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Most things economists come up with aren't applicable to real markets. That's why they invented the Lucas critique after all, so if their models fail, they can simply say "Oh our models failed? That means the free market is working just like we predicted!"

Interesting read: http://pchen.ccer.edu.cn/homepage/Major%20papers%20by%20Chenping/SNDE96p.PDF IMO random walks are a joke. markets cycle and can often have fundamental, lasting changes (option pricing memory etc). Better to analyse markets from this perspective.

Vol tends to cluster. There's a paper somewhere showing the market outperforms when vol is low, as do premium selling strategies. When it's high (VIX is in backwardation) it's usually a terrible time to sell vol because spikes and instability tend to be followed by more spikes and instability...

yeah the IV ranking is bullcrap. For example, last year was a fantastic year to be short vol despite VIX being super-low. That's the nature of contango. I'd rather be shorting vol when it's low than when it's high, because if it's high; it's often so for a reason. If it's low, markets are calm...

Hell yes SPY @ 190 u mad?

Was just trying to fit in...:( This is the ES Journal after all... (Secretly though I've been permalong since jan'13 :cool: through short vol, sitting here with a shit-eating grin on my face everytime mkt grinds higher) I feel I'll prob go to hell eventually for feeding off the permabears...

if picking up pennies in front of a steam roller is stupid, is it smart to drive the steamroller instead? that is the question one must ask. and all data points towards the fact that OTM lottery tickets pay out far less than what their price implies. so you're better off in front of the steam...

LOLWAT Man I love all these conspiracies people present. Only brokerages know the "REAL" value huh?

Hardly news. The premium in options is documented everywhere these days. On avg. it's a bit above returns on equity. Bottom line is, don't buy options unless you have hedging needs or a damn good directional setup. End of story.

Tomorrows crash will be like nothing we've ever seen before...you heard it here first

Yes, IB allows routing, for a hefty cost. Their SMART routing is the cheapest option, where you have no control over where your order goes. I'm pretty sure they employ dark pools and various internalization, however you get zero access to any of these markets, of course. If you know any...

And how many serious investors go via prop firms? And how many prop-firms have access to HFT-type infrastructure, all the worlds dark pools etc, let alone give you access to them, without having you bleed commission money out your ass? I'm not very familiar with the prop firm industry, but the...

1900 should be like a magnet

Yeah that's whats called barriers to entry. The higher, the less efficient the market will be. I mean, everyone can become a billionaire cowboy astronaut as well, if they "want it badly enough". Unfortunately that's not quite how it works... With HFT however, there's really nothing stopping...

Trade on sim until you have a solid, proven profitable plan on how to proceed. Dont trade real money until you have all this in place. Keep studying, read as many articles you can, watch videos of options, read up on Black-Scholes, the greeks, get some good books (Euan Sinclair) etc. There's...

That's the exact problem. And it's not just my broker.

The problem right now is there's huge barriers to entry and little to no transparency into the "new" market making. I dont mind HFT getting subpenny advantages, special order types etc. as long as everyone has access to it. New regulations should force this out into the open so everyone can play.

What about filtering the data based on out-of-line IV numbers or based on some criteria for max b/a spread? Then look at two nearest correct IV numbers, interpolate and insert it on the strike with wrong numbers, then recalc price and greeks? just thinking out loud. I have no idea how they do...

Reason?

If someone steps ahead of your order in increments that you dont have access to yourself, obviously thats a problem. Its one of the things I would be against. Also SMART routing imo is dubious. I've put in orders via SMART (me being best ask/bid) and have orders execute past my price on the tape...