Search results

Hey Neww, can you explain this a bit more? I'm not understanding the spot gamma vs theta (even after reading your response to gmal). Can you also elaborate on how you came up with the implied carry #?

I'll share two that have worked for me thus far. Maybe it will get @Same Lazy Element to be more generous :D When the ES hits the circuit breaker overnight, place an order to sell the same day expiration (if there are any) puts 20% below the previous close. Trading stops for the day after the...

Thnx!

I was contemplating if that will have an effect on the E-minis. Do you think it will?

Thought I would add this in here. My friend who is a doctor @ an Ontario hospital got pulled into a meeting today. Ontario is likely to go into a lockdown tomorrow. I would like to short the TSX futures but they don't open until 2am and the announcement could be as soon as tonight. Are there...

.simga I am glad you find my posts insightful. However, I am still very new in the vol space. There are a few people on this board who have 20 years of experience. I have 1/10th of that. So please read my stuff with a brick of salt. In regards to your post, I am not quite sure where you are...

This made my day. Thanks for posting

dozu you are 3x levered long @ 3350. Your posts have become meaningless.

Lolol I was going to start a thread "has anyone heard from dozu".

It's amazing how the whole economy depends on a single candle stick.

Since SO and yourself buy options leading up into the event. Would you mind posting a current stock's event vol you have a view on? And your reasoning. That way I can do my analysis on it and we can compare what eventually ends up happening. It will make things more exciting. Also, it will be a...

IIRC, this was steadyOptions software you were using. I thought he buys options into earnings yet I see you have mentioned trading post-earnings quite a few times (double calendars). LOL I am not very smart when you compare me to others in this field (and on this board). Its actually super...

Firstly, nothing I do is complex. Simple things like linear regression is 90% of what I do. Things like PCA, scaling etc..are used to transform variables. To answer the question. It helps me A LOT. Let's say for example I am trying to figure out what the variance risk premium is likely to be...

Linear regression like OLS is a linear model. You can do better by using ridge,lasso, robust etc... one thing that I have learned from a member on this board that has helped me out is, try and get your dependent variable IID(independent and identically distributed) and make sure your independent...

I dont do anything fancy. I get a data set and create a dependent variable and independent variables. I then try to use simple (mostly linear) models to help me predict the dependent variable. The edge comes from good independent variables and good transformations. Once I get my coefficients I...

I am exploring leveraged/inverse ETF's and came across a paper on how the leverage + daily rebalancing effect works. https://www.math.nyu.edu/faculty/avellane/LeveragedETF20090515.pdf. I have a math question I need some help on. It's how to distinguish the break evens for a long L(everaged)ETF...

No coding experience required Download R: https://cran.r-project.org/bin/windows/base/ Download Rstudio: https://rstudio.com/products/rstudio/download/ Open Rstudio Copy and paste Kev's code. Call the function with your inputs: bsProbOfTouch(S,K,T=1,r=0,q=0,sigma=0.1) Then press run. Voila...

I still use them (in my case Interactive Brokers) to see the quotes but I do not make buy/sell decisions based on their implied and historical vol metrics. As a small retail trader, there is some good money to be made in special situations on small/mid-cap names in the vol space. However, you...

Solely looking at ATM IVOL you can view it in a few ways. I usually look at vol in either absolute terms or relative terms. Relative: For example you might use SPY IVOL to help you price an illiquid security. You can also compare SPY IVOL with XYZ IVOL to find rich/cheap trades. Thirdly, you...

What I have found in the vol space is, biases need to be back tested while in-efficiencies dont. For example, the implied var premium should be back tested yet a mis pricing in an option does not need to be backtested (SPY Ivol trading higher than QQQ). I would appreciate your take on this...