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Just wanted to say good thread, it's interesting - best of luck in March.

On the same strike, assuming P/C parity holds - IV should be equivalent. This was my contention that any differences could be a result of methodology differences between the funds (i.e. they are using different strikes, expirations, purchasing methods, etc.).

I didn't read the article - but any pricing discrepancy between the funds/notes is probably a result of timing, methodology, and market friction differences. Functionally they should be equivalent. My 2c.

In that order or in conjunction? Would you use a Martingale strategy?

:confused:

...not sure where the SPY will go, I just hope it stays in the States.

Here's the backtest on an FX pair over a certain period of time (hope the attachment works). Basically, on an initial bet of $1000 (looking to target XX% of that as P/L) you'd need $64,000 to withstand any drawdowns. Over the time period it works out to slightly better than .55% return on...

Legally, not that I'm aware of.

Specifics aside, it's surprising that over the long term buying lower beta for long trades (or the opposite on the short side) would work to your advantage. My 2c. ...that said, who knows what they're actually doing.

I'm sure someone would be happy to structure a principal protected note using the case/shiller index - though you might not be happy with it. ...then you still have credit risk, so kind of, but effectively probably not very practical imo (unless you're doing the selling).

Don't confuse the +EV of a player versus that of a game. Poker, on the whole, is -EV, even if the argument can be made that a player has a +EV.

Some say buzzer speed was the key to success and an unfair advantage for Watson. Cool project, despite my fears of robot overlords.

Long DPZ / Short SPY

...strictly speaking, trading is gambling. To further the argument, you'd have to compare trading to a particular game in a casino, they are not all the same.

Dr. Richard J. Gatling?

Very Boiler Room'ish, should make for good cinema. In my opinion, anything DiCaprio/Scorsese is gold - this will undoubtedly be good and will be first in line to see it.

Muchas gracias senor.:) Separately, and what I was also trying to get at, is the method in which he's making the comparison would not take this into account... So, based on what he's saying, if he's comparing 1 Std. Dev OTM options based on X-period historical volatility - he's undoubtedly...

...not sure it's particularly useful to compare such things this way given the differences in markets and conventions. It can be deceptively 'cheap/rich' imo.

Ok, the first step might be to identify all futures you want to trade and when they are scheduled to roll. If you have coverage at MS, I would also ask them, I'm sure they've done some work in this area.

If a contract needs to be rolled 3 days before the 15th calendar day of a month that doesn't necessarily mean that's when most participants will roll it, nor does it tell you what position they need to roll (if they even will) - that's where looking at OI can help you determine what position to...