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I have no idea about retail prop, especially in the US.

To reply to the inital question: use the Black Model as suggested (wikipedia is good on this). This means in generalised Black Scholes model formula set S=F (the future price). Set b=0. Sigma you can play around with to match market prices either manually or as suggested using some iterative...

Sounds familiar...:). Good luck!

Same question you asked 10 years ago...:confused:

It always come back to: what's the point of hedge fund like performance characteristics? It should always be about what makes the returns uncorrelated with other asset classes. If you correlate highly with cash or a stock index then why would anyone pay for that? It's not about high returns...

Because they rank by FS score not returns by default. In the end you can adjust returns to taste by raising or lowering leverage. FS score, which seems to be based on the probabilistic Sharpe ratio, will be very very high for a bank account: no down days ever, very little variation.

Thinking commercials are the smart money is the wrong way round. Commercials can take positions not necessarily because they have any conviction about price but simply to remove volatility from their business's p&l. Only speculators as a group are in the market and only in the market to make...

Short answer: I don't know Long answer (not that have any firm conviction one way or the other, these are just the broad arguments): valuation comparisons are generally done against post 1990 interest rates. Over that period rates have fallen hard. This is likely a one-off that could even be...

HK currency board survived 1997 despite being attacked. Same rate to USD since 1980s. Go ahead sell the HKD, knock yourself out.

They had sub $10m at the start of 2016. Also their model is a longer term equity strategy (see average holding period for winners and losers, looks like classic long/short equity) which would explain high sharpe. Buy and hold QQQ has a 5 year sharpe of 1.6 for example. Don't think we'll know...

It hasn't been called CSFB since at least 2005....do keep up! ;)

Dunno! I may well misremember and I can't find a reference to it now sadly... This paper is pretty good on the OP topic. It's a bit dated but maybe as it's pre-crash but most should find it informative. Just read section 2...

Seem to remember a famous academic(?) paper a good few years ago which examined Citibank's fx trading. It found that they made 100+X% of their profit from the spread, ie they lost on aggregate on positioning decisions they made.

From memory not discussed much. It sounded as if it was just about all they could manage to keep up with the pace of technological change. And the technological direction was all about the market becoming more and more concentrated among a few big plays and the never ending compression of...

Kevin Rodgers's book 'Why Aren't They Shouting?' is indirectly quite good on this. It's more of a wander through how fx trading changed since the 1990s, in particular via technology (he became head of FX at Deutsche Bank). As others have said the list above are all brokers with very little...

An email from IB UK just received says: "Dear IBKR Client, You may have received an alert stating that there was a significant change to the value of your account. Please IGNORE this alert. It was sent in error. We sincerely apologize for any concern this may have caused you. Regards...

I have JPY FOP positions and did not receive any notification. Have also logged into messages to check and nothing there.

Thanks. That would explain why the IB person said something like margin was not affected but it was better not to trade until the problem was fixed. Didn't really get the meaning at the time.

It was indeed a bit scary, even though rationally I knew it did not make sense especially given I'd just checked my account. That said this is another instance where IB Live Chat has been good in my experience. "Gina M" thank you!

Back to normal for me now.