Search results

Hi adam, low P/E large MKT cap is very different than high priced high vol stocks. If you could provide research showing this is true I would love to see it. Although Euan mentions this in his book, and tries to prove it with a small table of data, it does not excite me. On top of that Low P/E...

Thanks for the comments everyone, I am pleasantly surprised with the support. I was a little busy over the weekend and was unable to write a thorough response. Currently I have created a spread sheet on bloomberg that does the basics of what I am looking to do. I will post it down below. The...

The problem I am having is creating an efficient layout. This is what I have right now which is only in 1st level form. I would like to get it to 3rd normal form. Did you directly code in SQL to interact with your database? I am trying to create a script where R(or whatever language would be...

I am trying to build a remote relational database that contains earnings information on roughly 1500 US equities and 100 CAD equities with about 8000 new rows added everyday. I am having a few problems when it comes to database design and implementation. I was wondering if there is anyone on...

You can't use the dollar amount difference as an approximation of the jump. If you go on think-back on TOS check the dollar difference between the 2 expirations 2 weeks ago. It should be less than the current $4.66. This is because event vol does not dominate total vol when you have lots of time...

Hey raf, I'm curious to know where are you getting the $4.3 earnings move? The calendar is a relative value play. You want to isolate the event volatility (implied move). To do this you take a long and short position on the ambient vol (the vol leading up into earnings) hence the calendar...

Is this for all optionable securities?

I was not able to sign up for either of these (canadian citizen), but just incase you ever wanted access to a retail api, Questrade trade rate limit is 20 calls per second! 1k min deposit. I just got approved today and the api is very nice.

Why not become a mentor? You have more experience than half the guys teaching right now. Use some of your money to buy a camera and spend some on marketing. You are still in the "trading the breakout" phase which means you are quite a long way from turning a long term profit. Being a mentor...

hey guys, I have been busy with working on a database this week, only did 2 trades all week, I will most likely not be trading often until I am near close to finishing it. But I noticed an HD trade that looks pretty juicy. short Feb22/Mar1 calendar. Feb22 vol is 18% and Mar1 is 27.2% This puts...

This is not what srinir or the article is pointing out. High Beta stocks underperform leveraged low beta stocks. By constructing a portfolio of short high beta stocks and leveraged long low beta stocks you get a decent return while "removing" market risk. Of course you would have out...

Should his statement be ignored? He goes as far as providing a fair value table for alpha. http://docs.finance.free.fr/Options/Dynamic_Hedging-Taleb.pdf I understand that a lot of his work is controversial but I can't see him saying something as ridiculous as "sell the highest priced options...

I found this from the poster LongTheta on NP. One of the really useful tricks that I found in Taleb's Dynamic Hedging was his discussion of alpha = theta/gamma. If you take r = 0 for simplicity, it is easy to see that alpha = (S*vol)^2. That means that the higher the stock price, and the...

In dynamic hedging by NT, he states that alpha = theta/gamma = 1/2*variance*S. He also follows up by writing a table describing fair value of alpha per volatility. Would this not imply that selling options on higher priced assets and buying options on lower priced assets increase your alpha? I...

This is a very true statement. Professional players on their way to fame are always sucked out from women, drugs, education, family etc... it's the few that fight the odds that get there. Competition in sports, chess, poker even trading would be alot higher if it was supported by family...

Taking a hit on all 3 pos! Bery no move mck and itw closing gap. Will update on fills. Overall not a great day

No liquidity in the wings of deck or epay so no fill. Long straddles only today

Thanks for mention of SYMC it slipped under my radar(less than $25), its expensive relative to past moves but one of my indicators are flashing a strong buy! I hope this works out for you

LOL look at us pussys, backing down from AMZN!