S SethArb Mar 15, 2003 #1 huge open interest buildup in stock index futures seems this always happens approaching triple witch expiry but fridays changes are quite big (?) comments appreciated .....
huge open interest buildup in stock index futures seems this always happens approaching triple witch expiry but fridays changes are quite big (?) comments appreciated .....
D DT-waw Mar 17, 2003 #4 that's right Seth. Looks like March is going to be another great month for many CTAs, volatility is exploding. My calculations show that top 100 CTAs from iasg database (in terms of assets under management) had +4.4% avg result in Jan 2003.
that's right Seth. Looks like March is going to be another great month for many CTAs, volatility is exploding. My calculations show that top 100 CTAs from iasg database (in terms of assets under management) had +4.4% avg result in Jan 2003.
