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Many thanks TLCAP. Some questions are so specific you hope there is just one person out there who knows the answer. :D I'm building a short premium options model for fx and this is valuable info in applying it to the 6 majors.

Thanks for the reply. So are you saying that if one of the majors goes up then most of the rest are relatively strongly up or down in correlation?

As I mostly hear about the 6 majors I was wondering how correlated they are positively or negatively. Is it truly diversification to trade them all?

Very interesting. Nearly exotics as an options trade will be trading options on options.

As you can see you simply need software. Some you have to program, others you don't. Either way the system trader wants to see if an idea has validity before moving forward. I use Tradestation also.

Breadth.

In a seminar setting I was able to ask Keith Fitschen, the co-developer of I-Master, some questions about the market. We conversed about the change in volatility levels in '96 and whether the market is going through a similar transition now to explain why many systems are not performing well...

Nicely thorough. The more familiar you are with the material the faster you will go through it. :cool:

Is it too late to vote? :D

Always there to keep me straight Greg. :D

MDC, we primarily trade options. Your plan depends entirely on timing, thus if you can predict both what stock and when it will go up then options will also work. If you can only predict one or none, then the options will lose. This is a probably a good question for the options thread...

Good job Aaron, I predicted you would pull right out of it. :) Did you maintain position sizing through it all or modify it?

Plot1(High, "High"); Plot1(Low, "Low");

A 3-6 month credit spread, depending on the structure, can take a really long time to make money. Best to your trade.

5 point range on the sp, amazing. I'd looks for substantial volatility coming out of this period in late september.

I was just working with fx data in TS 2ki and was able to manipulate the session times. This may accomplish your objective.

Hi Chris, we also use a dynamic indicator. What is it you use to measure volatility?

Interesting. I remember dealing with the margin situations in equities years ago. This is one place where I appreciate SPAN. Best to you.

HD, purely out of interest, do you ever simply go uncovered instead of the full condor and albatross?

I watch the 5 day atr and right now as a % it is < 1% which is significantly small. These are probably the smallest ranges I've seen during a non holiday period.