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Murray, In my opinion, the Delaware court system is a very valuable advantage to incorporating in that State. Delaware has a vast amount of legal precedent. It has a unique court just for business law, the Chancery Court, the product of which is a library of written opinions. Most of the...

Oh, I understand you now. You are quite right. -segv

Are you talking about overhedging your deltas when short gamma? -segv

What do you suppose you are getting theta for? -segv

I find all of this pseudo-science extremely nauseating. Do you suppose that you are the first person on earth to ever consider the possibility of mean-reversion in asset returns? http://www.google.com/search?hl=en&lr=&safe=off&q=variance+ratio&btnG=Search Fama, E., and K. French, 1988...

Terrible news for ToS customers. -segv

Always put on the "hard side" first when you are legging a spread. In this case the hard side is the deferred contract where there is less liquidity. If you are forced to take the market, you want to take the market with the smaller spread. -segv

I traded into this spread several times yesterday at $1.80-$2.00 small +edge. I do expect a larger move in the VIX in the next few days. -segv

[/b] Where is the evidence to support the premise that "90% of traders end up blowing their accounts"? Perhaps it is because a job is that which is most accomodating to those who would seek mediocrity. Faith is a poor substitute for thought; it is the negation of reason. If my own...

So you are worried about the slope of the gamma into the last week? -segv

How does the expectation of Phil's current trade differ than the expectation for the majority of his other credit spread trades? Why the sudden panic, since there is always huge gearing in these trades? I am short puts right down to 1280 and might even have some of the other side of Phil's...

Poor, poor, poor Theta. She had a hard time getting a date to the prom, too (all of the binge eating). Theta and I know how to dance, however. -segv

There is non-systemic risk. Think outside of the box; what if your GTC order for some reason does not execute? This could be a technology failure, exchange failure, or anything. Calculate your loss assuming a 10-sigma event, and then determine if you will survive to trade another day. If the...

Are you running long or short? I assume you are using proxy hedging versus full replication? -segv

If you mean by having a complete replication of the index, no I do not. And you are quite correct about the hedge. -segv

I will look for it. Suppose that one creates a basket that closely tracks the S&P 500 index future. When the spread between the basket and the index deviates from its mean by some threshold, one could simultaneously buy (sell) the index future and sell (buy) the constituent basket. The...

I usually end up long dispersion every month, but not as a result of an intentional dispersion trade at the outset. I would probably use swaps instead. Notwithstanding, I know plenty of successful dispersion people, intentional and unintentional. -segv

I forgot this nice paper that directly addresses your question: Option Valuation with Cointegrated Asset prices, Pilska and Duan -segv

While correlation measures the short term interdependence between two variables, cointegration attempts to measure the long run equilibrium or common trends. If a is correlated with b, then a tends to increase as b increases. If a is cointegrated with b, then some linear combination of a and b...

I merely meant that the index arbitragers I know are not completely replicating the index. -segv