Correct there is no link to SGX at https://apps.csidata.com/FactsheetListing but a google search finds it at...
Rob is doing better than most of us, at least this year. Lots of dispersion out there. For example, today alone, I see DBMF down 1.19% while...
I use IB's volume rather than CSI's to estimate my trading costs (a market impact model). It's not hard to download IB's volume and compare it to CSI.
February was tough for me too. Down 9.68%, and now down 6.51% on the year (before today). It's not just us. TransTrend's main fund lost 9.94% in...
"IB's historical data feed is filtered for some types of trades which generally occur away from the NBBO such as combos, block trades, and...
I agree with the volatility. I posted earlier that I was down 4.6%. I didn't watch all day but at one point I saw I was only down 1.3% but then I...
Looks like Lumber and Lean Hogs are my big losers, but it's really just modest losses across most instruments and a lack of big winners. Wish I...
Anyone else having a terrible day in the market? I am currently down 4.6%, which would be my worse day since the SVB blowup in March 2023. (Not...
Recovery is going well. Up 2.4% today and at a new high. Looking at the CTA/TF ETFs, many have also recovered yesterday's losses.
Down 2.1% today. I had been down 4.0% earlier in the day, but that was before Lumber and the Meats opened and those worked in my favor.
From where would you get historical implied vol data?
I'm looking at my system's (backtest) PNL from that period and VIX futures lost a mere 1.8%, which was recovered over the next 8 days. Being one...
Oh yes, that can be an issue if you only use a short-term vol measure.
I'd never use AI to do my thinking for me, but I do use ChatGPT to convert my ideas into Python code. It saves me a ton of time.
Volatility is mean reverting, but that doesn't necessarily mean that vol futures are. I have VIX and V2X futures in my system just like all other...
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