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Off-topic but I think the purest play would be touch/no touch binary options like betonmarkets, if you are non-US based.

I thought it was that LTCM was leveraged to the hilt, not necessarily just because they were short 'diversified' vola.

You can also load up your IB Simulated account and put on trades to see what happens with credits/margin/p&l etc. without fear of real money, although, sometimes simulated option fills don't execute. Just try it, can't hurt.

Pretty sure that fund was shut down last year (the volatility fund, not Blackheath). They would be short vol (presumably) across a variety of different markets and get caught on some of the larger trend moves. That's what I recall from reading their monthly commentary blogs, not fact. The fund...

botpro, in your simulation you have to factor in the losses associated with the actual hedging itself. You have to view that as a 'trade' itself, not just a hedge to the short option. For example, since you were short the call, you would buy the underlying stock as it advances up towards your...

Yes, there is nothing worse than 3am Monday hedging and your mark-to-market already looks like shit...."is this real life?" In regards to my ES delta hedging, this is not much different then swing trading VXX or similar vol products with stops/scaling in and out. Just take into the 'stock'...

I'll chime in having some experience with retail dynamic hedging....it sucks. As destriero says, ultimately you are only locking in losses because your hedge frequency will increase as the underlying moves against you, and unless you peel the hedges off at breakeven or marginal gain (or...

Anyone around? Pretty sure CLZ5 goes off tomorrow, CLF6 rounding out around this 42 level, OPEC meeting December 4th (?), dynamics changing in the mideast.....I'm just looking for reasons to try and pick bottoms here. Should be an upside breakout or strong fakeout move on the 9am open, I'll be...

Wow my timing is impeccable :D I did happen to start signing up on Gemini, really nice looking interface, though I stopped short of the identification process.

Here's my contribution, decent article recently on Zerohedge (yeah, I know): "How The Entire Short Volatility ETF Complex Could Be Wiped Out Overnight" http://www.zerohedge.com/news/2015-10-20/how-entire-short-volatility-etf-complex-could-be-wiped-out-overnight

Hey Baron any thoughts on the Winklevoss twins new exchange Gemini?

I heard Brian Sullivan mention the bitcoin runup on CNBC today, be wary. I was also looking at opening an account at bitstamp or coinbase 'seriously' last week, and the last time I was serious about opening an account was bitcoin ~ $1,000. Just sayin'.

For what it's worth, the lost decade stuff I've been skimming through point out deflationary land price trends along with the Nikkei's decline. Still, I'd like to know what exactly the Japanese were putting their money into during the lost decade (the folks who made money, anyway). JGB's...

Maverick, I'm curious if you have any links to material on Japanese real estate during the lost decade (forgive me for not doing my own research). But from what I recall Japanese real estate (or maybe just commercial RE?) also suffered a deflationary spiral after the asset bubble popped...

Can't, you can't buy or replicate (well) VIX index. Instead you have to buy VIX futures which are generally in contango which means you'll have to roll to a more expensive backmonth future. Look at a chart of VXX or VXZ, good representation of the loss you'll incur over long stretches of calm...

Baron probably doesn't have the stats but a better sample size would be August-Nov 2008 and all the fits and stops that occured. A few times in that sample where you could have thought you nailed the bottom and the market continued lower. Not to mention the first 3 months of '09.

Haven't executed on TOS demo in awhile but I'm pretty sure they are simulated fills (i.e. not likely), if you went live you are in queue and have to be at midpoint or 'worse' like everyone else to get filled.

changes in the bid/ask in some legs of the spread can cause this. For accurate pricing your better off looking at spreads when the market is calm, maybe early afternoon EST, SPY in a range bound market. You're probably better off not sniping/legging out unless you know exactly what your...

weekly puts on indices, crude oil calls maybe.

Maybe a last resort but you can take some positions off and delta hedge the others, which will buy you some time to take those positions off separately. i.e., close the butterfly, delta hedge your vertical so your p/l on it will be flat for awhile (and, considering its SPY, you can adjust...