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Chuck Norris does not post collateral, he posts collateral damage :)

I am trying to build an infrastructure for detecting relative value opportunities in options. The idea is to make the infrastructure "employer-independent", even though I will most certainly use it while working here. The final goal is to be able to open a separate shop, should I decide to do...

(a) What asset class? (b) Did you back-test it in-sample/out-of-sample? (c) What is the historical Sharpe ratio, what is the Sortino ratio? (d) What was your max drawdown? (e) What is the change in Sharpe when you introduce the transaction costs? (f) If it's an option strategy, what is...

Before reading anything in depth, you have to decide what are you planning to trade and in what manner. This would depend on your background. A CS major would be more suitable to algo/medium frequency stuff, an economics major might be more suitable for global macro, a math/stats major would be...

The answer is probably "not with GARCH models alone", but these models are semi-useful for predicting short term volatility (e.g. for hedging options that are expiring within days). From what I've heard, some floor guys use them.

I don't think there is such a thing as "different delta hedging methods". Optimal delta hedging is about trying to lock in the lowest volatility if you are short gamma and the highest volatility if you are long. You can go various ways about achieving it, but overall there are two general...

That's a truism. The majority of people are lazy, have no education or have a worthless degree and are nearly worthless on the job. As a result they are paid poorly. While everyone agrees that there is an employment crisis, it's surprisingly difficult to find good and honest professionals in any...

he does need to worry about theta - when he buys an option, the market pays him premium

in the decreasing order: (a) Excel/VBA (b) Matlab or R (c) Python depending on what you are trying to do. for delta-1 fixed income world (talk to Martinghoul for more details), i'd go with matlab or R - easy to do all sorts of PCA and regressions, very rapid development etc. I use R, but...

Considering that there are anywhere from 3 to 4 million IT professionals in the US, 60 thousand jobs are just shy of two percent. Do you really believe that the slope of the demand curve is so steep that a two percent change in supply will have a material effect on the equilibrium and thus, on...

Because if you are trading anything systematic (not just day-punting) there is usually a lot "manual" labor involved, such as maintaining data, writing code, doing EOD processes etc. A trainee, especially a free one, is a great way to get help in exchange for teaching. Also, it's useful to have...

A sharp move in underlying frequently does not translate into an increase in the implied volatility (e.g. take a look at changes in the index vols yesterday, with a 4.3% day in S&P). Delta hedging, oddly enough, works, though it's more of an art then a science and, in most cases, you want to be...

Couple questions for you to think about: (a) Do you want to hedge your gamma/decay by selling some index vol? (b) don't you think that some of that earnings volatility would actually be priced in?

Try superimposing NDX on top of the graph ...

French, actually, though I've been in the US for over 30 years. But it's ok, just switch the insults to the "frog legs" and "wine at lunch". Oh, and since I am a Harvard grad, don't forget to call me an elitist pig. In any case, I have no clue what's happening in the IT business, but my 15...

I rarely write outside of the options section, but this thread is so full of it that I had to chime in. Given how much effort, money and time it takes to secure a visa for your worker (be it H1B, L1 or EB1), it's pretty clear that employers are doing it because they can't find qualified...

OP question was, as far as I read it: So, from the perspective of practical use ("implementation"), there definitely are differences. Does not mean you are wrong, it's just what I understood his question to be.

True, you will be getting the same greeks and prices in the Black-Scholes world. However, in real world, do you think the liquidity profile, volatility risk premium, directional component of volatility and "jumpiness" of the asset would be different?

and if it does not happen on day 9, you should wait for day 10 :) in any case, a simple excel model will prove to you that trading simply on direcitonality of N days prior is not a good strategy - while you will have good winners/losers ratio, the return from the strategy is rather low.

what on earth is the rule of 8? number of days in decline (as well as number of days on the rise) would be following Poisson distribution.