Stephen, In your opinion if the variance test has proven itself as a good indicator of trendiness (and thus of non-random behavior in the...
malaka, Why are you using an array formula, or are you just talking loosely about a series of prices? Correl does not use an array formula in...
It is a correlation graph. The last date (point) on the graph (.09) is the correlation between the logs of the stock price changes between...
I wanted to check the DNA-MRK correlation so used the recent 2 months (Dec 14 - Feb 14) or 40 data points. I think using a whole year or two has...
How nice. 4.8% of WHAT? Please define "free" calls What is "corr" an abbreviation for?
Correction: rather than a ratio write, the position simply replicates to net short slightly OTM index puts. It would be interesting to see a P&L...
I am also not sure what the spreadsheet is intended to prove. I think the weights of the Dow stocks are an issue, since the heaviest 8 or so...
Shows that anybody can come in here and post anything and call people names, but oops . . . I forgot this is the self-proclaimed "king" of the...
Steve, Your not missing much except 70 DJX puts (or 7 DXL) is not really small size. If there was decent liquidity in the jumbos there would be...
Yeah, I do, and you should thank me for doing your homework for you and serving it up for you to read. Isn't reading it a lot better than reading...
Yes there is an arb with the DIA and primarily with the DJX, since DXL is nothing but a jumbo DJX. And the arb is done by the floor when people...
ludmil, To begin to understand dispersion trading you need to be at an advanced level with years of option study. There are no public track...
I don't know why you think the comments are negative. They are constructive questions. You have not answered many questions, and one question...
So where is your 1x2 ratio? You'd better learn your deltas. They might help you to keep control of a monstrosity like this if it starts to...
The same way you do it with any other program. You right click on a program window and click copy, then right click on the post window here and...
So let's see if we got the details right on this position, looking at the deltas: Long 100 shares stock (for each component stock) Short OTM...
Glad you cleared that up because all of us assumed just the opposite. Despite repeated requests, you still have not yet explained why you insist...
So you are telling us that EGAR (part of ivolatilitly) shows MO correlation at 17%, while ivolatility shows it at 3.92%?
IV_Trader, when you say that Egar shows MO correlation at 17%, what exactly are you referring to as your source for that? Are you an EGAR...
Again you don't tell us what dispersion strategy you are referring to so I'll have to guess and say it looks like -dispersion where you are...
Separate names with a comma.