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Is order arrival rate analysis superior to DOM? I keep hearing OAR...

May have been discussed already, but how does one measure if a divergence between co-integrated stocks is caused by informational shocks or misinformed traders.

What would you have done here? See attached

I'll back test some ideas, thanks guys

Does it pay to closely follow the bid size size and ask size differential? Is it better to look at the bid/offers close to the current price than the aggregate size?? See attached...

Mutual funds are a major part of the reason a smile exists...yes, mutual funds hedge with options (and futures, CDS, and other derivs)

search for a VIX white paper, they show the details of the calculation over a rolling 30 day period

that's what I figured, but thought I'd ask anyway... thx all

collect dividends? Are you referring to being short vol or premium? This strategy can also be considered nickel vacuum in front of steam rollers. Large number of small wins, small number of large losses

Thanks for the points. Do the futures ever trade at a deep discount or premium to q's? Sorry for the dumb questions, but I need to know.

Any major reason why one would want to trade QQQQ over NQ? You get better tax treatment with NQ than you do with QQQQ. Are their correlations ever below .99? Is one slightly more volatile than the other?? thx

Well respected in the ET community? Or what? he posts a lot of 'esoteric' methods??

It now costs $570,000 to insure $10 million of Dubai sovereign debt against default for five-years, up from $440,000 at Wednesday's New York close, according to data provider CMA.

So Dubai World is the Sov Wealth Fund that bought up a ton of stuff over the last few years?

@1086.25 :confused:

@1090.50 ????

what is zeta? A derivative of a greek?:confused:

And this is good because it is less of a drag on computing power? Thanks for the replies

What's the significance of fast fourier transform and discrete fourier transform?? Is it used widely in practice?

http://www.optiontradingtips.com/pricing/free-spreadsheet.html Create your own template to your taste and have it call values from the spread sheet above. Side note: saw a nice back of the envelope calculation there for ATM: .4 * S * IV * sqrt(T) Extending that to OTM: .4 * S * IV *...