The ACD Method

Quote from cdcaveman:

I really think he isn't talking about us when referring to retailers.. Plus he immediately alluded to otc stuff. I think that was more of a way to valuate his business really.. Obviously if your a really good derivatives trader you can cook up something with a low negative carry, and a high degree of convexity.. I am not referring to myself haha.. Just saying..

His numbers on Japan's public balance sheet are compelling.
More...

I think he is referring to the default swaps and not simply a bet on the convexity of the Japanese rates and unfortunately the retail guy does not have access to those. You know, in that book the "Big Short" there was those small guys who started a fund for the sole purpose of getting a letter of credit so they could call up these big banks with their hand shaking as they held the phone and asked to buy some of these exotic derivatives. That chapter was worth the price of the book alone. These guys were calling up banks like they were ordering a pizza and didn't even know the right terminology, sounded like 12 year old kids, and they were asking for this stuff and the conversations were priceless. It took a few practice runs but they finally got it down and they finally got their options and they made a fucking killing.

For those of you interested:

http://en.wikipedia.org/wiki/Cornwall_Capital
 
Quote from partha:

Mav,
Do you do NL for the underlying, and trade a derivative ?
Eg, you got a confirm on HO, but trade the heating oil crack spread ?
More...

No, I use the number line for the spread.
 
Quote from partha:

For a more concrete example, if I get a confirm on Gold, but actually want to trade XAU/JPY (gold in Yen terms), do you do a NL for the actual cross you are trading or use both NL (Gold and Yen) to control entry or just Gold NL ...
More...

There are two ways you can do this and there is really no wrong way, I'm only giving my opinion. You could wait for a confirm in Gold and then pick the denominating currency that has confirmed on the downside. Or you could track the number line spreads and wait for a confirm. Mathematically you will see that it's possibly then that you get a confirm on a spread where it's possible that neither will be in a confirmation individually but combined they are. It's really a matter of taste. There is no right answer.
 
Quote from Maverick74:

I think he is referring to the default swaps and not simply a bet on the convexity of the Japanese rates and unfortunately the retail guy does not have access to those. You know, in that book the "Big Short" there was those small guys who started a fund for the sole purpose of getting a letter of credit so they could call up these big banks with their hand shaking as they held the phone and asked to buy some of these exotic derivatives. That chapter was worth the price of the book alone. These guys were calling up banks like they were ordering a pizza and didn't even know the right terminology, sounded like 12 year old kids, and they were asking for this stuff and the conversations were priceless. It took a few practice runs but they finally got it down and they finally got their options and they made a fucking killing.

For those of you interested:

http://en.wikipedia.org/wiki/Cornwall_Capital
More...

I remember that part of the book explicitly.. It was great
 
Quote from Maverick74:

Heating Oil is going to confirm on the 30 day today for the first time in 6 months. The heating oil crack looks very attractive here.
More...

Hey Mav...I was curious to know what are u using for your OR? brent open, nymex pit open, or something like Fish's new post brent close open (1015-1030cst) from his webinar you posted awhile back?
 
Quote from Maverick74:

If I add a new product, I go back and get the number line for the entire year. The good news is if it's in February I only go back to Jan 1st unless there is less then 30 days of data in which I will go back to the following year to fill up an entire 30 day span. The bottom line is, the further you go back the better. One, as you pointed out, you want to know what the patterns are. And two, by going back and scoring the daily charts each and every day, you are going to get a feel for how that product trades. I can't begin to tell you how important that is.
More...

Understood, thanks very much.
 
HO down over 3.5 cents on the day...freefall

Shouldn't HO be moving positive because of the forecast cold weather in the NE (like NG)?

(dunno what the inventory levels are)
 
You must log in or register to reply here.
Back
Top