Or lack there of.... I just did a very crude day by day range and true range breakdown. since the beginning of this year Monday has been the...
Revisting this topic (again.....) I'm trying to figure out why a short, market neutral option strategy, front month only, based on day of the...
Thanks guys!!
doesn anyone know of any good resources for academic research papers related to markets, trading and strategies? I'm particularly interested in...
Who? Never heard of him. What Oil Spill????
Sorry, those positions didnt quite format as I expected them to. Using the following setup, based on this Std Dev, I am hedged (theoretically)...
Heres a real example of something Im looking at. Actually its only part of a basket trade but it will do.Ive ranked the SP100 based on IV...
Corelio, yep I completely agree with you, I dont actually use this pair, it was just a random example I threw in at the time. I havent actually...
Mart. Understand what you mean. Probably looking at a similar thing from a different angle. I dont always hold a position to expiration. As...
Corelio, right. Thats why I started looking for something else. By just focusing on Vega, I was ignoting all the other risks.
mart. thanks for the reply. so by net premium zero, you mean across the 2 different products? so if I was long 1000 theta in ZB, you would...
could someone give me an example of a premium neutral trade?
Thanks Atticus. Any particular reason why you use just one side in the options (calls) instead of a delta neutral straddle or strangle? This is...
atticus, would you mind expanding on this a bit? When you say gamma trade the spot. Are you refering to gamma scalping each of the pairs to...
Im all ears!! (well I guess that should be eyes, but anyway.....)
Mart. I do plan to test this on futures some time soon. Just that the equities data is much easier and cheaper to come by. What advice would...
Thanks guys, lesson learned. One cannot expect clear answers when the question itself is confusing. Let me try again...... I have an equities...
Tradingjournals, I was actually selling equal amounts of vega. Do you mean if IV of A is 20 and IV of B is 10, then sell 200 sets of B and...
Rosy, yeah, between different equities/ETFs. I actually did a few tests based on vega, but was worried that by focusing on vega, I'm taking too...
I'm in the process of developing a pairs system using non directional/ delta neutral option strategies and trying to figure out the best way to...
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