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Thanks!

Would love to see it. You'd think some academics would have studied it but I could only find it mentioned as a second or third order effect without much further study given as part of studies about something else.

That's what I've seen as well, it's like the VIX futures going into backwardation after a big move up. Thanks for the thoughts.

For indexes, specifically SPX and RUT, does the smile get steeper or flatter during times of high volatility? For example, last week's high volatility seemed to flatten the smile, i.e. a short dated option 50 points off spot had a similar implied vol to an ATM option where as three weeks ago it...

There is actually not a great "carry cost". However they do track the daily percentage return of the index, which is a very different thing than tracking the index or inverse of the index. Depending on the path the index takes this can lead to unexpected results, for example over several months...

I second the advice that you take the time to read up on what drives options values and get a firm understanding of volatility and options pricing based on volatility. Options are two layers deep, and the second layer isn't at intuitive unless you're already an prob/stats geek. For example, to...

Given that oil stocks have been getting killed by a glut, it's hard to see what impact any administration would have? Going crazy let's say he successfully does something like imposing a ban on all oil imports (anti-trade in general, not something he's specifically said he'd do), it still...

So maybe the auto-liquidation part is a bit tinfoilish, but the conflicts of interest are identical if you're paid for order flow or you direct it to a wholly owned subsidiary, so it's disingenuous at best to claim IB doesn't get paid for order flow and by extension is somehow better than other...

This is pretty good analysis. While I believe the odds clearly are in Clinton's favor, there is a non-zero chance that she isn't elected which doesn't seem to be priced in. There's also a non-zero chance of some crazy rednecks lighting their trailer parks on fire, which won't impact anything...

When you direct order flow to your wholly owned subsidiary you're benefiting from order flow! Perhaps pedantically you're not getting "paid" unless TH makes internal transfer payments to IB, but whatever conflicts of interest arise from directed order flow happen with the IB/TH combination the...

Predictit.com is legal for U.S. residents. There is something like a $850 maximum bet on each line item, but there are enough different ways you can bet on your favored candidate winning or losing that you can put a few thousand dollars up. Unfortunately for your strategy the prediction markets...

Just so you know, the Vice President of the United States can neither initiate nor veto legislation, so what Kaine "drives" is pretty immaterial unless you think he's going to lose and remain a senator. Not to mention the fact that he's shown absolutely no inclination as a senator or candidate...

Because she's unlikely to do anything that disruptive to Wall Street, remember you're all screaming about the "Goldman speeches" and how corrupt she supposedly is in the pocket of Wall Street? Can't have it both ways.

You also have no idea that this wasn't just data mining without an out of sample test. I've found lots of spectacular strategies using Quantopian that then fail spectacularly on an out of sample or forward test.

I'm guessing he was trying to see if he could put less money in up to enter a synthetic put than buying the actual put.

Thanks, I hadn't tested that with SPAN and didn't realize it worked, although now that you describe it the concept makes perfect sense. I'm with OptionsXpress now so I'll be giving it a try with a small position this week to see if there are any idiosyncratic gotchas with their system. As long...

Do you mean selling short the future if you're long the option or vice versa? Doesn't that still require you have a substantial extra amount of cash on hand to purchase the future, or is margin smart enough to realize that you have the option and net your margin to $0? Obviously this wouldn't...

If you do look at it and run a linear regression you'll see that there's a relatively low r-squared (see page 27 of the paper at...

Those are all good points, especially 1256 taxation. I would point out that if you plan on holding the options to expiration (or in the case of IB within 2 days of expiration), as it sounds like you might, the ES options deliver into the futures so you'll need the cash on hand to purchase the...

SPX weekly options automatically settle to cash based on the M, W, and F closing prices. You don't need to take action. The closing date isn't really relevant, they behave as you'd expect, i.e. the Monday option expires at the close on Monday. SPY options behave like any other stock options. You...