Kudos to MMs
- Thread starter nitro
- Start date
I don't have an average. I am long ES only in the morning because I can't use options then. It was sold and I got into the the 55 delta SPY option at the time.
Perhaps you mean my position. In SPX terms using 55 delta options each time, I am long at 1172 ish, 1192 ish, and 1201 ish. Then I also added at 1185 ish (the long ES) and various VIX put strikes, the initial one being the 32.5 strike when SPX was at 1172.
This is what the human trader brain is trying to do, explained in mathematical terms:
http://en.wikipedia.org/wiki/Hessian_matrix
In fact, it is probably at least a 32 dimensional Hessian Tensor (Vector-valued functions sections - I am guessing this number because my model is about 15 dimensional and doesn't come close to capturing all the dynamics). No wonder people want to stay at the High Frequency, where this Tensor is probably only 3 dimensional (still hard.) The longer your time frame, the Tensor dimension probably increases exponentially.
I have said this so many times on this thread that I am repeating myself.
You are misunderstanding or I am not being clear. You can come up with whatever function you like to model human frailty. Call that f(x), where x is vector valued. What goes in the Hessian is the partial derivatives of this function with respect to every other dimension in the matrix.
Variance/Covariance matrices do similar things...
