great posting , mystic. Would you be able to post similar doc before 11/21 ( DEC entry) ? I would like to paper test it. Attached is Excel P&L...
1. if XYZ's IV was at 60 two years ago (while VIX was 30 , ratio=2) and it's current IV at 30 ( VIX at 15 , so ratio is still 2) is current IV...
mistic , just ignore him... With new IB 75 cents per contract , total commissions are approx 0.20 % from the total and this includes all 30 longs...
thanks for the info , VG. If one can successfully pick "cheap" volatility candidates , why he needs to lock the position in the partial hedge and...
I see what you are saying , mystic. Is that what Egar suggesting and pros are doing ? To go long on components that have a favorable SV/IV ratio...
no , many of them lost their WS jobs and then find out that relative/benchmark performance ( read : when you trade other people money) is quite...
it's not my way of thinking , it's a fact. Reverse dispersion can be done (when ratios = favorable to reverse , actually this month is one of them...
the "huge difference between index IV and basket IV" is fully compensated by basket ABS % change vs. Index's change.
sell a "cover call' on the 5 Y Treasury Note. Figure out the the ratio ( a bit complex). This will work at the best in you can obligate to add...
agree on the part about chasing no risk/free lunch
how all the above will help to erase the -expectancy for initial retail position ?
just saw this thread for the first time... I am runing something similar , short on the Index (Dow) straddle and long on all thirty components......
right , its mostly for indicators. The function calculates the highest correlation by using different time periods. For example the Average Hours...
in Excel. Anyone has it ? Thanks in advance
this result is for monthly (or given time period) % change and not for stocks or total return action. So they comparing correlation between +100%...
http://www.ivolatility.com/options.j?ticker=tnx&R=0&top_lookup__is__sent=1
. [/B] why don't you post a link of how many "jobs" Klinton create via Y2K and Dot.coms scam?
generally , I don't think its a good idea to short Weekly , the Index easily can go five days in the same direction , not enough time for V shape
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