Interesting, Don, tell me more. So Goldman gives clients access to its internal ECN book? I agree that there is more liquidity routing to...
That algorithm works fine when prices are mean reverting. Suppose that you back off the bid, but the bid gets taken. You back off again, the bid...
The theory of market making and the practice of market making diverge pretty quickly. In a single illiquid instrument with a monopolistic market...
Where did you just come from? 1993? Were you in Mexico? I hope the weather was nice. It looks like you are a little late on the whole...
At the macro level, the NYSE specialist faces the same set of risks as any other market making agent. I disagree in general that the NYSE can be...
To keep it focused, I will restrict this discussion to equity market making. The equity market making landscape has changed drastically in the...
For 99.9% percent of people on this board, there is absolutely no real world difference. Either processor is more than overkill for most...
Many funds have in-house proprietary databases and analytics. It is very hard to get the flexibility in off-the-shelf solutions. For the...
Are you seriously considering this? Paying $36,000 for "professional trader classes" is a total waste of time and money. You would have to be a...
Speaking hypothetically, by writing covered calls you are synthetically short a put. Why not sell the stock and sell the ATM put naked, or sell...
You are welcome, but do not thank me, thank FDAXHunter. I do agree about the quality. If only everything could be written so succinctly. :)...
You almost invented a well known strategy called dispersion. Google for "dispersion trading" or "volatility trading". You will find that the...
A hitman to do your dirty work, eh? Thats always nice. I am a one man show with a software engineering background, so I get to use the shovel....
If you know Java, I might have something for you. -segv
Are you trading with IB? -segv
What do you think about shorting ONXX vols around here? It is at 260% of SV and near historical IV highs. The pump seems attributed to the...
I hope you are being sarcastic about there being no housing bubble. How does a 924sqft 2 bedroom built in 1924 with $80,000 in termite damage for...
The strategy can be profitable when IV(t+0) < IV(t+n) or SV(t+n) > IV(t+0), correct? So, historically IV(t+0) > SV(t+n) and IV(t+0) =~ IV(t+n)...
Historically, index implieds have traded at a premium to realized volatilities. There is an argument that says this premium is driven...
Thanks arb. You are ever helpful. :)
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