Search results

Levered ETFs have to buy highs and sell lows as they rebalance in order to maintain their target leverage. This behavior has negative expectation in most markets.

To assume I feel this way just because I've made money is not correct. I assessed the credit risk, was willing to start small, and organically sized up. The amount I started with was the amount I was willing to accept a total loss given my estimates of credit risk. I'm not trivializing the risk...

To each their own. I've found a lot of success in trading these exchanges. To the point where I've turned over my initial capital several times over. Just wanted to give insight from someone whose actually taken said risk and benefitted from trading in a much less effiencient market. All the...

Well I think the estimates for probability are being estimated too high based on the sentiments of the thread. I may be wrong, but I'm fairly confident there is a set of exchanges where its fairly safe to keep some amount of money to trade. The idea that exchange risk is different from any...

So you're advocating for retail traders to market make in ES futures? I don't think there is a more competitive game out there. You have latency arb desks spreading SPY vs ES over microwave lines, ETF arb desks hitting ETFs based on ES movements etc. Not to mention any flow from options MMs who...

Yea, in practice I've seen them set a baseline volatility based on realized, events, etc and then would adjust their implied around the baseline vol as described via inventories.

I think the level of risk being assessed here is way too high. There are many exchanges that are reputable and have real volume. In fact, TT is offering algorithmic access to some of these exchanges. Any party that has custody of your assets poses a credit risk. I think it makes more sense to...

There are many ways of hedging. For example, in ETF arbitrage, one "leans" on a more liquid ETF and quotes the wider/less liquid ETFs on the same index. In this case, you already have a price your system will hedge into if filled on your quote leg. Another variation might very trading a large...

A huge part of a market making strategy is to have an adversity model that can assess the likelihood of an incoming order having alpha (adversity) versus the order being uninformed. All orders should have an impact that is a function of the size of the order and in the direction of the order. If...

As a professional market maker, I am certain that buying this manual is a bad idea. Here's why: - The futures markets are already dominated by HFT firms. Book loquidity isn't the full picture. Implied liquidity is far deeper than diaplayed. Here's an interesting read about the landscape...

I work in a professional trading setting and this was never the case in my experience. Many trades require shorting and locating equities and we certainly paid attention to Reg SHO.

How about this? If we assume that saying UVXY is a "derivative" of the VIX index: SPX components (stocks) ---> SPX index ---> SPX options ---> VIX index ---> UVXY (holds VX futures and potentially VIX swaps) The "--->" operator is effectively "is related to".

Just wanted to add that I read that Reuters link. I get the whole "real wealth/asset" argument. But to be honest it feels very synthetic. In practice, owning an ETP has real exposure to the index that can be (nearly) perfectly offset by other ETPs with similar indices. There are real reasons...

You can take d(NAV of ETF)/d(Underlying Index) to be the delta of an ETF to the underlying (just like a Greek). In general I don't think that it is necessarily incorrect to think of ETFs (and especially ETNs) as derivatives (in the finance sense) and they have pretty well defined derivatives...

I think you have a very different definition of mean reverting than most common usages. Reversion to the mean describes a statistical phenomenon related to extreme observations while sampling. Mean reversion commonly refers to an increased likelihood of positive (or negative) observations...

Your comment regarding pullbacks after large moves is not accurate for statically distributed price returns. A large move one direction will not result in large moves the other way (if this is what you mean by pullback). Such behavior is indicative of autocorrelation in returns which forces us...

Yea you can rebalance them daily at the market close (or rather when they are rebalanced as per the prospectus). As a side note, emulating a long position via selling an inverse levered ETF potentially has alpha due to "beta decay". Is this why you did this?

I believe the executing broker and or direct market participant must rely on the SIP to determine the NBBO as dictated by Rule 611 of Regulation NMS. Seems crazy to me since I have my doubts regarding the quality of the SIP feed vs proprietary feeds.

I don't trade with technical analysis nor do I know much of the lingo. But in thinking about what a "trend line" is I've arrived at the following observations: 1. A trend line is some function which takes in historical data and returns some positive value for each time in the period. An example...

They definitely do allow for many possibilities when moving to a stat arb type trade as you describe. However, the trade described in the OP is not really feasible for a retail investor.