Search results

  1. A

    Execution of order on single stock options : unusual observation

    It happened for at least 8 different underlying stocks and there were no splits etc. in the last 12 months.
  2. A

    Execution of order on single stock options : unusual observation

    Thanks rb7 and others for taking the time to reply. It was on US mid to large cap stocks (i.e. >=$2bn market cap). The trade-log for off-tick fills state venues like 'NASDAQOM', 'NASDAQBX + 1', 'BATS', 'PSE + 1' What puzzled me was that unlike options on indices and futures it let me place...
  3. A

    Execution of order on single stock options : unusual observation

    Hi all, I've traded single name options for the very first time recently(been only involved in index before). When placing a 'non-standard'(i.e. not a multiple of 0.05) bid inside the displayed market on Interactive Brokers, my bid never shows up on the screen. I use 'smart' routing with...
  4. A

    Moving Averages/Trendlines/Time Intervals

    Do you happen to have the code in EasyLanguage or perhaps the basic premise in English?
  5. A

    Long tail risk and positive expectancy strategies

    Thanks for taking the time Guru! You've certainly given me some food for thought. What's "skewed conversion" -re-investing some risk-free/treasury income in paying premium? I've looked at #1 in the past but the margin usage (for ratio spreads on back-burner) away from long theta strategies...
  6. A

    Long tail risk and positive expectancy strategies

    If you held SPX Feb'18 1450/1400p from 26th Jan through 9th Feb 2018. You made $1000 on 50x100 contracts and that's before slippage and commissions. What's the upper limit on the sizes that you can trade in such strikes in ES/SPX?
  7. A

    Long tail risk and positive expectancy strategies

    These (Oct & Nov'18 1400-1500p) are ~0 delta ! What's the point in having these?
  8. A

    Long tail risk and positive expectancy strategies

    cheers oldmonk.
  9. A

    Long tail risk and positive expectancy strategies

    Thanks Srinir. I'm assuming that's in delta 1 space. What's your experience using trend following in options? E.g. would you bias your flies in the direction of trend?
  10. A

    Long tail risk and positive expectancy strategies

    Has anyone had any success with strategies that have a positive downside exposure(to events like Aug'15, Jan'16 , Feb'18 etc.) and simultaneously have a net positive long term expectancy?
  11. A

    Traders consistent with intraday futures

    No pressure => No Diamonds :)
  12. A

    Strategy selection as function of correlation / sharpe ratio

    Does "Corr(new vs. existing)" here include the sign (rather than the absolute value) i.e. any negatively correlated new strategy will always get added to the portfolio? Also, what should be the optimal weights for the new portfolio? (I've so far looked at but I'm not too sure about brute-force...
  13. A

    Strategy selection as function of correlation / sharpe ratio

    Greetings to all, If I were to construct a portfolio and choose two of three strategies say S1 (sharpe ratio 2.7); S2 (S.R. 1.6) & S3 (S.R. 2.2). Equally weighted S1&S2 has S.R. 3.2 while S1&S3 has 3.6 Would you ever chose S2(uncorrelated) over S3(small -ve correl) to go with S1 in a...
  14. A

    Multicharts Portfolio Trader Optimization - multiplicative steps?

    Thanks Matt
  15. A

    Multicharts Portfolio Trader Optimization - multiplicative steps?

    Hi there! Is there a way to control Multicharts Portfolio Trader Optimization via some code? I would like to run the steps on a log scale (rather than the pre-built default linear) e.g. say for a parameter "FastLength" I would like to start from 2 though 1024 in steps of *2 (i.e...
Back
Top