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It depends on what level you are at. If you have system development skills there are various neural net software toolkits around e.g. if you have Java skills: www.jooneworld.com The neural net software is only one part of the puzzle. The other parts are: 1) data to train, validate and run the...

Artifcial intelligence in the context of Neuroshell is: "neural networks". These nets are used to predict market direction for example based on historical data it has been trained on. This is the "intelligence" bit. The historical data you train it with can be anything you think is...

Also have a look at www.opentick.com - no web service but their API (support multiple languages) is very straight forward - it might even use REST internally - haven't investigated. It's now free excluding exchange fees. I haven't used enough to determine quality of data issues yet but I'm...

Completely agree, wouldn't dream of running a long dispersion strategy under current climates! Not nearly enough juice to short on the indices for a start. Not comfortable with short/reverse dispersion either so I'm waiting for the right set-up. Thanks IV.

Thanks, good to know.

What would the MM haircut treatment be on a fly dispersion/vol arb strategy: short index straddle + long component stock strangles. Do you get relief on the short straddle haircut from the component strangles? Slightly OT but you mentioned the overnight haircut issue so... MoMoney.

Doh! Forgot the secret sauce, wonder if it goes with fries....

So in other words: portfolio long fly with ratioed cheap wings?

More background info for those that are interested: ProfitTaker has an interesting take on the article in question. Maverick comments a few posts later in his usual inimitable style. All courtesy of the now infamous and mammouth Writing options for a living thread from last year...

Apologies, didn't intend to throw your contribution back in your face :) Here is an unrestricted/summarized version of the article by John that doesn't require registration: http://www.investopedia.com/articles/optioninvestor/03/100103.asp I'll try and dredge up from the depths of my...

Agreed, some folks defend their position more akin to no-touch exotics in which case probability of touching seems more appropriate.

I missed the discussion you are referring to but I'm pretty sure the fundamental flaws in that analysis and statistics have been discussed ad nauseum before. I hope Maverick doesn't get wind of this and we go another 20 pages! To avoid the 20 pages, I'll summarize: If there is an...

Shhh...don't tell anyone about butterflies. I don't want the vols sucked out. :)

Hey, if IB comes up with something comparable - I'm jumping ship. I asked a while ago but it didn't sound promising. Unfortunately, ToS seem to be putting more effort into their thinkMobile WAP application because that's what most people can use. Can't wait for the charting on...

To balance that suggestion, I personally could not advocate putting on an IC 2 or 3 days before expiration. The risk/reward is not attractive - likely to be in the region 20:1 or worse. It is a pure binary bet with very low reward and not even great probabilities to compensate. One...

Is it just me or do Maverick's posts often end up describing some kind of sexual activity?

Coach, can you tell him to give me his money.

I like the terminology :) It depends on the risk/reward and size of the initial position. For a wide IC such as yours I would normally just play the probabilities and let it run as the trade is essentially a probability bet in the first place...but it's easier to do this when your...

Wonton, Ha! You will get a diverse range of opinions and suggestions on how to handle this one. Take your pick. No doubt you will get the usual lecturing about having an exit strategy before you put the position on. I'm sure it is now apparent why that is best practice if it wasn't before...

Just speculating here but if you have been influenced by Riskarb's combo to fly conversion journal then I can understand where you got this idea from. I don't think it was originally the intention of the journal creator to apply the strategy in an earnings environment but that seems to be how...