Not necessarily. There are those in the market who think if inflation reignites then the dollar will tank.....in which case you might worry about...
If I understand you correctly, you are talking about going long/short a spread and earning the carry of the spread rolldown. This is effectively...
I knew what you meant :)
Yes, completely agree.
@HobbyTrading Thanks v much for this. Out of interest how do you manage to rescale so quickly? If you are using any kind of vol smoothing then...
I guess my reasoning is that if we roll into a new contract which say has a vol of 125% of the old contract, then we initially have 25% too much...
Hi - I wanted to follow-up briefly on the impact of vol jumps after rolls, related to the question I posed late last year. If we ignore carry for...
Fair point. Although if its the case that dividends are uncorrelated to stock price returns (which I haven't checked but its worth a study), I'd...
The way I read this is by imagining a drawdown of 50% with 3 years to get back to the HWM. I wouldn't want to compound my capital down by taking a...
Deleted my post as there seems to have been a lag at my end on seeing djames’ response (should have pressed refresh I guess)
:) - yes, of course. Thanks
In that case I am a bit stumped. The problem I am facing is that two instruments in particular (BRL, sugar) have such large -ve annualised...
Thank you for this. Different, probably dumb, question. Again a yes or no would be fine as no doubt your academic duties are keeping you busy. I...
Hi GAT, I was wondering if I might trouble you with a quick question on how I might use pooling to calculate the FDM for your system. When you...
Of course, that makes much more sense. This time I blame the Xmas booze :). There might be a few further attempts to drink and think in the...
If you don't want to do your own stitching, you should have a look at quandl's db which offers a stitched database of the main futures contracts...
Hi Rob, I have been trying to wrap my head around changing skew over different measurement frequencies (prior discussion of it in your journal on...
As GAT might have mentioned in his posts, the stitched price will vary subtly based on the roll algo (i.e. which day your algo stitches prices...
Agree it is weird.
Yes of course, I should have picked up on that. Thanks
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