I got slightly different DOW calcs than GBOS; All data (1900-2001) Vol 17.2% Skew -1.1 Kurt 36.3 1990's Vol 14.6% Skew -0.40 Kurt 5.2...
Huge market, much more liquidity, but I'm doing just fine in the UK markets and see no reason to change. Not sure what the deal is at IB, but...
[/b]Yes, stock will drop by the div amount, and calls value drop too. So, if youâre long a call option and donât want to lose value you can a)...
GBOS Thanks for that data. Any chance you could post it up in Excel format ?
[/b]Two reasons. First, currency risk. Second, Iâm doing quite well trading the UK markets, so have no reason to look elsewhere. If it ainât...
Surely not !!!
MTE... [/b]Well, yes, vaguely, at least historically. But we are talking â Black Swan â so unlikely an event that itâs hardly within our...
Hi gbos Good to hear from you - it's been a while ! Hope all is well (?). Yes, that would be a good example of an index having fatter tails...
Wayne There is a function in Excel that measures Kurtosis (KURT). It measures the Fischer kurtosis whereby in a "normal" distribution Kurtosis...
Wayne I actually meant metaphorically, rather than literally, but thanx for the pic. Quoting the odd stock (ELN) that got hit by the black...
I've never seen a black swan - do they exist ? I suppose you'd have to look at the market(s) you trade to see if there are fatter tails in the...
Tyrant Both. I have a âcoreâ of half a dozen stocks which Iâve come to know, and trade very regularly. But Iâm also constantly looking...
No idea. It's my main strategy, has been for years.
DB Yes. IF the distribution is normal, and IF you input the correct future vol, then 1 x SD will account for 68% of all prices. So sell a 34...
You are correct. BUT, before you can calculate a Delta / Probability / SD, you need a volatility input - that is the future volatility, which...
Mav I can agree with that. So are you saying that because the future volatility cannot be know in advance any edge is perceived, rather than real ?
Quite possibly. That would explain us being so diametrically opposed.
Mav The hedge ratio (delta- Nd1) and the true probability ("to be called" - Nd2) are so close it's like splitting hairs.
Rally [/b]An edge and an arb are two completely different things. One is a certainty, the other isn't. Rather like comparing chalk and cheese. If...
Mav Iâm not a newbie and Iâd like to think I have plenty of introspective thought. No ego here sir, always willing to learn. I still...
Separate names with a comma.