Poor Man's Hedge Fund
- Thread starter riskarb
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ABN AMRO begins trading the DAX spot + exotics at 11:00 or midnight on Sunday. I'll more than likely trade the DAX at the open. I am limited to 10k euros per ticker, but I limit my trading on "marketindex" to DAX and Bund.
I am still modeling the dispersion trade, despite IV's plea to go short the D. =) As stated, I'll limit the comments to dispersion outliers and their effect on index cash direction and volty, if any. I'll be attempting to offset outliers at 1 sigmas [weekly] and reallocate with downside, atm gammas. I haven't sufficiently modeled it due to the difficulty of dealing with all the data. I had initally modeled 1.5 and 2 sigmas, but it's very difficult to hit those hedge points in this vol-environment.
I am still modeling the dispersion trade, despite IV's plea to go short the D. =) As stated, I'll limit the comments to dispersion outliers and their effect on index cash direction and volty, if any. I'll be attempting to offset outliers at 1 sigmas [weekly] and reallocate with downside, atm gammas. I haven't sufficiently modeled it due to the difficulty of dealing with all the data. I had initally modeled 1.5 and 2 sigmas, but it's very difficult to hit those hedge points in this vol-environment.
Riskarb, momoneythansens and IV trader.
Gentlemen,
A cynic may suggest this forum is all about posturing. I would never suggest such a thing. To disprove the doubters, give them clarification on the following.
riskarb,
âThere are some path-dependent pricing assumptions which I intend to abrogate through the discrete turnover of diametric-outliers on the long gamma component basket. I intend to show that it is possible to add significant alpha to a pure replication.â
âno vol-shadingâ.
momoneythansens,
âre-straddle components that have had outliers in opposite directionsâ.
IV trader,
âall ratios for NOV , best short dispersion conditionsâ.
Grant.
Gentlemen,
A cynic may suggest this forum is all about posturing. I would never suggest such a thing. To disprove the doubters, give them clarification on the following.
riskarb,
âThere are some path-dependent pricing assumptions which I intend to abrogate through the discrete turnover of diametric-outliers on the long gamma component basket. I intend to show that it is possible to add significant alpha to a pure replication.â
âno vol-shadingâ.
momoneythansens,
âre-straddle components that have had outliers in opposite directionsâ.
IV trader,
âall ratios for NOV , best short dispersion conditionsâ.
Grant.
Quote from Grant:
Riskarb, momoneythansens and IV trader.
Gentlemen,
A cynic may suggest this forum is all about posturing. I would never suggest such a thing. To disprove the doubters, give them clarification on the following.
There are no cynics here...
riskarb,
âThere are some path-dependent pricing assumptions which I intend to abrogate through the discrete turnover of diametric-outliers on the long gamma component basket. I intend to show that it is possible to add significant alpha to a pure replication.â
Mo translated the gibberish below
âno vol-shadingâ.
Raising/lowering the midpoint on the vol-market based upon the clients bid/offer to trade vol.
momoneythansens,
âre-straddle components that have had outliers in opposite directionsâ.
See above
IV trader,
âall ratios for NOV , best short dispersion conditionsâ.
Grant.
Riskarb, momoneythansens and IV trader.
Gentlemen,
A cynic may suggest this forum is all about posturing. I would never suggest such a thing. To disprove the doubters, give them clarification on the following.
There are no cynics here...
riskarb,
âThere are some path-dependent pricing assumptions which I intend to abrogate through the discrete turnover of diametric-outliers on the long gamma component basket. I intend to show that it is possible to add significant alpha to a pure replication.â
Mo translated the gibberish below
âno vol-shadingâ.
Raising/lowering the midpoint on the vol-market based upon the clients bid/offer to trade vol.
momoneythansens,
âre-straddle components that have had outliers in opposite directionsâ.
See above
IV trader,
âall ratios for NOV , best short dispersion conditionsâ.
Grant.
The premise centers on the probability of producing adequate #s of paired but opposing outlier component positions which may earn more on gamma than is lost to the premium paid on the vol-swap, component vol // index vol. Paired-opposing outlier positions will be offset and replaced with fresh atm gamma. Straddles will be used for index and component positions.
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