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Ok we are not talking about the same thing. Two winners! By hedging a single VIX futures I mean replicating VIX with a truncated series of calendar spreads according to http://cfe.cboe.com/education/vixprimer/Features.aspx. To do so, one can use the Taylor-Lagrange formula to get rid of the...

I disagree. Using an IB paper account, we can see that hedging a single VIX futures with SPY options (series of calendar spreads) requires a reg-T margin of only USD90k (EUR66k). The strategy is not perfect and shows downside risks.

Hi surfer25, one may use IB Risk Navigator: https://www.interactivebrokers.com/en/software/pdfhighlights/PDF-PriceRisk.php?ib_entity=de

With the same notation, let's define f(S)= Call(S,Kdown) + Put(S,Kup) and Sm such that Dc(Sm)+Dp(Sm) = 0 i.e. f'(Sm) = 0. Since f"(Sm) = Gc(Sm)+Gp(Sm) >0 then f(Sm) is a minimum at a given time! Don't forget the time decay at Sm for your strangle is also close to its maximum...

By linear approximation: Dc = 0.254 + Gc (S-584) Call Delta Dp = -0.286 +Gp (S-584) Put Delta where Gc and Gp are the Call and Put gammas You want Dc+ Dp = 0 hence S = 584 + (0.286 -0.254)/(Gc+Gp) Cheers

CS structures this in a swap where the customer receives at maturity a coupon of 10% plus the payoff of a DOC K=110% B=55% and pays the payoff of a DIP K=100% B=55% Rebate= 10%. Barrier is such that enough commission is received. The commission is typically a function of risk. So my guess...

Best edges I know: like poker find fish either people, firms or states.

I agree with you: if you do not perform risk-adjusted performance analysis, worst case scenario analysis (i.e. value at risk) may prevent you from blowing up.

I will tell Sharpe about it.:p

Thank you Tom. My point is that in case of a risk-adjusted porfolio, the expected risk on one instrument should be the same whatever the volatility of the instruments: the more volatile, the smaller the size.

What a great project! You wrote: I do not understand why. So let's take an example. Let say your portfolio contains 2 securities: A (last quote USD50, realized volatility 10%) B (last quote USD25, realized volatility 30%) Assume the realized correlation between A and B is 0.75...

I think what you need is a multi-layer defense system. The first layer is the firewall. Then, as internal defense you can use antivirus sofware, anti spyware, filters, good web browsers, good e-mail clients, DropMyRights… If your firewall and settings are good enough, your antivirus will...

Thank you very much Tradator. It works now.:D

After having operated successfully with the TwsDde.xls, I have problems with it now. I am not able to send orders from the spreadsheet: the error is ‘103 Duplicate order id’. The environment is: IB API 9.62, MS Excel 2003, Windows XP I read somewhere that when sending an order via the...

First, I think you have to consider the financing of the whole portfolio (interests earned/paid on the purchase/sale of shares/options). Then, the negative skewness of the daily price change distribution implies the existence of a volatility skew. For instance, XYZ 6-month 75% put IV > XYZ...

I did not define the risk exposure. 25% risk exposure corresponds to your optimum (r=2.5). 25% risk exposure equals a leverage of 2.5 with a maximum loss of -10% (25%= 2.5 x 10%). 25% => r= 2.5 10% => r=1 5% => r= 0.5 1.25% => r= 0.125

Some thinking about the little quiz: Initial asset USD10K Nb of trades 52 Probability of win 50% Average profit 20% Average loss -10% Risk free rate 0% I simulated 1000 random states of the above assumptions with 4 asset allocations (from 1.25% to 25% for the...

It's $25,000 or USD equivalent. Regarding your question, everything is there:http://www.interactivebrokers.com/en/trading/pdfhighlights/PDF-Forex.php?ib_entity=llc Please note that if you buy/sell FX for different amounts in IDEALPRO you can hedge funds :p in the foreign currency but an...

Here are 3 examples to clarify things. Example 1 : (1) Sold USD100,000 @ 121.92 USD/JPY (2) Bought USD100,000 @ 121.88 USD/JPY (1) means you sold USD100,000 and bought JPY121.92x100,000 (2) means you bought USD100,000 and sold JPY121.88x100,000 So, the balance sheet is: USD 0 JPY...