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Sounds like a game of Russian roulette. 9 empty chambers and 1 that kills you. You must love playing that game :) long run expected value for sure!

Congratulations! You are already thinking smarter than a majority of option traders. There is a risk premium associated with selling options which is very similar to the risk premium for buying equity. In the long run the seller of the options should make more than the buyer. However, it's not...

A MM is most concerned with inventory. As more traders come in to buy options, the market maker will keep adjusting his quotes higher. Think of it like Micro Econ 101 - The second slice is never as satisfying as the first slice. If there is not much liquidity, then the bid/ask will be much...

No, I got side tracked by another strategy I am running. The main issue I had with pairs trading is structural shifts - you build a model around a pair and then once you start trading it, there is a shift. I turned to a hidden markov model to assist me which then made me realize, I probably need...

What do you mean? Why would the broker be losing money? They are not on the other side of your trade

I am pretty sure most brokerages offer an api now. I remember @oldmonk was doing some cool stuff on RH. Checkout IB lite as well. Not to sure if they have an Api. TD Ameritrade would be another good option as they are free for etfs. What you are looking to do is totally do able and quite...

Adding to @fan27 - Take a look into how certain factors might affect overnight returns. Start with the famma french factors. Find a brokerage that allows MOO/MOC and has free trading

An ET member posting a PnL larger than $500? Must be edited.

lets start this journal out on a good note..............

unchanged

Hey Matt, as you know I am a big fan of your product. However, I would really like some clarity on some variables. I see you updated the documentation which is great. Could you also give some color of the difference between ImpliedEarningsMove and ImpErnMv. As well, I really like the idea of...

nice. Enjoy

highcharter

You can't hedge your position overnight when the first move after the news is 10%. Look what happened to NFLX. Your CFD is going to be wide af and you ended up hedging at 480 (after the first move). NFLX is trading at 430. You are long a boat load of shares at 480. What do you do now?

Normal univariate distribution does not mean random. Random means to chose without thought. For example - you randomly selected what underwear to put on this morning. If we monitor which underwear you put on every morning over let's say 100 days, we can build distribution to give you a...

You have a ton of speed risk here. You might think you have no delta risk but that will change very quickly. It is true that the teenies around earnings are quite expensive, but you wont get a high return on capital with them. If you go to big and a 5 sigma move occurs (which they do) you will...

You don't by any chance have Tim Sykes course, do you?

It has a lower bound at 14.5 but does not look to have a roll down affect like the front month future during contango.