Search results

what are you trying to say here? correlations drastically increase during market turbulence. With all the ETF's available to small time investors, it is so easy to diversify by asset AND strategy. I would (and what do i really know) reduce the 20 stocks to 20 or 10 different ETFs...

Buy below 10 sell above 30. You might be on to something!!! On a serious note, you can not buy the vix out right.There is so much on this topic that I am not about to write any of it here. Google "How to buy vix" that should send you down the rabbit hole.

Actually if you do the math with Kelly on a function where you have rare large pay offs, you end up betting far to little to make a huge impact when the rare event actually happens. Thats why guys bleed out, they have to bet larger to make it worth while when the event happens. The other thing...

If I recall correctly, I recently saw a thread where you were curious about call options and how they react to spot. A passionate driver will want to learn how and why her car works just from her love of the car/driving. At the end of the day if you are going to become a successful option...

I personally believe a strong fundamental knowledge of math and stats is mandatory in trading options. So you most definitely wan't to brush up if you wan't to take trading that much further. An author like Sinclair would not have included it if it wasn't needed. There is really only one reason...

The protection is truly there. You will not lose more than the width of the short/long strikes minus the credit received. I see you are asking a lot of questions on ET (which is a good thing), but I think you should pick up a few books/papers to give you a better understanding of the vol space...

As once mentioned by yourself, "everyone wants to be long convexity", I am amazed you figured out a way to extract alpha being long gamma. I assume that is why you are paid the big bucks. Ps. Would you mind sharing what you were long/short in 2008 (without giving alpha away). I have heard you...

All estimators are from the day before earnings Garch 39% Close-Close 41% Garman Klass 38% An average of say ~ 40% vol. Broken down into 12 days is a daily standard deviation of 1.83%. If we increase the post earnings date sd by 50 % we end up with an estimated vol of 41.7%. Meaning there is a...

Your formula is a bit off, to calculate the Event vol, you are using the term structure method which is incorporating forward vol. The ambient vol you are solving for would be the exact same if you just used forward vol calculation between each maturity

No, because the day after earnings we usually see a move 30%-50% larger than usual days(this will be very significant if there are only say 5 days to expiration). But this is giving me an idea... Since vol is additive, calculate the ambient vol (potentially the way you are suggesting), break it...

I am trading the implied jump vs my prediction on the day of the event. I am having a hard time understanding what you are talking about here. I think we are talking about two different things. :) Oldmonk this looks like an interesting approach to calculating the ambient vol. I usually just use...

Hi Newwurldmn, I am just looking to get close to what the reset will be +/- 5 vol points. With less than 15 bus days to go, the jump will dominate so if I can just get a close approximation to the reset figure that would be great. As you can see in the MBUU i was 25 vol points off!! Horrendous...

hey everyone I was wandering if some of you could help me out with a problem I am facing. In this example I will use MBUU as I put on a short straddle last night as a way to express an opinion solely on the jump. There are 2 models I use to calculate the jump. The first (and most frequent one I...

This thread hits deep on a psychological level. How is this thread different than the bible? There is 0 proof these trades actually happened (actually some evidence they did not) and yet people follow and try to live in the foot steps of "christ". Everyone want's to believe in something...

WOW.. I just realized. @optionsinvestor has only posted in "mytrades" thread. This guy literally started this thread to draw people in. @Baron check his PM's. Guaranteed he's charging for mentorships and not paying a marketing fee to you. Unbelievable. The "traders" that got sucked into this...

Ofcourse you are studying the thread. Do you know how many people have been studying this thread??? I have heard those exact lines like 10 times in the past month. EVERYONE want's to do what this guy did. Turn 2k into 150k in 9 months. Not just that. You guys wan't to do it with no math...

Whose this for?

Yes, Mav is a jewl but it seems he keeps away from the options forums as of recent. "Everything" is not already priced in. You just have to do better than the market(difficult but not impossible). The reason why threads like this catch traction is because they are simple to understand. Everyone...

His stuff is all price action! Why study his stuff and not the other 5 million other people teaching that?

Its "sexy" that he predicts LULU will move higher on earnings. But what was his fill? What was his exit? What was his commission? How much in tax is he going to pay? 2k - 150k in 9 months is done by the "elite". I think @Maverick74 did something like this back in the day. He will be the first to...