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325 million in todays world is really not that big. They are in the small-medium sized firm. IIRC Vic Neiderhoffer was managing a few hundred million dollars and had a similar PnL graph until... They are 325 million making 12% a year. So if we do the math, last year they were about $285 million...

I have no clue what their strategy is but I would take a guess that they are either market making or selling deep out of the money puts. I mean did you ever wonder - with a drawdown of 1% why they are not scaling up 5x there current position? Here is a very simple way to get those returns (but...

Thats a lot of hype for a company that has done OK over the past 36 months. Sure their sharpe looks really high but holding QQQ has out performed them in the last 10 and 3 year periods. A "quasi" normal investor (not to sure what that is) should care more about their absolute return rather than...

Thanks for the feedback Craig! I see you were there at one point (almost 10 years ago!). https://www.elitetrader.com/et/threads/pair-trading-question.171595/ I am looking for a simple approach, however, I have yet to be led astray by Kevin so I will most likely go down the route he is...

Craig I don't want to come off as obtuse. I am generally curious here. Why would I want to be dollar neutral over beta neutral. If I am placing a bet on GLD/GDX dollar neutral is probably not the greatest idea considering GDX moves about 2x more than GLD. The problem I was having with...

I figured out the answer for why x~y is not the same as y~x. In y~x we minimized the vertical distance and x~y we minimize the horizontal distance. But I am still having a hard time wrapping my head around this intuitively (in regards to pairs trading and finding the hedge ratio)...

Hi Craig, Can you elaborate a bit more on the "trend" factor? I will be looking at 5 minute - 30 minute time intervals across semi liquid etfs. Both regressions actually had an intercept very close to 0 (.00xx) so that's not the issue. Without a rolling beta, Here are the slopes of (GDX ~ 0 +...

Hello, I am looking at pairs trading from a very high level. I would like to build a simple model that gives me a decent hedge ratio. My first look was at a VAR (vector autoregressive model) because I played around with it a few months back. The problem is, it seems like it is most useful when...

On my screen I see OCT 18 - 44% OCT 25 - 48% NOV 1 - 64% NOV 8 - 61% The market is not certain. Some suckers are still bidding on the OCT 25 expiration. It's pretty easy to figure out the earnings date and the risk premium for betting on it with good data, a bit of programming and some...

Here is a link to Francis Diebold lecture on Connectedness. Stay tuned to the end to see quite an amazing graph. He uses realized intraday volatility to determine connectedness. Has anyone done something like this? Creating a dynamic graph (instead of his static full sample one) would be so...

Hey Blue, great to see you're keeping up with this journal. It's nice to see someone on this board really trying to learn options. I would like to save you from going down the butterfly rabbit hole. There is a ton of dimensionality and I always find that one thing always leads to another...

abs 4 week EPS change vs abs jump. Big indicator here guys. I am currently taking a sneak peak on 3 equities with 60 earnings dates. The relationship is clear as mud. In theory, the more efficient the market is, the smaller the move should be. If we see a large absolute change in the...

Not to sure my opinion matters. I am currently inline outside of the soup kitchen....

https://investors.atlassian.com/financials-and-filings/news/news-details/2019/Atlassian-Announces-Timing-of-First-Quarter-Fiscal-Year-2020-Results/default.aspx gross. That one is going to sting. I was originally positioned long the Oct11/18 switched out to above position after seeing how this...

Hey guys I have 20% of my net liq in the Oct18/25 127 TEAM Calendars both put and calls avg of $1.61. Just thought, I would post it here so you guys can sweat it out with me :D. It looks like I am the only volume for the calendars. Wish me luck!

OM where did you get this data? Any chance you can find historical guidance hi/lo band data as well?

Thanks bro! Kev might find this interesting as well. It seems like Trevor is enjoying life right now LOL. I thought he was the Crocodile Hunter at first glance! As usual thanks for all the insight Kev. The results turned out amazing! I am doing a video that I will post here. It's too dense to...

Last week I listened to Diebold for the first time - his lecture on "connectedness". It was a bit difficult for me to follow. His blog so far is much lighter! In ESL they do a fantastic job explaining ridge and lasso. https://web.stanford.edu/~hastie/Papers/ESLII.pdf Page 61:71. Btw, do you...

Going off the concept of shrinkage: We look at an analyst Hi/Lo earnings estimates. We assume, the Hi estimate is too high and the low estimate is to low. We then model the stock's reaction to different surprises within that range. This sounds like a pretty neat idea to me. So if analysts think...

Options do not have constant gamma, which means your pnl is path dependent. Unlike a var swap where the payout is the difference between implied and realized. I thought Nassim talked about this in his book "Dynamic Hedging".....