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Or lack there of.... I just did a very crude day by day range and true range breakdown. since the beginning of this year Monday has been the most quiet on average....

Revisting this topic (again.....) I'm trying to figure out why a short, market neutral option strategy, front month only, based on day of the week profitability is most profitable for me on Mondays but break even at best for thursday friday. (over 6 months of data). If weekend theta is...

Thanks guys!!

doesn anyone know of any good resources for academic research papers related to markets, trading and strategies? I'm particularly interested in Options and volatility related strategies if anyone has an suggestions. Thanks

Who? Never heard of him. What Oil Spill????

Sorry, those positions didnt quite format as I expected them to. Using the following setup, based on this Std Dev, I am hedged (theoretically) directionally according to gamma. Making some money on theta, but my vega numbers are way out. Seeing as this is a bet on Vega, I think I should be...

Heres a real example of something Im looking at. Actually its only part of a basket trade but it will do.Ive ranked the SP100 based on IV percentile, taken the ones with the lowest percentiles so expect their IV to outperform other SP100 stock's IV's over the next 2-3 weeks. Looking at a basket...

Corelio, yep I completely agree with you, I dont actually use this pair, it was just a random example I threw in at the time. I havent actually tested any individual stocks, all ETF pairs so far. Shy if being short individuals. GS and BP have been very good examples of that.....

Mart. Understand what you mean. Probably looking at a similar thing from a different angle. I dont always hold a position to expiration. As Corelio has just (accurately) pointed out, the trade is best described as a pair volatility trade, where I am more interested in the mean reverision of...

Corelio, right. Thats why I started looking for something else. By just focusing on Vega, I was ignoting all the other risks.

mart. thanks for the reply. so by net premium zero, you mean across the 2 different products? so if I was long 1000 theta in ZB, you would have a position that made you short 1000 theta in ZN (using a ZB ZN trade as a an example)

could someone give me an example of a premium neutral trade?

Thanks Atticus. Any particular reason why you use just one side in the options (calls) instead of a delta neutral straddle or strangle? This is the way Ive been testing them, using the underlying to keep each strangle delta neutral. Guess its achieving pretty much the same thing though....

atticus, would you mind expanding on this a bit? When you say gamma trade the spot. Are you refering to gamma scalping each of the pairs to keep them neutral through the trade?

Im all ears!! (well I guess that should be eyes, but anyway.....)

Mart. I do plan to test this on futures some time soon. Just that the equities data is much easier and cheaper to come by. What advice would you offer in regards to position sizing, if I was using a similar strategy on ZS-ZW or ES-NQ or RB-CL or any other futures spread ? My initial thought...

Thanks guys, lesson learned. One cannot expect clear answers when the question itself is confusing. Let me try again...... I have an equities pair strategy (I see no reason why the same strategy wont work on futures however). Lets say MSFT-SPY as an example. I use a spread based on...

Tradingjournals, I was actually selling equal amounts of vega. Do you mean if IV of A is 20 and IV of B is 10, then sell 200 sets of B and sell 100 sets of A??

Rosy, yeah, between different equities/ETFs. I actually did a few tests based on vega, but was worried that by focusing on vega, I'm taking too much risk in my actual exposure to each position. Any particular reason why you suggest vega?

I'm in the process of developing a pairs system using non directional/ delta neutral option strategies and trying to figure out the best way to calculate position sizing. WIth equities, I can just purchase an equal dollar amount of shares. If I was straight puts or calls I could trade equal...