I am using an off the shelf dispersion app and lmt-expo. I won't be discussing the notionals, hedge ratios or weightings... This will be a pure dispersion with all Dow components represented. The only non trivial variable will be the outlier trades.
Them outliers get cha everytime. rolling combos from month to another synthesian and disecting gamma being stradle resistant while maintaining a positve theta while the wingspreads will kill you unless its stretched out. never fence but reverse fences work at times resulting in a synthetic bear spread which will in turn avoid the potential of pin risk omega to assignment-- this will make money!!
Thanks for starting this thread/journal. I will be reading it with great interest. Post the trades real-time and I will take them with small size. I've been working on an ET screen scraper for real-time fading of consistent losers, but in this case I will follow rather than fade. Just re-straddle the outliers, bring the book back into line.
Yeah, get flat the opposing outliers and get neutral. He cut/pasted the first-post from an old thread of mine.
I missed that. I thought you might have been banned again for counseling one of your patients to commit suicide.
With the CFO reference it sounds like Allen Hobbes. Too bad, a Dow30 dispersion journal from anyone but Hobbes would have been valuable.