Markets (options) efficiency

riskfreetrading · Mar 9, 2008

Quote from IV_Trader:

Thanks , Preval
There are a lot of tricks to go around 20Y testing. You can create your own âexpirationâ within the same month by shifting start-end day by one ( 20th to 20th , 21 to 21 , 22-22 â¦). Then you get 30 results in one month. Also, markets efficiencies (or not) should work the same for diff time frames ( a week , 10d , two month).
Like I stated beforeâ¦I was boredâ¦

That would have been a smart way, but there is another problem. The observations will not be independent. The law of large numbers requires that the sample be random, in order for conclusions to be valid. Maybe you have tricks around this problem. I hope it will be the case. In any case, sorry that I am bringing bad news, but I am doing it to help having a valid answer. Thanks for your efforts.

IV_Trader · Mar 9, 2008

Quote from riskfreetrading:

That would have been a smart way, but there is another problem. The observations will not be independent. The law of large numbers requires that the sample be random, in order for conclusions to be valid. Maybe you have tricks around this problem. I hope it will be the case. In any case, sorry that I am bringing bad news, but I am doing it to help having a valid answer. Thanks for your efforts.

reskfree , one should not make a lot of these simple statsâ¦

1300 stocks
One month only
It is what it is

I personally couldnât care less what the final results are.

riskfreetrading · Mar 10, 2008

Quote from IV_Trader:

reskfree , one should not make a lot of these simple statsâ¦

1300 stocks
One month only
It is what it is

I personally couldnât care less what the final results are.

as someone else said it is interesting and you should be thanked. I agree.

IV_Trader · Mar 15, 2008

Quote from IV_Trader:

week end 3/7

Starting total premium = 6084$ (intrinsic = zero)
Current total premium = 5702$ (intrinsic = 4297)

-6%

week end 3/14

Starting total premium = 6084$ (intrinsic = zero)
Current total premium = 5683$ (intrinsic = 5086)

-7%

riskfreetrading · Mar 15, 2008

do you pls. know what is the margin requirement if one were to write that premium, and how it varied over time if any?

IV_Trader · Mar 15, 2008

Quote from riskfreetrading:

do you pls. know what is the margin requirement if one were to write that premium, and how it varied over time if any?

Sum of all nominals was 55k. Margins on one short atm straddle is around 17k.

riskfreetrading · Mar 15, 2008

Quote from IV_Trader:

Sum of all nominals was 55k. Margins on one short atm straddle is around 17k.

thanks. good work! I think if the beta of this portfolio is closer to zero, using your earlier trick, I think you would have some conclusions in here. keep up the good work! very much appreciated.