i thought the name of the game is to short volatility when it gets to an extreme high - no need to predict since it will mean revert...eventually...
appreciate the clarification, thx, all the best.
can you buy stock in here after-hours to lock in the profit, full or partial?
fortuna - by the way, with the massive run up in the european equity indices last year, what are your thoughts on spreading the European index...
ok thanks, makes sense; however, i find the june expiry attractive due to the "sell in May" phenomenon (or april/may).. - all the best.
hi fortuna - i appreciate your tips - with respect to your above comment concerning volatility, i have used the $VXO chart in my work (attached,...
thanks for the comments, i look fwd to following the journal, best of luck with you trades.
thanks for the comments, good luck with the journal.
hi - great journal;i am not seeing this in CELL - did you mean a short here, doesn't seem to fit with your theme, this one is making multi-year...
hi W.B. - thanks for your comments and i hope the practical issues caused by the weather etc are getting resolved for you - i was looking at the...
hi - great thread, i have been interested in the subject for a while but haven't gotten around to looking into this in any detail... - if i may...
take the 80/20 rule as an example, 80 sideways years and 20 trend years and within each year 80% sideways days and 20% trend days - what i am...
by the way, i am not sure about this - i am guessing that, it's not like while we are sitting here in the middle of a big range in the stock...
i don't disagree with the "major" emotions and exaggerations.. - when a major event happens (or commitment as you say), the volatility may become...
perhaps the title of the thread is a bit too pompous... clearly, the "Information Age" contributes to efficiency, i.e. information...
gaps (and gap fills) are a function of volatility - volatility is primary, i.e. if there is zero volatility, there will be zero gaps... - study...
hi Art - i have done a draft backtest of your bias rules with ES - my data is limited, from mid 2002 to mid 2005 with the base case of using...
Don - the yield differential is not the only reason driving demand... - look at the explosive growth in all the derivatives, such as credit...
cbot uses 250 vs 252 for annualizing the dailies from http://www.cbot.com/cbot/pub/page/0,3181,774,00.html Annualized Historical Volatility...
what is the principal makeup of the order book - there (a) designated market makers who are required to supply bids/offers to maintain the...
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