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Here's a link to an old thread where this was discussed. Nonprophet posted a paper with some stats on this somewhere in there. It is a small tendency in general, but it looks possible to identify stocks with a higher tendency to pin based on public data - I think they used something like open...

I guess its too late, now the 10-yr market doesn't get to take my money.

No, I just signed up for the free historical data account.

It might be overkill, but Active Management by Grinold and Kahn and Quant Equity Portfolio Management by Qian Hua and Sorensen both talk about similar issues. Another book that is more basic and has a short section on portfolio optimization (with cookbook excel examples) is Financial Modeling...

Thanks much Tubbs. I couldn't get it to work though - it seems to download and doesn't give an error but I have an empty file. I re-ran my es download script so I know the server is still working. If you have time could you check again? I tried your string exactly (with the user/pw fixed...

I know this is a longshot but I am trying to get some last minute historical data too and the instructions aren't on their website. I have an old string to get es data that I am trying to modify to get treasury futures and I can't guess at the syntax, can anybody help me out? I think the...

I think the banks won't care that much if the government liquidates their preferreds, the banks already have the cash in hand. They don't have put options in them, they would have to sell on the secondary market, which they are allowed to do. It would soak up market demand for any new...

Thanks for the replies. But I still think this is a bit puzzling. Atticus: I didn't halve the ATM straddle. The BS prices for the put and call were both around 4 and added up to 8. And to ignore the forward price issue I set the example interest rate to 0. But if you meant I should have...

I also remembered I said I was going to post the study that shows put-call parity violations reflect informed trading and predict stock price movements, here it is: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=968237 I also think somebody was asking about how trading pressure in...

I thought Nitro sounded right but thought it was something I should know for sure so I tried a quick example. Stock = 100 Strike = 100 vol = 20 T= 3 mos rate = 0% ATM straddle price from BS = 7.99 Implied vol should be 1 std of continous return. From the normal distribution there is...

I was smoking crack last night on the tailing the hedge part, I think the rest of that is right. Hedge tailing is only for when you get cash flows before expiration, like with futures marking to market. It is pretty esoteric and doesn't really matter, but I have a funny reason for (sort...

I have to think about that a little more, maybe your personal interest rate matters in your example, but I think I can convince you that the market rate matters too. First, delta hedging is to hedge the market value of your option against small moves in the underlying over short time periods...

I have a quick suggestion for you. Plug 0.25% and 8% into your model, see what the range on the greeks you care about is. With most of the stuff I have worked with (deltas on equities, indexes, commodities) it usually does not matter - the first few decimal places of the delta are the same...

Here's another way to look at it. Assume you are taking a position in a security affected by mulitple risks. You want exposure to some component of the risk - either you think you make money over the long term from exposure to this risk or it is necessary for a bet you want to make. You don't...

I don't disagree with you, I am probably just not being clear. It is not my theory, just a mechanical relationship that causes a skew when the shape of the models' distribution is different than the shape of the market's perceived distribution. If the market thinks there is say a 30% chance of...

No problem. I have been working a lot and sleeping very little lately so I am probably too fried to get subtlety right now. If you mean Black-Scholes I thought it was lognormal prices and normally distributed continous returns. Even if I am wrong my point is still that a single implied vol...

That is a perfectly logical explanation. Another logical explanation is that there is a limit to the capital arb traders will throw in to maintain parity, and sometimes informed traders temporarily overwhelm it. This is more likely in exchange traded products because of the anonymity...

This is a common belief but I don't think it is true. There is a study that uses some short sale difficulty measure to test this and finds no relationship. I think they used stock loan rebate rates but I can't remember for sure. I'll look for it later if anyone is interested. Another idea...

Why do I get the annoying feeling this is a quiz question and not a real question? I've seen some of your posts before, I think you know this! But I'll answer you anyway to avoid having to read through pages of silly guesses to get to the good stuff. Vol skew comes from using a model that...

Here's a different one. Put-call parity violations predict moves in the underlying . When the synthetic stock is more expensive than the cash stock, it is often b/c of informed traders buying the calls, and vice versa.