I am not clicking on that link. A risk-free return of 1% is still a loss... opportunistically. You've lost 150bp if Bills are at 2.5%.
We need to verify result of this trade being discussed. By the way if you have a better trade idea you can suggest .
Nah, I am a newb, but I'd suggest not trying to chase rates-arb in which every firm in existence has automation to exploit.
thats bull. youre not a newb. if you were a newb, you wouldnot have made suggestions. you dont like to share much do you. secrecy is not what this forum is made for.
Delta is a decent approximation of touch and expiration probability on a single (Delta = expiration prob. Delta*2 = touch prob.). It's not perfect, but adequate. So take the delta of any single you'd like to use as a leg in your IC. An IC is simply a synthetic vertical-condor. There is nothing magical about using OTM verts vs. the guts. So now your short put and call are say, +/- 15D per. You're going to be deeper OTM on the puts due to skew. You buy the 12D wings and you've opened an IC. What makes you think that shorting two verts is going to equate to a credit approaching the strike-differential? You shouldn't be trading vol if you don't get it.
lol you're entitled to edge because I post on a public forum? I've posted arbs to this site that caused the dealer to cease operating: Oanda stopped offering box options a day after we bought $300K forward starts on their platform. The exotics paid 71/100. We had to open 15 accounts to get that trade off. Oanda lost $800K, overall, before they figured it out. They should have spent less of the $170MM in vcap on marketing. The barrier was hit 80 minutes after the (fwd) start. It was magic. I was PMing guys on here to open accounts. Mav, rallymode, etc. A year prior we had taken Trinitas Capital for a simiar amount in WMT DNTs. One of the threads is titled, "The gaming of Oanda" and my handle on Oanda's forums was knockout. There is a Trinitas/betsfortraders.com thread on this site as well. WTF would I hand anyone a replicable arb in listed-markets?
That remains the largest, clearest edge ever posted to ET. And beyond the PM's, I believe the actual arb was posted to ET a few days before Oanda shut it down, so if you already had an account there you could have got in on it. And for at least a week before that, anyone reading your posts on Oanda forum and ET would have twigged to the fact that there was something majorly amiss with the box options -- and from there it was just drawing/pricing them until you figured it out. I remember that incident well... or thought I did. I could have sworn your Oanda handle was RiskArb and your C2 handle was Knockout.
Yeah, it was riskarb and then knockout once they banned me. The arb-discovery was whe I was using the knockout handle.