Donna , if history is any indicator... here is the price and vols action for CME (after report) : APR 05 , +6.4 , 32 JUL 05 , +2 , 33 OCT 05 ,...
and its should be for any winning strategy. But are you sure that you did it correct (vs. bnmr?) . Both graphs looks the same ( monthly deviation)
nice... notice that from time of "back to normality" (fundamentals does matter , dividend does matter...) starting from 2001 , you don't see big...
I meant to short S&P (the one that was out performed as a benchmark by 35% even in the bear market) , and not the bottom rank .
Exit every month ? Then , would you consider taking position a la pair trading > long top rank & short benchmark ?
Not sure how far back the data goes... I will ask around.
Mr Edward. [/B] can we call you Mr Ed ?
mahras2 , did you ever heard of Baseline co ? They have a feature called "different time periods" where one can roll back and see any data ( all...
for a mother of all IV spikes , bought PCLN combo (both FEB and/or MAR) , reporting on 2/16. Watch vols hitting 70th.
a lot of adjustments so far... Closed 10 winning positions (AXP , CAT , GM...) and sold corr 105 DIA puts for 15k profit (including loss on...
a lot of stocks matching 60-40 criteria right now , you will be busy...
I think you will do OK on ACL , the iv is already above the pre-report top of 35. Report is on 2/8
this was a test of initial position , to check the "best case scenario" expected vs. actual (regardless of delta imbalance). You could of check...
of course I will lose money if half of the stocks goes up and another goes down. Show me ANY dispersion position and I will find similar scenario...
GM (up 9.5% today) is almost ready to be adjust 1. Buy back 20 strike and sell new , 22.5 , OR 2. Close GM and sell corr DIA long puts (6)
got it. This strategy probably works better when you take position on a group of tickers , like Riskarb did. This way you have some winners to...
coach , what long OTM strikes are you considering ?
not trying to start a fight... this file is clearly shows that components weight is way more important that delta imbalance (for initial...
hi , Neil yes , Yhoo trade had an excellent risk/reword. Most of the times RC are "in play" only when time to exp < 10 days , maybe I'll post...
yes , 95% of my trades are event/earnings related. I chosed the 72.5-95 straddle because the DOTM vols were a bit higher the ATM , my break even...
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