Since you do 100% replication, I'm surprised that you are arguing for a small basket of stocks, or are you arguing against that -- I can't tell....
Good question alassio, but your example has more serious problems. The SMI may not be traded. You need an ETF to sell. The general idea is...
Vol Guy, I like your post for many reasons and wish to clarify what you are saying. It appears that you now favor the positive dispersion --...
IV_Trader, I know you told me to ignore this guy, but he keeps coming back with bad info from "back-in-the-day", and people who don't know better...
Relative to the index, XYZ's IV has maintained the same ratio, so in that respect it is neither cheap nor expensive. With regard to its...
IV Trader, Are you talking about a SV/IV ratio or just component IV compared to VIX? The question about why hedge if you can successfully pick...
Vol Guy, I believe that both of McMillan's methods for finding cheap vol are valid. If possible the IV/SV ratio should be <1. The IV should...
A naysayer without supporting data. Well let's see. Looking at the real time real money december quotes for djx, there is a spread of .05 to...
When I first looked at the strategy, I had the opposite intuition. It did not make sense to me why reverse dispersion could work at all, given...
Agree with your comments about +dispersion. However, when the difference between index IV and the components is huge, that is all the more...
New to options yet doing one of the most advanced strategies out there? I wonder if you realize that you are doing a reverse version of...
Who is asking for proprietary information? Not me. Unless, of course, 100% of what you are doing is proprietary. Is that the case? If so, I...
Sillyness. When he who has knowledge refuses to share of it, even the most basic, thus endeth the thread.
riskarb, On one hand you say you are running straddles - I'm not sure what you mean by combos. I would have to assume based on your few words...
Riskarb and others, What a surprise to find this thread. I have been trying to get more info on this subject for years. No one I have asked...
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