Please explain how can one lose more than a premium when long an option? Exercise is still a buyer's privilege, isn't it? Regardless of the...
Duh... He needs all the benefits of 106(J), including participation in volume tiers and other incentives.
He's riding the "Delta Phenomenon", got it? :-)
I am trying to access some of the features of IB's Volatility Lab screen programmatically via API - and not having any luck. Specifically, I am...
When I think of a 1-3-2 fly, to me it seems to be either of: regular 1-2-1 fly minus a vertical spread difference of two 1:2 verticals All of...
Exchange trading fees, of course. The volume is light, of course, but every little bit helps poor little CME Group. Same thing with Friday after...
It's not about intraday/overnight margin. It's about fees. It's about CME no longer keeping exchange closed on MLK.
CME is just being extra-greedy and trying to squeeze in some fees on Monday. As if, with all those data fees etc, 63% operating margin is not enough
Not really an arbitrage, but search for "volatility carry" and "volatility risk premium".
Blah-blah-blah... He doesn't provide a statistical backtest - just a bunch of suggestive charts. So who cares?
I tried downloading some futures data this morning and stopped getting any data after about ~450 queries instead of the promised 1500... Any...
Why would you want to? Do you really think you can do in pandas what is done on the server - like shift millions of rows of bid/ask by delta_t and...
@T0pH4t - that's a bit too heavy for my back... I can barely keep up with the research and trading, without having to worry about being a database...
@sle - you're going to love speed and expressiveness of kdb. It feels like Lisp yet looks like Assembly... Does your fund have kdb consultants...
A firm uses kdb already? get onboard! Kdb's language Q hurts a lot at first, like you are getting a lobotomy, but there's denfinitely a state of...
Arctic is a bunch of, again, python-specific scaffolding around MongoDb. I knew I was not getting anywhere what I was used to (kdb), so I decided...
It's great to finally find a sane thread on this website... Personally, I'm using influxdb. It's not ideal - especially compared to something...
Wonder how long ago this was written. Looks to me like their headcount is down to 14: http://neurensic.com/team/
@algonoise: HFT's can no longer just "quote for a tick" - so they HAVE to explore less statistically certain relationships. Even more traditional...
Is that all - monthly rental of CME shares? Like a perpetual put option? I need to catch up on cmegroup.com advisories. In any case, in the past...
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