Carey's Journal
- Thread starter cdcaveman
- Start date
BOT 25K USD USD.JPY Cash 90.718 JPY IDEALPRO 00:20:51 ChartTrader856098315 sub account
Using USDJPY as an example, this yields:
(.01/130.46) x USD10,000 = $0.77
or 77 cents per pip
25,000 notional a pip (.01) = 1.925
puts me at 23 pips on that trade.. is that 45 bucks???
is that math right??
No, not with them.
Used that initially, then again to check if I got the formulas right in my excel spreadsheet.
i got this book..
Inside Volatility Arbitrage : The Secrets of Skewness
read some of it.. not much to read... its all Math.. its a book of no practical use to me... if you haven't taken and become proficient in calculus.. it will be completely worthless... alot of these books just pretty much say.. you can price it like this .... or you can price it like this...... its like just a containerization of the math and really nothing else... it doesn't say SHIT past that.. annoying as hell... i'm sure at some point after a few more math classes some of this stuff will make intuitive sense to me .. and i'll find more use for it..
Inside Volatility Arbitrage : The Secrets of Skewness
read some of it.. not much to read... its all Math.. its a book of no practical use to me... if you haven't taken and become proficient in calculus.. it will be completely worthless... alot of these books just pretty much say.. you can price it like this .... or you can price it like this...... its like just a containerization of the math and really nothing else... it doesn't say SHIT past that.. annoying as hell... i'm sure at some point after a few more math classes some of this stuff will make intuitive sense to me .. and i'll find more use for it..
I naturally question everything so I do question the math thing. Like you I never took calculus and we don't have community colleges and or an adult education culture of any sort here. I thought of hiring a college kid or international school teacher to teach me calculus but held back.
My thoughts are;
1) if calculus is the root of successful options trading, then those who are great at this would make a killing all the time. This does not happen.
2) the math wizards will always have the edge over me.
3) making money in options is something quite separate from the ability to understand esoteric concepts. Notice people like Natenberg, McMillian, Sinclair et al do not see the need to baffle you with bullshit in their books. Just clear simple explanations of how to trade stuff like volatility, ie. what really matter in practical terms.
Bottom line is options pricing ie the market does not adhere to models. Yes I do look at the Greeks every day, but I have zero expectation that my spreads will price as per the models, because volatility is constantly changing and the models assume fixed volatility. Hell I have spreads with +2 theta and I never get that on anything remotely close to a steady rate. Nothing happens for 3 days then the underlying lurches and I make 6 in 1 day.
So I am leaning towards focusing more on practical aspects of trading, eg what is historical IV, what percentile is current IV in that data set given that volatility is mean reverting in the long term. How is the skew now compared to typically?
For this stuff you don't need the high level math, just a great grasp of numbers and statistics, and I'm pretty comfortable in that terrain.
Sorry for the essay in your thread, just want to share my thoughts.
i picked up these two books..
Markets in Profile: Profiting from the Auction Process James Dalton
.. i heard this is a little more clear then Steidlmayer's
Day Trading with short term price patterns and opening range breakouts.. Toby Crabel..
figure this will make good use of downtime.. and help me not to ask so many stupid questions in the ES journal haha.. plus i'm looking for backtesting ideas.. of course the exact ideas might not work out of these books.. but the more abstract thinking they used to arrive at these methods might really help me...
Markets in Profile: Profiting from the Auction Process James Dalton
.. i heard this is a little more clear then Steidlmayer's
Day Trading with short term price patterns and opening range breakouts.. Toby Crabel..
figure this will make good use of downtime.. and help me not to ask so many stupid questions in the ES journal haha.. plus i'm looking for backtesting ideas.. of course the exact ideas might not work out of these books.. but the more abstract thinking they used to arrive at these methods might really help me...