Expectation: How Much Does Your Trading Method Earn in the Long Run? “What can you expect to earn on each trade on average over the...
Our overlay strategies reflect our philosophy of using relatively short-dated, out-of-the-money S&P 500 Index option call spreads and put spreads...
Is not Sector Rotation a "cycle" itself?
Being uncorrelated to the absolute level/direction of the market (highly influenced by macroeconomics events) can be an edge.
Nice insights on the state of enlightenment, the question of gods and much more: https://www.instagram.com/ug_krishnamurti/...
Selling a vertical or atm straddle with ~30 days to expiration is an option trade in the Gamma sector: --- Without delta hedging, one is exposed...
Selling long dated (leaps) ATM straddle is more a "pure" volatility play; low gamma big vega, while 30 days to expiration straddle requires delta...
There is indeed risk premium that can be harvested from the option market; it is a "structural alpha". Compare 30 days ago vix level and sp500...
How much can IV influence a short-dated credit spread? It's gamma sector rather the vega sector. it's all about time decay (open at 40 days to...
I believe trading the outright is about random walk while trading the relative value is about mean-reverting property. Being well capitalized in...
Here's the 1:1 NQ-YM chart in total notional value (at the moment $22700):...
[IMG] "From the start of 2019 through July the Russell 2000 ETF has generated total returns of 17.6%, versus 20.1% for The S&P 500....
So, gold increases, yield curves invert (in negative rates territory in europe) and small caps have been lagging...what's next?
The big takeaway is that no matter if I trade a PCA- or DV01-neutral strategy (butterfly, non-directional steepener/flattener) the position will...
"Quantity ratios are calculated based on DV01 of respective cheapest-to–deliver securities" So, the butterfly 4:3:1 (as in the schatz bobl bund...
Hi, Over the last year the small caps have not outperformed large caps for the first time. I was considering placing a relative value trade...
Hi, Originally I used to chart a 2s5s10s fly as in 2x05Y-02Y-10Y then I found out other weightings on a fixed income research paper...
I often hear "if I had more money I could make more money (and risk less)" and I for one find it true; is it an excuse?
Suppose I expect the german yield curve to steepen. Since DV01 for FGBS is 24.80 and FGBL=95.80 I get and hedge ratio of 3.86:1 If I buy a 4:1...
https://www.gurufocus.com/news/256254/naked-short-put-options--warren-buffetts-little-secret
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