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Why are there no ETFs or closed ended funds that give retail exposure to a delta hedged straddle or a replicated variance swap? I would imagine something like this would be a hit. A delta hedged put strategy would also make a lot of sense. This would be a great way to give investors exposure to...

There are quite a few things wrong with using these numbers. VIX like the Varswap is closer to the 90% moneyness strike than the ATM strike so those numbers are already biased high. As a retail trader it's best to compare the ATM strike as you are trading options and can not trade the varswaps...

There is still a risk premium, .80 is not nothing. Just don't think you can start selling 30 day straddles, have a mediocre hedging strategy, pay your taxes and walk away doing better than buy and hold the S&P. If you were selling a variance swap you would do much better because its priced...

"collect" is the not the right term to use. Plot the IVOL-RVOL spread (lagged RVOL 20 days) over the last 10 years. The mean is less than 1 point. After commissions, taxes and sub par hedging you would be lucky to come out with a profit. Data is provided by ORATS. RVOL is 20 bus day tick data...

I am reading Brian Petersons research on how to build systematic strategies https://www.researchgate.net/publication/319298448_Developing_Backtesting_Systematic_Trading_Strategies. He states - If we have a good conceptualization of the hypothesized properties of the indicator, we can construct...

As H20 stated. Vol is likely to stay bid going into the event. The stock only needs to move a few dollars to start making this position a loser

I have been taught - If you have a delta view buy the stock if you have a gamma/vega view buy the option. With that said when I go to Bloomberg seminars the "market specialists" often talk about buying options for a directional view. It's hard to think about buying options for a directional...

Actually one more thing Heydrrich. I am going to be pulling from my github. When I pull, do I have to clone the whole document or is there an alternative

Brilliant. Thanks for all your help @Heydrich. To add to your advice, this link was the final piece for me https://www.digitalocean.com/community/tutorials/how-to-set-up-automatic-deployment-with-git-with-a-vps

We are almost there. So I followed the links instructions and pushed a script to git. The script simply says - every 5min send me an email with the time of day. I would like to run the file and turn off my computer to see it in action. Is this line the final piece to the puzzle? wget -O -...

LOL. Little does Kevin know about his shrine our schools trading team visits every Sunday to pay tribute. "The Legendary Kevin Schmit". When you are at the terminals next week, we can go over some of what Kevin wrote. I'll do a bit of research over the weekend (as I am not very familiar with...

After talking with IB they said I can transfer in and out to a joint account Unfortunatelty it will be necessary

I am from Canada and looking to start a business with a partner in the states. For our business I will need to transfer cpaital from my IB account to his IB account on a frequent basis (once per day for the first 6 months and than once a week after). The flows will be going both ways. For...

I decided to go the route of Digital Ocean with Ubuntu. Everything is up and running and I have R installed on my VPS. My next step is going to be using cron to run my R script. However I am not too sure how to save an R script to re-use in the console. I am so used to using R Studio that I am...

Thanks Guru! I like the idea of storing the run times. For some reason I thought it would be much more complicated. Seems easy enough.

I am currently doing windows task scheduler which is what I am trying to move away from. It looks like I want to go the approach you took with your C# script. Would you mind giving me a brief overview and then I'll fill in the gaps. I am more interested on how you set up the server and how...

hey guru I think you are familiar with C++ IIRC. I need a program that will run the C++ script every N hours. Lets say you have a simple script #include <iostream> using namespace std; int main() { cout << "Hello, World!"; return 0; } I want my instance on AWS to run this at specific...

Hey everyone, I have code (R of course) that I have running on my PC. Every hour my PC wakes up and runs my .bat file which runs my .R script. I don't like the idea of my computer continuously waking up. Some times I come home and my task scheduler ran the code past my end time (lets say 4pm...

Im pretty sure I was a few beers deep and extremely excited when I said that (as it was a really big day for me)! What I meant was given my risk parameter I was hitting the upper threshold on what I could have made for the day. I was using defined risk trades (long flys), I usually calculate...

Let's say you have 2 companies Company A = $20/share with Eps of -$1/share. This gives you a P/E of -20. Company B = $20/share with Eps of -$10/share. This gives you a P/E of -2. Without looking at P/E we would prefer company A that is only losing -$1 a share over company B that is losing...