JJ90 as you may know there is very little material on BWBs and ratio spreading. This subject really doesn't belong here since it has nothing to...
There's quite a number of us over at Yahoo groups talking about how this strategy works. Search for broken wing butterfly or "BWB".
Yes, you can use them like a straddle, braketing the market, with less debit. I do a Yahoo BWB group with these. Most of mine are modeled on...
"OTM Bets" is a good way to describe BWBs. You have to be either way OTM or way before expiration to get a small credit, and then what is the...
Interesting you mention BWBs. I've been looking at them a lot lately. What is your commentary/opinion of them?
I have the big advanced second book on P&L. Done on a typewriter in the days before computers ..... and backtesting.
His reply would be that he only needs to win once. What Taleb claims is that when he was holding 20 sigma OTM options he could sustain 67,000...
Preston, congratulations on sounding like a real person. I think it was the original wording of your post that suggested you might be just...
There is also a difference between expected and realized return. When looking back at past performance one is looking at realized return, hence...
Talib's claim to fame was that he actually had a bunch of these options during the '87 crash, and he continues to go for a repeat. He talks about...
So let's say we have 4 years of data (1000 days). The max length of the VR period would be 33 days? That's a long way from the length of the...
Stephen, so how many days of daily data do you recommend? If we have 2 years of data, can we do a VR on a 1 month base period, compare that to 6...
Would it be possible for those of us with Excel to do this test? I believe the VR is also called an F-test. Would you suggest a stock so that we...
Stephan, You seem to be running a very complex and sophisticated operation, taking quotes out of the market depth book into a computational...
GTG, I don't understand why "trading time" would not be "real-time"? To your point about using tick data, I agree with you that you could take a...
At what point in the day can you actually trade using this? Obviously there is a minimum amount of data required to calculate a variance ratio...
I haven't read the book, obviously, but from what I know of the guy he seems quirky. 1.67 seems like an arbitary number, perhaps the average of...
Example using rolling 30 day correlation. Pairtrader.com has been informed of the gross errors in their correlation calcs.
gbos, Thanks for a very complete explanation of Parkinson's volatility. I just cannot help ask where the following information comes from: Not...
And to follow up, the 252/20 or 252/5 are common ratios in all volatility formulas to calculate the volatility of periods less than a year, but...
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