with his eyes closed only to have Burress jump over everyone and get it. And no one could stop it.

Princeton-Newport had 227 positive months out of 230 with the largest monthly loss just under 1%. Given all that Thorp is responsible for and achieved I find it very difficult to attribute his success to a bull market.

Risk parity is nice because it closely approximates the optimal portfolio when the sharpe ratios of the underlying assets are similar. It removes much of the uncertainty of how to manage or direct assets. Some critics point out it will leverage low risk premiums (i.e. do you really want to be...

...as to your question about when to re-evaluate vol it gets to the question of when to hedge - it's either based on delta bounds or time intervals. Afaik delta bounds are superior absent trading costs.

I believe hedging at the prevailing market IV will provide a smoother PL vol however hedging at your expected and presumably correct realized is optimal from a $ perspective.

You can see the pending orders screen on the mobile app. I usually put a pending order for any spreads when I'm in the Desktop TWS (usually at a price far away from mkt so it doesn't execute), and then adjust the price from my phone to get out of the position. It helps avoid having to leg out...

So you're trying to systematically trade systematic trading systems? I like this system.

...little does she know that Balance Point was created/funded by Steve as a way of recouping 25% on any payments.:p

If the $1.7B valuation includes debt, then that could account for a large portion of the difference and doesn't really present an effective comparison to the purchase price out of bankruptcy and before restructuring (and presumably before demonstrating the company can be a going concern). I...

He's also an angel investor.

Experience is definitely key but the CFA is useful knowledge and could certainly help you get your foot in the door somewhere in finance. If you have the time it can only help. ...it's also not a license, it's doesn't allow you to drive, sell insurance, or kill (Timothy Dalton style).:)

Anyone else having trouble with IB today, and if so knows what's going on? I can't place any order (says "transmitted, not yet acknowledged") - either smart or direct routes. Also can't get customer service on the line.

You're probably right, the VIX will likely move higher, the difficulty is whether it moves higher faster than what the market is pricing. If not the long vol position will be a loss. Some would say right now is a particularly difficult time to buy vol - but then the payoff is commensurately...

Yea, I wasn't at all serious about their auto-liq...I was more poking fun at the idea of an algo liquidating with poise under pressure. I used tradestation and TOS in the past and thought they also imposed addtl margin on futures, but just checked and looks like I was wrong. Since you've...