Search results

The net premium has very little to do with how much market maker is going to make on your trade. What matters is delta - if you try to execute a tight zero-cost collar it's a god send to AMMs.

Call the floor and you will get filled very close to mid.

Nope. These trade OTC only, so you need an ISDA to trade them.

Nothing magical about doing identical strikes as long as you are root time vega neutral.

How is that bad?

If the OP is trading calendars that are root time vega neutral, he mainly should care about how the forward volatility responds to the realization of the front. There are fairly straightforward approaches to that based on historical analysis.

If you see that your algorithm is losing money, do you follow a process? I.e. do you try to figure out why your results are not corresponding to your model?

I had to look it up.

My offer of a chat for a drink still stands. Unless you think i don't know enough about options.

Buy me a drink and ask away - I'll do it for free out of sheer boredom :)

Rolling x days or months as opposed to using fixed expiration as represented by the exchange traded options. This way, you have much broader sample space with respect to distribution realized by the underlying

In an ideal world, it would be volume times vwap. In a less ideal world, you can estimate vwap as avg(open + close + avg(high, low)) assuming this is for the US stocks.

The iPad version looks very nice. I might give it a try.

Suddenly, I got an alert that some people liked my off-the cuff idea. So I did a quick post-mortem on it. Two month later: DB: (17.57 - 16.27 + 0.21)/16.27 = 9.28% XLF: (23.84 - 23.46)/23.46 = 1.63% * 1.4 beta = 2.23% Net profit of 7%. PS. probably the nicest way would have been to buy a...

You feel the urge? 15-20% of what? :)

That people are lazy and deserve a beating. Simple, really.

It sounds like a fetish of some sort. Software is a tool. If I am running a team of 2 myself included and Excel is sufficient, there is not reason for me to increase the number of dependencies and waste my time learning a new product. NASA has different requirements, different team size and...

I used to use mail as my main "organization tool", but this time around it's getting out of hand. A simple execution engine spawned 7-8 threads with different results, todos etc. That's why I decided to upgrade my process.

Sorry, the fact that I would rather use Excel instead of adding yet another tool to my technology stack points to my "social de-evolution" how exactly? PS. FYI I am a PM at a top 100 fund, not retail but your derogation of a small time investor is touching

I was bored. This was more about the media representation and less about BG :)