If long the YM I would short the ES dollar neutral, and vice-versa. -segv _/\_____________ft
There is a difference in "statistical" and "theoretical" edge. In the former case the edge may not actually exist, but in the latter case you...
The implication of the Cauchy assumption is that the mean is undefined, and therefore the variance and standard deviation are undefined. A random...
That is quite a theory yip1997, but the naked premium writer phenomena is easily explained by randomness. Take a large universe of naked premium...
What if the distribution in question is actually a Cauchy instead of merely leptokurtotic and log-normal? What would that imply about where you...
I'll PM you for his address, because they neglected to put one on the site, and the feedback form has the same error. :) --segv
The text of the server-side error:
When I attempt to register as a user, I get a server error about remote permissions for the script. This happens for user registration, password...
I wonder if RightEdge realizes their user registration system is still broken. --segv
I think that this is the most loaded question I have ever received on ET. :) I suggest you start with the following article, which brings...
Neutral, as in I keep delta relatively small. --segv
This portfolio can be viewed as calendar spreads along with single options and synthetic long straddles. It is net +/-delta -gamma +theta +vega....
Deferred SPX, DJX, NDX, and some basket vols. Looking at RUT presently. --segv
Continuing to buy vega. -segv
[img] --segv
I think its supply. It has been very easy to buy. Also vols are certainly off in the constituents I own. -segv
Not quite. Statistical volatility could equal or exceed implied in any number of the positions. Not to mention dispersion. At the moment not...
Long Dec combos across much of the DJX. I was +disp but its almost insignificant after this session, all net +gamma +vega -theta. Long other...
I have bought all of the vega I can afford, all that I am willing to risk. Very painful these last two sessions. -segv
Thanks Mav for taking the time to walk through the example. I was originally asking for 1 short ATM SPX combo versus long 1000 SPY shares to...
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