Search results

Margin models and leverage ratios change over time. Instead, you want to backtest in terms of return on risk whichever way you like to define it (notional, vega, var etc). If you are trading equities, you can use GMV, for example.

That's not what the article is saying, though. They are alleging that most of the daily volume is not real trading but rather painting the tape by exchanges. PS. I don't trade crypto, but my thinking is that the fake volume is much lower, on the order of 30-50%. Simply thinking that about...

It's included in the forward and by that virtue is included in the price. So you are do effectively get the dividend whenever you are short puts or long calls (otherwise it would be an arbitrage, right?)

LOL

Dude, you really think that in the modern market there are market makers that have less than million in working capital? Actually, since it was the civil case the SEC was forced to cover the legal costs (I was so shocked by the story that I asked our compliance officer and he looked it up on...

I appreciate the significance of the number 42, it's the answer to everything. In an adult world, however, it's not a very large position. What are you basing this number on? Given the recent positioning reports and leverage across the HF universe, I'd think most people are underinvested and...

By "tsunami" I assume you mean this thread or something else? There are good reasons to be fearful here and plenty of smart people are turning bearish. We are sitting on top of an economic expansion that's almost 10 years old, the numbers seem to be turning, there are populist/protectionist...

I am bored stiff (at a family thing) so I'll play. What is the bearish view based on? Is there a catalyst in mind or "just a feeling"?

Unless you are making markets (in SPX, of all things), intraday marks in IV should not concern you much. If you are making markets, you should have a much better system in place.

Sure, let's do sophisticated. I have to assume you are not a Native American. This means that you or your (x-grand)parents came to this country and integrated into a well functioning market economy. Now you are trying to prevent others from coming here so they don't compete with you for the same...

But it's convenient (both process and access). If you can't afford 50/month, you probably should not be in this business.

That's a truism. A smaller player should be able to get a much better return on risk/capital (I was walking from the subway today and saw a penny on the sidewalk - an arb!). There really is no hard rule for this. You are measuring a lot of things at the same time - the effort needed, the...

How is it different in your mind from any other trade (say delta-1)? You have the current level, the forecast, you know your transaction costs and have some ideas about risk. It boils down to the question of "how much do I make if it goes my way and how much do I lose if it goes against me?".

Well, how much was it down from October?

What current trend? GSCI is down from Oct, down from the recent peak in 2014. Are we living in the same universe?

If you implying that commodity indices imply inflationary pressures, I beg to differ: GSCI Mar 2008: 8207 GSCI Mar 2009: 3507 GSCI Mar 2019: 2538

I am merely saying that your illiteracy goes well with your xenophobia.

Are you assuming aggressive execution on all sides? You might an SOR, that's a low tech solution to that problem, but I'd avoid an SOR provided by a discount broker for obvious reasons.

Have you ever traded any latency sensitive strategies before? Because it's not a single number that matters