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If you vol weight it you'll have large FI exposure, not good if rates go up.

Imo I wouldn't include uso or uup. I'd also take a look at adding some reits (vnq), some credit exposure (HYG and some inv. grade like AGG), and you could also take a look at some mlps for yield (amj/amlp?). As far as weighting, I'd use vol weighted (IBwhatifratesriseomg). You could try...

My understanding is this - yes if you are long vega you are sensitive to a change in IV and are looking for a change in implied (to your point though generally IV/RV tend to move together). For example if you bought a straddle and the only variable that changed was an increase in IV you would...

Nasdaq vix - I think they have a futures contract, but don't think there's much volume. http://www.cboe.com/micro/vxn/

SWEET!!!

Talk about taking things out of context, that marketwatch article really distorts the intent of Gross' piece. Here's a link for those interested in what Gross thinks. http://www.pimco.com/EN/Insights/Pages/Credit-Supernova.aspx

EDGE. It does a body good.

Very nice job. Curious to hear what your average holding period is for a position given the fundamental nature of your approach? No worries if you don't feel like sharing.

m2c - as far as most are concerned the position can probably be considered flatish. SPY and SPX are two different products, so there are differences. Off hand you'd have differences in expiration, so "Sep 12" is not the same expiry for each product (also american vs. euro but assuming...

In your example you'd short the 146put/long the 146 call and short stock and your risk graph would show a profit of $20 at expiry. On the 15th, you'd pay the dividend on short stock thus negating the advantage, and you'd have to exercise your long call to capture the dividend or else you'd be...

I think the next SPY dividend is on the 15th.

Anyone active in the cobra/scorpion venom spread? Some real killer margins there:D

Thought this was an interesting interview with him: http://www.futuresmag.com/2011/03/01/william-eckhardt-the-man-who-launched-1000-systems

That's pretty shitty.

Anyone play these games frequently? Just logged on for the first time and the games seem fun so far. Did three introductory ones and am considering joining to see how I compare. I mean, it's only fun if you're beating other people:p The games were eagle eye, memory matrix, and uh, I...

Some things with low/negative spot correlations to the SP might be things like gold (low/none), bonds (slightly negative), and the vix (highly negative). You could look at gld, tlt, and vxx. This will be more effective if you have long SP delta exposure, then it might make sense to sell some...

Seems like most threads end up in a 'does TA work?' debate, kinda funny. Surf, as of late, you've been pretty adamant about your position on on the efficacy of TA. While I don't generally disagree with you in that I don't believe TA provides an edge in and of itself, I will disagree that it...

"Always bet on black!"

Ivolatility has historical option data here: http://www.ivolatility.com/data_download.j You could also use Thinkorswim's thinkback feature for small samples.