Yes, in many ways it's just an interpolation tool. Though once you start hedging, you become dependent on the model assumptions and need to...
It really depends on your definition of "smart". There are more Putnam and IMC winners at Citadel than at any company that is solving real-life...
And yet every market making firm out there is using BS for pricing and hedging. They must be complete idiots, right?
Oh, you only read the newspaper titles and storefront signs? That explains everything!
Dude, are you that bored? :)
The problem is that you’re generating rebalancing returns from a portfolio, so it’s akin trading a short gamma position. You going to on average...
Yes, need a futures account. CFTC, pretty sure, with OCC coming up with SPAN arrays etc - just like VIX futures. I am waiting for her to call back...
Well, I just called someone I know at CBOE and she said it’s gonna be midcurve futures options, settling into monthlys. Fully covered by SPAN...
Reading comprehension is not your strong suit, is it? The snippet from the article that @ajacobson posted says explicitly “Plans to allow traders...
Yes, a put or a call option that expires into a futures contract if it’s in the money. It says so in the article. You failed the test.
Judging by how he's acting about this video, it's imaginable but rather depraved :)
You are one of the people who should not be allowed into a library unattended:|
Ah, that. It’s a play for implied volatility reset, so longer-dated options are better for it (your pnl is proportional to the gross vega of the...
It's a problem that is general to social sciences - hard to get large samples, so experiments are very difficult to reproduce. Many of their...
Backtesting for things like take-profit and stop-loss is very tricky and prone to overfitting. There are ways to overcome that (e.g. backtesting...
Read the book. It will change your approach to decision making, trading included.
I am not sure what the trade you’re proposing so it’s hard to suggest a structure :)
Quant trading is definitely a team sport, the times when you can be a standalone guy at an institutional level is mostly over. That’s why if you...
They don't grok it as a concept. Some of us pointed it out and were pointedly ignored...
Yup. Definitely the most signal among the noise. Very practical. The Kama Sutra for option trading.
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