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So in essence, lately, you are saying --- as an example: buy the dip works right now (esp. in nasdaq futures) because shorts funds of an appreciable size are attempting almost every day to be an position for an imminent crash (as its been a lagging market, for whatever reasons, a la maybe...

Am I the only one who likes a SQL backend combined with Matlab on the front? Throw the db onto a SSD and properly index the thing, and the only bottleneck is bad program design. I can do anything I want -- and parallel computing toolbox can be used to speed things up ...

what's wrong with requesting the portfolio and then finding the instrument and its associated position?

Need a new JGB thread here just because I'd like to see the discussion take place. 2% inflation targeting, a currency that moves ~15% in response (as verification of it as a credible threat), yet 7 yr JGB yields at .44% and 10 yr at .8%. All amidst risk premia globally reduced (verifiably)...

And then there is the reality that if you want to be employable and are unconnected, HR people (the gatekeepers) will filter out non-graduates by default. The optimal strategy is to get a cheap degree in this case, and attempt to build the network. No doubt the education model is in flux...

James - I love point I, particularly on the wardrobe. You figured things out when you learned how to self deprecate. Fundamentally, to do any interesting "work" (get a job) college makes it a tad easier... And unless you are a great self-teacher (which most aren't...) the skills you might...

if only there were a derivative i could trade betting against traders who opt out of going to school... The expectancy is pretty obvious. (and btw, going to school is much more fun/easier than trading [in the long run]...)

actually good at picking up newsflow pretty quickly. but the headlines are hilarious when some asset moves .3% : Selloff, grandma thrown to the wolves.

If you have the starting option price, you can back out the implied volatility from the option price (given you know the underyling's price when you traded the option). black scholes will give you all of the answers you need. google around for an excel implementation. it's pretty simple --...

Sounds like you could do the entire process from within matlab (excel not necessary) and dramatically speed things up with the parallel computing toolbox from within matlab (enabling you to use parfor loops etc). having your data on a SQL server (on a local SSD drive or array of SSDs)...

awesome... :) btw ES vols were dirty cheap on Weds ... atm call at 3.00 ->15.00... god i need to backtest weekly long only strategies.

If using Microsoft SQL Express 2012 (free), use Import/Export Data (xx-bit) tool to bring csv straight into your database. and yes, you will have seperate tables for intraday and EOD. Then you can use SQL queries through VBA and/or outright SQL queries to do what you want with the data...

Yes. I think this is the same. The long SPY puts and maybe some long calls to capture vol if it for some odd reason upside vol acceleration occurred in the index (although it doesn't seem like that is the environment we are in - but for example, is happening in AAPL now). Can you let me know...

The trade I meant is short VIX futures (Apr for example), long ES options (in a combo I've yet to figure out) to bet on vol converging at expiry. Need as close to a pure long vega exposure through the ES options as possible. Is only way to do it by going long vol as shown in page 8 here, then...

Found a Derman paper that suggested long vertical calls spreads in combo with some short butterflies, but caveat was I am only covered in a certain region. I want a good approximation to be covered in case we moved outside the price region. (some maybe multiple simultaneous such spread...

Missed the party... The S&P opts are at 14.7% vol for May 2012. The VIX Apr (which is priced off the May S&P options) is priced at 20% right now. Recommended methods of getting exposure to long vol without the time decay on May 2012 and maintain a clean hedge to the short VIX apr ? (must...

Every time I try to make friends with a trend, it stabs me in the back, takes my lunch money, and disappears... ;)

Its nice they are european with no margin maintenance requirements, for Berkshire's sake. The odds are, given monetary looseness over the long run, that those puts should be at worst a break even trade.

that was a great laugh.

Have you guys noticed how most all of the base metals have barely fallen relative to 2008? But yet the stocks are beaten down to a pulp... I think the hype on this 'crisis' might just be wrong...