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  1. S

    Well, how the fuck else would you do this job? Cocaine and hookers, my friends.

    Well, how the fuck else would you do this job? Cocaine and hookers, my friends.
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    I don't understand

    It's pretty much a given that if you are working on anything latency sensitive, you should write your own backtesting engine. If you are assuming partially passive execution, it get's really hairy and you can't really trust the results that much.
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    Chanses of early assignment/exercise on ES options

    "American Style. An option can be exercised until 8:00 p.m. ET on any business day the option is traded" https://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contractSpecs_options.html?optionProductId=138&optionExpiration=138-Z8#optionProductId=138
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    I don't understand

    Futures are usually single-listed so the broker is showing you the actual order book from the exchange. The broker is not making a market but rather passing the orders to the exchange. However, if your broker (and/or your personal technology) suck, you might be getting picked off by the faster...
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    I don't understand

    Oh, you are talking about in back-test? Right, as you move your trades into higher frequencies, your Sharpe increases at the cost of drastic reduction of profit/trade. In real life, if anything, you'll find that your trading costs will start increasing much faster than trading profits unless you...
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    I don't understand

    I must be misreading. Sharpe ratios are in general presented in a normalized (usually annualized) form. Tick frequency should not matter in that case, right? For starters, what is your execution model - do you take or provide liquidity? If mixed, what's the proportion? When you back-tested...
  7. S

    Chanses of early assignment/exercise on ES options

    On a futures options the chances are negligible in the current conditions. If it does happen, that's good for you.
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    Pricing leveraged-ETF options

    It's tricky. If you are a market marker, there is a semi-liquid market for conversions in the OTC broker markets, but as a retail trader you're kinda on your own. In general, if you don't have divs, you can get it as a deviation from the implied forward on deep in the money strikes (most of...
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    Writing puts on indexes

    Texas is a great state.
  10. S

    Writing puts on indexes

    I am speechless.
  11. S

    Writing puts on indexes

    Please tell me it's not a real situation?
  12. S

    And so it begins...

    October final, I can ask people for the November MtDs. The numbers are not stellar but they are positive.
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    Pricing leveraged-ETF options

    Yes. The easiest approach is to simply multiply the implied variance by the leverage factor and use that in your model. There is also a matter of adjusting the forward since the borrow rates on these are HUGE.
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    And so it begins...

    I am not even sure what it means to "trade my beliefs". I sell things that I consider overpriced and buy things that I consider cheap. My process (like any successful trader) is based on some rational analysis, not beliefs - in my case I do use some quant methods but also I leverage on flow...
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    And so it begins...

    Ragnarok included destruction and rebirth. I definitely foresee the former, with the latter being a bit away. I personally did great since the festivities started, I love it when the people are hurting. Not sure how the firm did (nor do I really care, TBH, given the structure), but my guess...
  16. S

    And so it begins...

    Let me use some gasoline to put out the fire :) Here are some thoughts from Cliff Asness (he's a co-founder of AQR) on the quant equity perspectives. Note that these are from September and thus do not include the impressions from the past month...
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    Billionaire Ray Dalio Says “Capitalism Is Not Working” for Most People

    For argument sake, the Scandinavian countries seem to be doing all-right in terms of innovation and business development, yet their tax rates are pretty high. Work ethic and desire to innovate or build things is largely a matter of culture - Russian business taxes are very low yet the country...
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    And so it begins...

    I have to assume you are implying that I am frustrated by this? Why, it's all part of the great circle of life - alphas get discovered, live and eventually die. That's true of stuff based on quant analysis, fundamental stock analysis or whatever else. If you can't fathom that pretty much every...
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    And so it begins...

    so others can be as ignorant as I am? :D
  20. S

    And so it begins...

    Of course they did, it's a very scientific way of thinking about the world. That was not their problem at all - it's not like they lost their alpha all at once. Pretty much every one of their trades was a money maker in the long run. In fact, people still do the same trades except with a bit...
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