The ask/bid has been around 10-25 (10k-25k vega notional). I'm bidding 8k... small size, more than anything else just want to see what the...
I primarily use Rithmic's trading front-end + CQG occasionally for manual trading. (Most of my trades are automated, but obviously not for VA.)...
The market for Feb VA was quoted around 13.90/14.80 all day... roughly a 90 cent spread. I've been bidding at 14.65 for the last hour, and the...
Oh, okay... they just added a multiplier of 1000. See: http://cfe.cboe.com/publish/CFEregcirc/CFERG12-056.pdf People are going to be...
LJM led just about every fund out there in overall Sharpe for much of the past decade, up until 2008. I'm not sure what your point is... Were...
Stop loss / max risk on trade are great tools, for certain strategies.... like if a) you only trade liquid instruments with tight spreads in all...
You can't discuss risk management without discussing strategy. Doesn't register. And I think the previous poster's point was that LJM's...
I have no problems executing trades on it both on the screen and thru brokers, if I just understood it.
So.. this thread kind of faded? New year, more interest I hope. But I'm confused. A couple of weeks ago, I saw the bid/offer on this...
Only one investor: Apple. Exempt from regulation as investment company or advisor.
What's the deal with Vegasoul? It captured my attention 2-3 years ago for having amazing performance + low drawdowns, but they rebuffed my...
If you have any amount of starting capital, then the right path is to start with your own money. Leverage it up with whatever path is...
This is a strictly hypothetical question, since of course.. interest is as close to zero as you can possibly get. But I'm curious... (this is...
Sounds about right... probably similar statistics at databases like BarclayHedge and IASG. What's interesting is that, apparently, naive...
Good luck finding investors who will accept your word for whatever you claim your Sharpe is. IMO, anything less than what Rapa requires is...
More on the wonders of this "fund"... from a May 2012 interview with one of the three employees of the firm....
WASDE has a huge impact on grains implied vola, although that's seasonal (as others have mentioned). For beans/corn, very typical to see implied...
To answer the specific answer you asked: no, you can't. You don't have option pricing or volatility, which is really two ways of saying the same...
I thought that's what you might have meant. If you have a way to replicate your version of realized vol, then with the var swap you have a...
So with annualized volatility at 19.95 (continuing Jan 13 example above)... Daily volatility is roughly 1.25. In terms of impact on futures...
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