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SVXY has much lower liquidity and a mile wide bid-ask spreads for options. Also, it doesn't go up as much as VXX goes down, so limited-risk option positions are almost fatally disadvantaged. UVXY can spike up uncontrollably during VIX spikes, and there is really no such thing as limited risk...

The track record of ETNs, at least the ones I am familiar with, are pretty good in terms of tracking what they claim to be tracking as well as any ETF. And even if one fine day one ETN does something funny it's no different than a company's CEO goofing up something or some other nasty surprise...

FINRA recently ruled that ETNs (the one I care about is VXX) are no longer eligible for portfolio margining. I am not sure I understand the logic behind a blanket ruling like that. I understand that it may be desirable to prevent people from buying at a 1:6 or 1:7 leverage an ETN stock that...

By the way, I wish to be fair to IB and say that it is quite possible that the data displayed on their spread charts is faulty, rather than anything more sinister. The sinister part is possibly their lack of interest in fixing such issues. Although I still suspect that the spreads did get to...

Failing to get a response within a day, I called. Yes, I did not like their response. First, they try to shove off by assuming that you are somehow incorrectly combining individual leg bid/asks (I say incorrectly, because a correct combination of individual bid/asks should give you the bid/ask...

Just to clarify, it was a VXX (not VIX) spread.

If you choose an exchange (rather than SMART routing) they don't guarantee that all legs would be filled. You can get unbalanced partial fills, apparently, and you just have to take it. And I did send a message to support towards the end of the day. I might get an answer tomorrow. Should be...

But I was talking about the bid/ask reported for the spread itself. Furthermore, in at least one case the spread was traded at lower prices than my bid for the spread, several times throughout the day. The broker is IB. As for their "belief" that it is not "executable", it couldn't possibly be...

I noticed today that my buy orders for VXX vertical spreads (good-till cancelled orders that had been sitting for a while) did not get executed even if there were trades that occurred below my bid. In another case the ask went below my bid, and again no execution, and no trades in the market...

But on average, over many many trades the time decay would be cancelled by the option moving into the money and showing a profit (when UL is losing money) And when the UL moves the wrong way you just wait because the option is largely cancelling further loss, and buy a new option if the...

Assuming efficient markets, one cannot make money from buying/selling options without an edge about the direction of the underlying, so it seems to me that the long-term cost of insuring a security about which the owner has no edge or opinion is zero. But wouldn't this allow a "noise trader" to...

The data downloaders look nice and promising. But short of creating it day by day ourselves, what is the best or most cost-effective way of obtaining several years of fundamental data on stocks, including the time/date of earnings announcements? Thanks a bunch for any help.

Thanks for taking the time to reply. Yeah, I need to look into a platform that gives me more control, though. Maybe Tradelink.

What's wrong or right depends on the strategy. If you are pairs-trading with SPY, there is nothing wrong with the gap down at all. However, that's not what I am considering right now. Of course I wouldn't be eliminating every stock that has ever gapped by more than the threshold. But some...

Thanks. That's a worthwhile thought.

As part of filtering out "badly behaved" stocks from an automated strategy, I would like to find out the stocks that gapped down (on daily bars) by more than a given percentage over a period of time (how many times did XYZ gap down more than 1% over the last ten years,and by how much, that sort...

You seem to be in agreement with the "just delta-hedge, don't buy the whole lot" advice, which is quite reasonable. Thanks.

I sympathize with your general sentiment. However, I think it's not as simple as that. Apart from the finite amount of attention we can devote to the entire universe of trading possibilities, whether a trade "moved against you" depends on your initial purpose. If your purpose is to keep a good...

I guess it's a matter of definition. To me, "income" (as opposed to "trading") means that it's a positive-expectation strategy based on estimated probabilities, without any particular "trading prowess", in the form of guessing market direction, be it prices or volatility. I know the distinction...

Yeah. It's just a matter of putting the odds in one's favor. Surprises should be a part of the plan. I am striving to survive even if a strategy turns out to be a genuine loser due to bigger-than-expected-surprises. In other words, no strategy should be a very big part of one's repertoire, and...