Search results

There are two separate problems and they go beyond this particular problem, of course. One is the problem of the overlapping periods in the options data when comparing to things like realized volatility. You can correct the errors and R^2 by using several statistical methods (like Newey-West...

Of course it does not work because it's not a regression. It's an equality ("=" vs "~") where you solve for B for a given date (everything else is known, implied vols and strikes). Both K and A are absolute strikes (e.g. 95% and 100%), so the log would be defined

Well, the general idea is exactly that - 1. get information, 2. process it, 3. profit. The rest is details which nobody, myself included, wants to share. I wonder why? There are several other ways of looking at historical skew realization, some better than other and looking at different...

I suspect that he intends to make money, but I could be mistaken.

Well, look at vol in Mar and look at vol in Dec, which one is higher and why?

I think I wrote a bunch about it before, but here it is again. Each measure has it's positives and negatives. Delta-based skew measure (RR/ATMF) is the "purest" measure of skew, but because you are re-scaling by the ATM volatilities. Most FX people use it because it naturally assumes a sticky...

SKEW is a really strange animal because they are using power function payoffs on two expirations and interpolating (the idea was that it would be something that can be actually replicated). Because of that, there are plenty of situation when the actual option skew (as expressed via sk10 or...

Without knowing much about David Web, I'd imagine that one of his early trades worked out very well and he was able to leverage that. KG was born into the right family who not only was able to send him to a very good school but also was able to give him a fair amount of capital to trade. It's...

That's mostly true but not exactly true. If you are running a few million, you don't need that much. You can get a legal structure going for a few grand, too. Once you are managing 25 million you are required to get registered with SEC and there is a bunch of requirements (CRO, compliance, IT...

Since it's China, the execs were really "suspended"...

It's just a way to describe the condition of the coin (e.g. if a coin was laying around in a safe and all design is visible and the it's still shiny).

This one certainly is worth a bit. From $1,300 if in bad condition to $70,000+ if it has never been in circulation. https://www.allcoinvalues.com/australian-coins-and-notes/1923-australian-halfpenny-value.html

In fairness, her trading track record is a bit improbable, don't you think?

Do you always know of what you speak? Cause I've read plenty of your posts where you did not. Conversely, pretty much everything that I've read from George Soros was pretty well thought through, even if I did not always agree with it. That's true about almost any addiction, drugs, alcohol etc...

Maybe I am being dumb here, but what prevents you to start with a flat book and just put stop orders in both directions instead of having a box? I.e. if you have account A: 1 long / order: sell stop -10 ticks account B: 1 short / order: buy stop +10 ticks it's equivalent to...

So net you are flat. Yeah, that makes sense!

You really don't need a parallel setup. Instead, just save intermediate "ideal" target files that would assume perfect execution at evaluation time (i.e. save the market snapshot) and then compare it with live results. The beauty of such setup is that if you have any sorts of discretionary...

Sometimes. But in most cases trash is trash.

IIRC, deflationary spiral is only possible with participation of reserve banking (at least, that's the theory that is being pushed by gold bugs and such). So if you have a "stable currency" and don't create a money multiplier because there is no lenders/borrowers (i.e. you kinda only use this...

You don't think it was a voice trade that was printed late?