Someone who sits at a screen trying to pick-out patterns doesn't need an education. It doesn't matter *what* you major in. Computer science...
This is the NFA interpretive notice. I'm pretty comfortable I'm in compliance... but I'd definitely like to hear the nightmare stories of what...
My allocations are being handled systematically by my own software. Right now, the "work" involved is in reconciliation of the report generated...
In theory, certainly. There are several pre-configured allocation schemes they can use. In practice, because of the specifics of what I do,...
I'd be interested in hearing from other CTAs and/or people with FCM back-office operational experience. What's an acceptable time frame for...
I'm pleased with my performance last year, and it certainly helped me tripled my AUM over the past 12 months. But dude, last thing I want to do...
Really? This thread + conversation, again? Bottom line: Sharpe is meaningless without understanding the underlying strategy. No point in...
Yea, there definitely needs to be a "fix" here for commissions... Vision is looking at doing something custom for me, but based on my standard...
Or the other alternative...enroll in a phd program (which pays tuition + stipend) and do MFE-type studies on the side. That's essentially what I...
Financial engineering is much more about applied math than economics, so your background is excellent. MIT has a great program, but so do most...
The only way to get this number is to download the calculator from the CFE website. You can plug in hypothetical values for implied + vega...
Not sure what vol of vol is, but 1-2 pts a day seems generous. Compare it to, say, ES futures... To get $10k of daily P&L (assuming 15 pts daily...
Crap, I just thought of something. The commissions on this thing are monstrous! $1k vega notional = 90 contracts!? If I'm paying $3/side all...
Not sure what you're referring to. There's an active market being made on this instrument.
These are all very good questions. I would like to think so, but I don't have enough historical data to answer that with any accuracy. So, ask...
Just bought 8 more at 14.60... which is equivalent to 756 contracts at 844.4456.
Well, this is actually a hedge for short volatility elsewhere. But yes, theoretically speaking, going long variance futures means you're long...
Okay, my FCM confirmed that as far as they're concerned... my trade looks like this: B 748 FEB VA @ 846.0412
Just filled 8 of the VA0213 @ 14.75. According to the CFE calculator.. that should be equivalent to 748 variance units (futures contracts) @...
Very helpful, thanks. Are these contracts fungible? A little surprised the mid-point on CFE is a good 0.50 lower than what you're seeing.
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