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Courtney Smith - futures spread trading Moore / Toepke (mrci.com) - Encyclopedia of commodity and financial spreads Joe Ross - spreads and seasonals

Are you prepared to top up your capital for 3 consecutive years (2005-2007)? As per your earlier post, you would have to increase your capital to $130k at the start of each year.

Arbitrage (as mentioned in the title of the thread) is the simultaneous purchase / sale of assets to profit from a difference in price. In the current market environment, arbitrage is virtually non-existing, definitely for 'retail' traders. In your post you use a different term (pairs trading...

I have been experiencing issues with the combination of Bloomberg and Excel (Office 2016) since upgrading from an earlier version of Office a number of months ago. Had both Bloomberg tech support as well as our own IT people look at this, but so far have been unable to resolve my issues...

Generally considered the cleanest: CSI (www.csidata.com) - no affiliation

What makes you say that ??? Butterflies (and spreads Etc.) are used almost exclusively when trading certain products like STIRS, but are also very common in Agri. To answer the original question - butterflies are generally used to trade curve changes / anomalies. Read up on STIRS to get a deeper...

Look for "Hedge Fund Shark Tank"

If you're just starting to trade spreads etc., I suggest you dont start with Nat gas - or at least paper trade for the time being. Imo even crude will give you probably more volatility than you want to get started... There are much more forgiving products out there (stirs / grains) that would...

Wouldn't the correlation lookback period be considered a parameter?

Here you go: http://developer.oanda.com/rest-live/sample-code/ (edit: I'm not affiliated with Oanda)

I stand corrected - I just went with the numbers provided by OP without actually thinking it through... Of course he would be assigned at 125, and not at 110.xx so I indeed counted the premium received double - my bad!

I'm struggling to follow from the point where you said OP is in a losing position: OP has received 9.26 in premium (per 1 contract), and is currently holds the following: 1) Long 2 put 115 (bid ~2.94y) 2) Long 200 shares of DIS at 110.02 (bid 112.38) 3) Short 2 calls 125 (offer ~0.03y) 4) Long...

I'm not really an options guy, but I would suggest you unwind your position - i.e. sell the shares (~112) and the long puts (~3.25), and repurchase the call spreads (~-0.06). Total profit ~14.50, well above your expected max profit of ~9.26. Curious to see if there are 'strategies' out there...

The Bloomberg terminal allows you to interpolate any data point on a corporate curve for which they have data. Not exactly what you're looking for, but I guess this is as close as you will get..

I haven't programmed for a while, but I guess your confusion arises at line 6 (Line 5 is pretty straight forward and returns True). In Java, integers prefixed with '0' (like in a[2]) are interpreted as Octal. 053 (Octal) corresponds with 43 in decimal (see below), hence line 6 also returns...

Every point change in the eMini future represents value of $50. (i.e. a 50x multiplier) If you look up the full-size S&P futures contract you will see a multiplier of $250 (i.e. every point change in the full-size futures contract reflects a value of $250).

I suggest you check your facts.... An option on an emini future is exactly that: the option to buy or sell 1 futures contract. http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contractSpecs_options.html?optionProductId=138#optionProductId=138

Think about this yourself for a minute... What does 50% margin required by your broker mean? - Your broker allows you to utilise DOUBLE the amount of cash in your account. Now if you use this to purchase an instrument that seeks to match 2x the return on an index, you're effective exposure is...

As a quant I trust you are well aware that your 11 diversified streams of return may turn out to be very highly correlated in adverse market conditions... (not saying a 'standard' stocks / bonds portfolio is a perfect solution btw.). I just wanted to highlight this risk for less sophisticated...

Stop Chrome from asking to save passwords By default, Chrome offers to save your password. You can turn this option off or on at any time. On your computer, open Chrome. At the top right, click More Settings. At the bottom, click Show advanced settings. Under "Password and forms," uncheck...