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You completely misunderstood my post. Forget about the reverse splits. Back them out. Run the exercise in excel, you get the same results. Better yet, go to their website. Download their pricing model. Put that into excel. Go back and grab the data from 2008 when the vix went to 90 or...

I'm not referring to reverse splits. I'm referring to the fact there is tracking error and that error is multiplied by both the leverage and the reverse splits. From a mathematical perspective, it would not matter if the high on the ETF was 10 or 10000, the max gain is 100%. In order to...

I don't know. That is the point. Nobody does. And block prints can be posted after the close and if they are done internally, they don't have to post at all. It's just a "guess". Not something to build a trading strategy around and it's how Dr. J got annihilated trying to execute it...

Down 40% so far. Off to a good start. Of course the call buyer is really short via the synthetic put and he is actually doing quite well. High oil prices - lower airlines - cheap vol.

This type of analysis is very dangerous. It's highly likely the trader was getting short, not long. The call purchase along with short stock means they were buying the May 47.5 synthetic puts. Implied vols are sitting near the 52 week lows. It's a cheap synthetic bet on oil breaking out...

SIV, there are 40k aliases on this site. Obviously I'm speaking about the general population. I am actually working with some pretty bright people on this site on some modelling projects. But they are few and hard to come by on here.

One, not trading the nasdaq names at the time. EVERYONE and their mother was trading internet and tech names. We were trading hardware stores and chemical stocks that did 300k shares a day. That was very tough for me to buy into at the beginning. Looking for the stuff that didn't move a...

Also to be fair, we as a firm did have an edge that went away in 2003 and that was bullets. Bullets were a huge edge. I don't know what % of our p&l was attributed to bullets, it wasn't all but it was a lot.

SIV, Two completely different environments. At Worldco we ironically had a very high percentage of Ivy League Grads (here comes the haters). However we also had a ton of asians and Russians right off the boat so speak. Hell, we had a few guys right out of high school. However the...

I love how when you say on this board you need to understand math, the avg ETer assumes only Phd's know math. Hahaha. Come on guys, math, not string theory. I never said you needed a Phd or even a Masters. You need to know MATH! For god's sake has our public school system failed us so...

You better stop talking to birds. And better up the dosage of Clozapine.

One of the problems with the retail crowd is trying to find just the right tone to communicate with them. Let me try this again. First of all, no, you don't need math or use math to make money. You need math to optimize what you are doing and to analyze the results. Edges can come from lots...

Listen, if you are asking the question "should I take this risk", that is the very essence of utility. This is "your" question. You started the thread asking this very specific question. Economists have studied expected utility and risk going all the way back to Daniel Nash and game theory...

LOL. You need to read your own articles. That article is all about expected utility. This place is really entertaining sometimes.

No. Your risk is determined by your expected utility. There are decades of research on this in economics. Google expected utility and risk tolerance. Your model is completely wrong. And you are going about this completely the wrong way.

Expected value and risk are not an equality. Your equation makes no sense.

Actually the ETF is better. After one year the ETF gets the long term capital gains rate vs the future which gets 60/40. So after 12 months you pay more taxes on the future then the ETF.

The one year T-bill is a good approximation. And if you are holding for one year, the tax is the same on the ETF as the future.

You are correct. The future is a forward contract that uses the risk free rate to discount back to the present. It makes no difference how much leverage you are getting. However....the retail interest rate you pay at your broker is NOT going to be the risk free rate, usually way higher. So...

Yeah if I had to write a formula for someone, I would tell them to find a very illiquid market. Learn everything in the world about that market and get every piece of data about it. Build a pricing model. Build a risk model. And then go to town.