Market Models: A Guide to Financial Data Analysis by Carol Alexander (Author)...
what exactly do you mean by 'credit spread'? Do you mean a calendar spread or a vertical spread? Some people seem not to realize that with...
You would put on a bet on kurtosis by buying far out strike strangle and selling ATM straddle. It's obviously quite difficult to say this is just...
When comparing the returns of a stock portfolio with the returns or a stock-and-options portfolio, you should probably not look at the absolute...
In response to what you say above: the ideal for a market maker is not to carry a position and by that, not be exposed to direction. That's in a...
the expression for this observation is 'Selection bias'.
www.undiscoveredmanagers.com (click research library) A great resource library with references to and articles from various academians of the...
and that's a 100%, right? anything else you know that we don't?
The one interesting product from the NYBOT (Finex) is the future on the Dollar Index (DXY). It's a geometrically weighted index and the weights...
At derivatives trading firm Susquehanna, supposedly one of the more sophisticated options trading firms, all traders are trained poker players....
I completely agree here. That is exactly the way one should think about, since a market in an option is basically a market in volatility. If you...
With these one to three word posts, I could be an "Elite member" two-thousand-lot-poster within days as well...... Keep up the race though....
It seemed to me arbitrage was the theme of the thread... Regarding commissions, I know clearing firms charge floor traders about $0.80/contract...
If you do size, commission is negligible, and if you put on a (pure) arb, you're locking in a profit right away, so never mind the spread.
I agree with the previous poster: yes. You have to differentiate between pricing model and the risk parameters. Delta, gamma, theta and vega...
"Exchange Traded Funds and E-Mini Stock Index Futures" by David Lerman Hardcover: 288 pages ; Dimensions (in inches): 1.25 x 9.32 x 6.27...
www.greencompany.com More on the taxation issue, but it says there also attorneys on the staff, and the site gives a good first overview of...
Deron, I fully agree with you in that the stock price will get adjusted on the ex-dividend date, so that the ETF basket of stocks will be...
You were betting that the vol spread was converging to zero (or at least smaller than the existing 8-10 vol spread at the time). Maybe the real...
It's not a good example, I agree. However, even with stock at 100, the 5 put will still be worth 5 but that's only because volatility is infinite....
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