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a very difficult day. could not figure out what the mkt was thinking. carryover positions from 2011 saved the day. +3k njrookie

Hi Epic and Heech, I have gotten many inquiries from friends and families for managing their money. I currently set up an unregistered FA account with IB. I have a few very practical questions that I hope you can help me and share your experience with me: 1. Can you charge a performance...

70+% on retail account (IB PM); low six figures; 3+ sharpe; two dd: ~10%; ~5% this is my 3rd year trading. goal for 2012: mid six figures goal for 2013: hit seven figures for the first time happy new year! njrookie

finally done for the year. +1345

a boring day, but not too bad. some overnight carryover positions paid off. just one more day to go. cannot wait to close the book.

was not expecting much action. will take it anyway. +$4600 njrookie

anyone wants to summarize for the year 2011? to get the ball rolling ... 70% up 3.2 sharpe ratio almost 10% dd during the summer njrookie

his three new books are much easier read. he said he made about 25 cents per hour for writing the book. i agree. he had a void to fill. i feel it is the only book that can get you up and running immediately and you can then learn your way around while making money. njrookie

Maverick, I do not understand the analogy to AAPL EA. For apple, everyone knows there will be news and waited. So the vol is condensed and then evaporated after announcement. For SPX, everyone knows there will be a holiday and trading will be slow. There is no news/surprises. The...

Atticus, If option expires within a few days of EA, the IV is the mkt expected size of binomial movement of stock in response to the news. You can model it in terms of jumps. I was not following $VIX or VIX Index on Esignal. I follow VX F2-CF (Jan) and VX G2-CF (Feb) contracts as well as...

Yes. Could not have said it better for the effects of earning announcement or other major events on IV. The entire probability density b/f expiration is compressed into two up-dn branches of a one-period binomial tree.

NONSENSE. That hurts :) njrookie

Maverick, While I certainly respect your experience and knowledge in this industry, I have to disagree. When you sell VIX future and then cover at a lower level to make 50K, you make 50K. Yes once you take out holiday, per day variance did not really go down. But VIX future calculation...

I guess normalcy means the vol future term structure is upward sloping now, just like a normal yield curve. Both Jan and Feb futures dropped liked a rock on the past week until Weds (down 6% on Weds while SPX was flat that day). Then on the last two days (TH and today), SPX went up while both...

My understanding of $VIX is that it is based a model-free variance swap formula. Effectively it is a weighted average of option implied vol. Here is my thought process: 1. about a week ago, traders in the option market started to sell premium in anticipation of slow holiday season. For a few...

My reading list (in order): 1. two books by Tony saliba 2. McMillan 3. Natenberg 4. Cottle 5. Sinclair Then some more academic books/journals and pick up some programming/modeling skills. njrookie

Despite slow market / grinding up of SPX / holiday shorted expiring cycle, VIX futures stop going down since TH AM. What is going on? I am betting on short-term bottom in place. njrookie

There is nothing wrong using options to trade the underlying. I think it in terms of a delta/direction bias. Options help to reduce volatility of the equity position, or an option strategy can be structured to have a built-in stop-loss or scaling in/out feature. I am new to this too. However...

A more appropriate word for "inefficiency" should probably be "bias". njrookie

option mkt has some inherent inefficiency because equity market is net long and risk averse investor/fund manager can rationally justify paying a premium to reduce risk. human psychology also leads to some statistically stable vol reactions to mkt events. trading vol gives you a whole...