Disaster insurance for long-side index trader

Discussion in 'Index Futures' started by Malinois, Jul 27, 2006.

  1. I was reading that government was collecting the gold from people under treat of putting owners for ten years to prison.
    Did it really happened? And what kid of gold was collected? Personal jewelry, collector coins? What about platinum, silver and palladium?
    #11     Mar 21, 2007
  2. OTM index puts in SPX, OEX, SPY or ES, whichever
    looks cheapest and whichever you can get on the
    bid. Don't worry about the correlation between
    ER2 and any of these, in a sharp disaster-related
    downspike, the correlation will go close to 100%.

    Long index puts have a negative mathematical
    expectation -- best-fit-to-market-data jump-diiffusion
    paramerrs indicate option traders overestimate
    downspike frequency by 50% or more and magnitude
    by at least 25% -- but that is the price you will pay
    for the insurance. If your portfolio consists mostly
    of your long ER2 trades, your expected portfolio
    log return will almost certainly be improved (greater
    terminal wealth).
    #12     Mar 22, 2007
  3. ============
    Good question MAL;
    1]Diversifiction, like location, location, location;
    & diversification in time
    2] Storehouse Tithe
    3] Since you said something like 80% long;
    include something short for sure . Also wouldnt aim at a perfect hedge, since i dont buy ''no deductable'' insurance either.
    4]Think/work with the idea on,
    for example1 long contract ES, you borrowed about $70,000/per contract, so to speak.
    5]Bottom line= err on side of caution, cause suprise rate cuts have hurt shorts before.
    #13     Mar 24, 2007