You can have low volume and low liquidity, which creates an environment for volatile movements when volume becomes one-sided with respect to...
lol. Let me show you.
This is not what they do. You have to consider skew and correlation to find value in the term structure. Shorting straddles and buying strangles...
You're not likely to find methodologies in the public domain. However, think of portfolios in terms of convexity - vast majority have a positive...
Thanks for sharing that. His presentations, especially as of late, emphasize the strong inverse correlation of S&P puts as a more appropriate...
Spitznagel purportedly purchases long S&P puts as a tail hedging business model for Universa and combines market-making activity to reduce the...
Apparently there is, it's called technical analysis via chart reading.
It's called losing money.
I just uploaded the historical dataset into a neural network and it modelled it automatically. Then I hooked up the model to my broker through a...
The S&P 500 is hitting all-time highs this year. The market is up about 20% with a Sharpe ratio of 4+. Bloomberg et al. must be bored and trying...
Sure, the uncertainty of market economics is vastly different than the ancient landscapes that shaped our evolution. What's your opinion on the...
Thanks for posting the study. Neat animal model. Risk aversion is likely a rational behaviour and chronic stress is likely correlated with...
Ah. Another Tastytrader.
Do you ever buy vol, either as a hedge or as a standalone position? If so, care to get into it? Cool YouTube page, by the way.
To clarify - you were net long vol in the near term with a calendar using VXX and VXZ; you were net short vol with a calendar using Jan/Feb; you...
That's the point I'm making. Personally, if it wasn't for the backwardation in April and August, I would be down this year. SIV66 - are you net...
Cole is perpetually long vol in the front of the curve and short vol at the back from what his literature seems to suggest. I can't imagine his...
I know this question isn't directed towards me, but if you will - long XIV is essentially a short volatility position via a 30 day exposure to the...
Agree that his perspective is bit of a schtick, but in order to translate an esoteric subject such as trading volatility derivatives to a...
Statistical probability. If you cannot ascertain a mathematically plausible reason to expect a positive return over a set time or number of...
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