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Commuting is a very difficult option if not an irresponsible solution, if you need to be at your desk at 8 AM and have a family (kids and working spouse). I share commuter trains sometimes with WS bankers during AM rush hours. I feel bad for them: snoring soundly in a nice but uncomfortable...

Let me see whether I can bring some Kelly logic to this discussion. Your goal is to make most money in the long run, subject to your risk tolerance. I typically have a running sharpe of about 3 over 3m, 6m, 1y interval and daily standard deviation of 1%. If running sharpe drops too low, I...

week of 2/20-2/24 +3,645 could not get any sustainable runs in the acct equity curve. it is getting rather boring and frustrating. njrookie

A positive week. up +4K. njrookie

last week: +16K YTD: +12K trading too large at the beg of the year. now down to a more manageable size. not enough action in the mkt. difficult for me to make money. njrookie

today +1.4K njrookie

what I have observed and what I am trying to say is that the negative relationship b/w VIX (in points or in %) and SPX (in % or points) is not linear. it is convex instead. The VIX definition effectively has both vol level and vol skew components. My thought was the skew got to get larger to...

slope of IV goes up for OTM puts.

VIX goes up very fast - more than linearly - when SPX goes down. It is related to (risk neutral) skew going up in the option mkt when things flare up. If this is what you means by gamma risk in short selling VIX related products, you might need to hedge the tail risks. njrookie

Thanks sle and garachen for clarifying the rollover issue of the ETPs. The best deal is to: 1 manage both a regular and an inverse with similar leverage adjusted exposure 2 hold zero position in neither 3 just collect fees 4 no risk exposure at all i am wondering whether fas / faz...

30% only? That is scary to some extent. If VIX quadruples, then VXX might double or triple. I know ETN carries credit risk. Naked exposure to vega can always be risky for individual trader. Hopefully the sponsor has much deeper pocket. Settling on daily close without actually owning the...

You mean they calculate daily implied value using mid b/o at closing WITHOUT actually hold the VIX futures? I am suspicious: 1. you can swap your positions to futures if you have 50k lot. 2. that is lots of credit risk. 3. on their daily dollar weight chart, they do show the...

0.8-0.9 correlation is not the same as "identical".

Anyone know how exactly the VIX ETPs roll over each day? I understood how much need to be rolled over. The sponsor claims the rollover is done at mid price of bid and ask. but mid price of which bid ask? a. bid/ask of two separate lags? b. the mid bid and ask of the native spread...

a small loss day. hopefully the bleeding has stopped. -1k njrookie

slump continues... -6K njrookie

Lescor trades prop. The amount of capital/equity contribution is irrelevant. When your prop firm is comfortable with you, your BP is rather unlimited.

I just lost about 50K I made earlier in the year and am back to flat for the year. No tears and no cries. Went out for dinner twice over the weekend. Need to reduce the position sizing a bit though next week to get back into the game hopefully njrookie

another bad day. -15k. atticus: it is new IB. no offense/hate taken. we are cool. njrookie

atticus it is rounding :) what difference does a couple of hundreds make? njrookie