Tinkered with it, but not enough to find anything conclusive. My prior is that is very prone to overfitting so it's hard to commit to it in...
I use a fair amount of statistical learning techniques and I've had a positive experience with offshore researchers before (though it was in a...
Given your other deep thoughts on things finance, this means that the article is likely to be complete trash. ps. The article is total garbage,...
Yeah, I saw it later! All good :)
Just for completeness sake, there are special situations when early exercise makes sense even through option theory tells you otherwise. Usually,...
Oh! What is it used for? Are there religious ceremonies that are conducted in Sanskrit?
The idea of trading earnings vol is a known strategy, MMs are well aware and the implied vol is more efficient. Has nothing to do with the...
So the general idea is that calendar in spooz is driven by the forward interest rates and expected dividends between the two futures expirations....
If you show a bid or an ask in the calendar, someone will trade with you (it can be arbitraged against the SPX option forwards).
No, you can get all sort of bizarre looking implied vol profiles across the strikes (like the "W"). But the idea is to still use black scholes...
AfairPut (c)
https://www.imperativex.com/ - literally does NBBO-benchmarked execution
Strangle vs strangle is the most straightforward way to do that, just pick the right ratio.
Those things pigeons are dropping on your head are not lost packets :D
A very smart trader name Larry Liked to collect lots of carry He shorted some yen And was recently canned But found a new job in a hurry
Yeah, “you either eat well or sleep well” (tm)
I hear carrier pigeons have pretty good latency!
Notational value … like “sanscrite still has some notational value despite not being spoken for millennia”
If you’re doing it to make a punt on rates, it is worth checking if you get more or less dv01 (change in contract value per one basis point change...
Actually, it's not that simple. The equity cash basis (the calendar spreads in equity futures is a forward basis position) is driven by (a)...
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