Markets (options) efficiency

Discussion in 'Options' started by IV_Trader, Feb 18, 2008.

  1. That would have been a smart way, but there is another problem. The observations will not be independent. The law of large numbers requires that the sample be random, in order for conclusions to be valid. Maybe you have tricks around this problem. I hope it will be the case. In any case, sorry that I am bringing bad news, but I am doing it to help having a valid answer. Thanks for your efforts.
     
    #21     Mar 9, 2008

  2. reskfree , one should not make a lot of these simple stats…

    1300 stocks
    One month only
    It is what it is

    I personally couldn’t care less what the final results are.
     
    #22     Mar 9, 2008
  3. as someone else said it is interesting and you should be thanked. I agree. :p
     
    #23     Mar 10, 2008

  4. week end 3/14


    Starting total premium = 6084$ (intrinsic = zero)
    Current total premium = 5683$ (intrinsic = 5086)


    -7%
     
    #24     Mar 15, 2008
  5. do you pls. know what is the margin requirement if one were to write that premium, and how it varied over time if any?
     
    #25     Mar 15, 2008

  6. Sum of all nominals was 55k. Margins on one short atm straddle is around 17k.
     
    #26     Mar 15, 2008
  7. thanks. good work! I think if the beta of this portfolio is closer to zero, using your earlier trick, I think you would have some conclusions in here. keep up the good work! very much appreciated.
     
    #27     Mar 15, 2008