Thanks. I got 2/3 out today between -11 and -14. Will probably exit the rest tomorrow.
I'm still short on Z/H really wonder how low it can go. Have some to partially exit @ 11.
When you mention the seasonals, do you compare the actual fly against an average of the same fly 5 and 10 years ago? Something similar to...
Difficult to say. In most cases I prefer to keep as close to expiration as possible.
Something like that (LCCZ8 * GBPUSD / CCZ8):
Might be a good buy:
I don't know the reason.
You can trade kinks in the curve via a butterfly, where you would do:
-- 1 * H9 - 2* K9 + 1 *N9
Not sure if this is the...
Ok makes sense.
Artic database: https://github.com/manahl/arctic
Only need it for storing daily bars but I think it'll integrate nicely with my...
Which way did you go?
What I do is:
- generate the tickers in a dataframe (list of outrights, spreads and butterflies)
- download data and save...
That's correct, that's how all the funds roll their positions, i.e. by buying/selling the spread depending on their position.
Hi, I live there on PI.
Maybe try another version of Excel. I had issues with 2016 so I have to use 2013 now...
Ok thank you.
Thanks, I will contact them directly.
Where can I find information about 3rd party algos by the way? Also, if someone develops an algorithm for...
Separate names with a comma.