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Are you sure about that? Cause I am saving this quote for posterity :) Anyway, I hope you can see where the risk come from now. This does not mean that it's a bad strategy for you, just that it's a riskless arbitrage. Now, at the risk of contradicting the OP, I have to note that there are...

Ok, so think about the situation when the calls would get early-Xed. Calls get Xed and your stock goes with them - that would mean that the calls are ITM (i.e. the stock went up after you put on a position). What do you think happens to the price of the put when the stock goes up?

So it's not really riskless right? There is a dividend gamma that you are explicitly short. What was your plan for this morning if the call was early-Xed? PS. "There are no free lunches, there are only cheap lunches!" (c) myself. It's a fairly common thing to see "risk-free" money, but there is...

https://en.m.wikipedia.org/wiki/Stationary_process That's what I meant by "stationary". Any market neutral strategy is usually based on some transformation of non-stationary asset prices into a stationary series (returns, beta neutral returns etc). Otherwise I am in full agreement with you.

Could you give the breakdown for the trade? Are you saying that you traded ref stock at 39.8?

Lol, buch of "satisfied customers" coming and posting here :) of course, that means that they are REALLY GOOD, right?

I think the statement is more like "a properly constructed spread is stationary, while stand-alone asset price series usually are not". That transformation comes with good and bad, obviously.

The answer is either "the guy will do some chores" or "he brings to the table skills that I do not have". There is also value in redundancy - if you have a junior, at least you can take vacations

Yes, working for a successful PM or a prop trader, preferably in a good institution is the best way of learning. It's hard to find and get those jobs if you are the guy who wants to learn. Oddly enough, at the same time, it's hard for the senior traders to find good juniors - there are plenty...

Now, hold there sailor (or is it pilot?) :) You can mathematically prove that leveraged ETFs are inherently short convexity, I have even derived it for someone. The path dependency, while there, is secondary - it's equivalent to pointing out that because of gamma weighting, realized volatility...

Oh yeah, I got some fun stories there...

I find EST most intuitive for me - I know what opens when etc.

Imagine you go to a casino, walk over to roulette table and place a bet? Does the sizing on the bet (a.k.a. risk management) change your statistical expectation (which approximately -5%)? By sizing your bets smartly, you can make your money last and maybe get a few free drinks, but you are not...

Most people lose money because they do not know how to make them in the first place (i.e. they do not have alpha). Risk management is important because it reduces your path dependency as a trader but it does not change your expectation.

how is that different from a.join(b, how='outer')? PS. I have switched to python/pandas from R and seem to bump into these difficulties once in a blue moon

I use concat with axis=1 so they get aligned. Ideally, I'd like to get everything but with separate column per instrument. E.g. this works fine on two fake files, but seems to fail in real life: import pandas as pd a = pd.read_csv('a.csv') b = pd.read_csv('b.csv') a =...

(a) Most stupidities in trading can be prevented by simple common sense. (b) Experience. To quote my old boss, "spanked bottom is a well calibrated model" (c) Play to your advantages. Being small has a lot of value. Mice have meals much more frequently than tigers do.

At the very least, what asset class are we talking about? Skew and spot/strike behaviours in equity, rates and FX will be completely different :)

So I have a collection of time series from a few different global locations and all have time stamps based on the local time (US/Easters, US/Central, EU/London etc). I need to merge them all into a single data frame with consistent time stamps (my preference is US/Eastern since it's more...

Indeed :) more like a $2 wife