I am using an off the shelf dispersion app and lmt-expo. I won't be discussing the notionals, hedge ratios or weightings... This will be a pure dispersion with all Dow components represented. The only non trivial variable will be the outlier trades.
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Jelly Rolling short combos sure fire options
- Thread starter disgracedoctor
- Start date
Them outliers get cha everytime.
rolling combos from month to another synthesian and disecting gamma being stradle resistant while maintaining a positve theta while the wingspreads will kill you unless its stretched out. never fence but reverse fences work at times resulting in a synthetic bear spread which will in turn avoid the potential of pin risk omega to assignment-- this will make money!!
rolling combos from month to another synthesian and disecting gamma being stradle resistant while maintaining a positve theta while the wingspreads will kill you unless its stretched out. never fence but reverse fences work at times resulting in a synthetic bear spread which will in turn avoid the potential of pin risk omega to assignment-- this will make money!!
Thanks for starting this thread/journal. I will be reading it with great interest. Post the trades real-time and I will take them with small size. I've been working on an ET screen scraper for real-time fading of consistent losers, but in this case I will follow rather than fade.Quote from disgracedoctor:
This will be a pure dispersion with all Dow components represented.
Just re-straddle the outliers, bring the book back into line.Quote from disgracedoctor:
The only non trivial variable will be the outlier trades.
Quote from Emilio_Lizardo:
Thanks for starting this thread/journal. I will be reading it with great interest. Post the trades real-time and I will take them with small size. I've been working on an ET screen scraper for real-time fading of consistent losers, but in this case I will follow rather than fade.
Just re-straddle the outliers, bring the book back into line.
Yeah, get flat the opposing outliers and get neutral. He cut/pasted the first-post from an old thread of mine.