Would you explain more? Is this a custom measure like the pitchfork figure on skew?
Even if he comes off a little harsh, he (@destriero) is really knowledgeable about options and has shared a TON of info (just like @sle) with me...
Never heard that one before! The market really can test your comfort zone I guess.
If anyone's wrong on the interpretation, I assure you it's me. I agree with everything you said... Obviously this is just a way to know you have...
The guy has infinitely more experience than I do so I won't claim to speak for him, but I think the argument is that it's a good consolidated risk...
atticus once recommended keeping theta under 1% per day as a sort of maximum risk tolerance. https://www.elitetrader.com/et/posts/3479875/
It's good to see you are back. ;)
OP - in case it's not obvious, instruments like the VIX futures are pure plays on IV: http://www.cboe.com/micro/vix/vixfuturesprices.aspx edit:...
@atticus once mentioned microstructure as a factor that could gain a few points on occasion. Basically, OTM options are more liquid with tighter...
This really needs an answer. There should be no way for you to systematically extract profits from random noise. Unless you are imposing some...
Me too.
funny shit. :D
I guess that's the point I'm making. It's fine to have Sharpe as a metric, but then using Sharpe^2 is the identical metric. It contains no more...
You guys keep arguing about candidate performance metrics which are monotone increasing transforms... none of these can be any better of a metric...
How much are you paying/have you paid? Does it add up to a substantial share of PNL?
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