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Just curious, I thought GC futures had daily price limits... when did CME get rid of that? GC already down another $25 from settlement in the overnight session... broke thru $1750.

Time decay is also going to be related to the delta/gamma, or how much the option will gain or lose in value as the underlying moves in your direction. The weekly option is really just a leveraged directional play (with known max loss). If you're only holding for 3 days, then presumably...

If I wasn't working to build this business, I'd be working to build a different one. I enjoy it. And (in theory at least) fund management is a very profitable business.

With $500 mm, I could blow $300 mm on Megan Fox... And still have $200 mm left over.

Ha, that's awesome this thread is still here. Good memories, trying to navigate the NFA. :) Have to say, almost 2 years later... these guys are pretty harmless (so far).

ZenFire, offered/developed by Mirus, is a repackaged version of Rithmic.

I have personally traded brent options on Rithmic, so it's certainly available. I'm also sure you can get every instrument under the sun with TT. I had a real issue with the accuracy of the TT interface I tried thru Advantage, however.... Whereas Rithmic has been professional (if not...

Because even now China retains huge cost advantages, with increasing productivity + infrastructure efficiency counter-acting higher wages. A Chinese worker as skilled as his American counter-part is earning 2000 RMB a month, with zero income tax. I'd expect the trade surpluses to end when...

SPY looks set to open at 114 this morning. Been selling off hard the last hour. Hedge funds are rarely "heavily leveraged" in naked option plays.

I run a vol arb commodity pool which is short vola. I'm (very slightly) up for the month. Not all option sellers are the same.

Dubai opened down 5% and later climbed back, closing -3.7%. It wouldn't surprise me to see something similar in the US.

The way I see it is: there are some traders (Paul Tudor Jones) for whom making the right call this weekend will make their year, maybe their career. And then for many others, you're making money just fine the rest of the year.... If you're one of these boring traders, and I think I am, I...

I'm sure he means it wasn't favorable to him, rather than a generic statement. I sell delta neutral calls/puts, around 200-380 contracts a month in WTI. And I've kept it up generally throughout the course of the year regardless of skew... minus moments of complete anarchy, like now.

With VIX at 25, a 5% one-day move is about a 3 standard deviation move. Assuming normal distribution, they will happen 0.3% of the time, or approximately once a year. And with a fat-tail distribution, even more frequently. So, you do have to plan for days like this. It will happen again...

I try not to get overly political. I really hope, though, that both parties come to realize how serious this situation truly is. There should be no sacred cows anywhere. They SHOULD be talking about combining significant downsizing of entitlement programs with raising significant taxes.

If you look on BB, WTI and Brent historical iv are basically identical. I assume the while curve is likely a match. Put skew has been in place since the release from the petroleum reserve. In the months before that, there was a HUGE call skew as consumers were the ones desperately hedging...

There is no "put/call" skew, there is a protect against prices going up and protect against prices going down skew. The conversion/parity trade you referred to is used everyday to keep puts/calls priced correctly at the SAME strike. However a "put" skew means strikes under current price...

Not me. I make my money in 99% of market conditions, I don't need to be selling premium after a 3-sigma move in equities last week + S&P downgrade + potential Euro collapse. I'm waaaaaay on the sidelines. I'm in the stands selling peanuts.

Assumption is that std dev of distribution grows as square root of time (or variance scales linearly with time). Quotes implied vol is in annual terms. Easy back of envelope calculation: 1-day range ~= 1-yr range / sqrt(num of trading days in a year). So, 26/16 * current price = +- one day...

I'm not sure I'm qualified to speak for all... but I did have a few lab sessions in here during graduate school: http://mitsloan.mit.edu/finance/stl.php And I really question the educational value of these labs. I think a few weeks on the job would quickly surpass what you would learn in...