for example: I want to own 1 March ES 1510 call and write 1 March ES 1510 call at the same time, without those positions netting each other...
Ok I think I am beginning to understand. Would another way of saying this be: the IVs from the call and the put are not fungible. In an extreme...
I don't understand why in this example you lose money if realized vol is higher than 21.5% and make money if its lower. I see how that would be...
Ok sure. I guess my core (probably naive) question still stands though. Realized volatility has to be 1 number between the time you open your...
ah ok a delta-hedged risk reversal is exactly what I am looking for. I used the vertical spread example because I didn't know if there was a term...
I think you misread? My example uses puts, so the $95 Put is OTM and the $105 Put is ITM
Please help me understand the flaws in this strategy. Let's say there is a significant amount of put skew. Underlying is currently at $100. $95...
oh man I wouldn't be surprised if ppl were just "arbitraging" the difference between var and vol swaps where they are struck thinking they were...
sounds like you've been doing this a long time do you have any specific examples of things not behaving as you anticipated / markets going...
I'm looking for some leads on interesting behavior you guys have experienced/witnessed over the years.
Yes that is the method I use. At the beginning of the year I have $X in the trading account and $0 in the cash sweep account. As I accumulate...
The return is pretty arbitrary, dependent on leverage, but mac asked for clarification so I gave it.
So I still consider it 850/60 instead of the 85/6 njrookie proposed. I start out the year with $X in the trading account and $0 in the separate...
I am capacity constrained which is why $P/L matters more than percent return. In terms of position sizing, I try to keep a minimal amount in the...
That drawdown occurred on profits, not starting equity. I start at 0 every year and keep tight risk limits, but if I'm doing well I'll relax those...
850% pct return, 3.5 Sharpe, max DD of 60% I expect 50% DD, so the 60% this year was...uncomfortable. sellindexvol: i understand why it's...
what return on equity is that macintash? also if you have some risk numbers i'd be curious about that as well. i'll post some numbers at year...
what are your risk stats, Sharpe, max drawdown, etc.? 30-40% in a vacuum is meaningless without some understanding of risk. It sounds like...
oh of course i would LOVE to be in a position to issue these things. I'm sure the issuers make out like bandits. If they were able I'm sure...
imo there are too many uncertainties in VXX/XIV to go long or short if you go long you are implicitly short barclays credit risk because if VIX...
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