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  1. SPX Credit Spread Trader

    Murray, In my opinion, the Delaware court system is a very valuable advantage to incorporating in that State. Delaware has a vast amount of...
    Post by: segv, Sep 29, 2006 in forum: Journals

  2. SPX Credit Spread Trader

    Oh, I understand you now. You are quite right. -segv
    Post by: segv, Sep 28, 2006 in forum: Journals

  3. SPX Credit Spread Trader

    Are you talking about overhedging your deltas when short gamma? -segv
    Post by: segv, Sep 27, 2006 in forum: Journals

  4. SPX Credit Spread Trader

    What do you suppose you are getting theta for? -segv
    Post by: segv, Sep 27, 2006 in forum: Journals

  5. Reversion to the Mean

    I find all of this pseudo-science extremely nauseating. Do you suppose that you are the first person on earth to ever consider the possibility of...
    Post by: segv, Sep 20, 2006 in forum: Technical Analysis

  6. SPX Credit Spread Trader

    Terrible news for ToS customers. -segv
    Post by: segv, Sep 19, 2006 in forum: Journals

  7. SPX Credit Spread Trader

    Always put on the "hard side" first when you are legging a spread. In this case the hard side is the deferred contract where there is less...
    Post by: segv, Sep 19, 2006 in forum: Journals

  8. SPX Credit Spread Trader

    I traded into this spread several times yesterday at $1.80-$2.00 small +edge. I do expect a larger move in the VIX in the next few days. -segv
    Post by: segv, Sep 19, 2006 in forum: Journals

  9. Is Trading Ethical?

    [/b] Where is the evidence to support the premise that "90% of traders end up blowing their accounts"? Perhaps it is because a job is...
    Post by: segv, Sep 8, 2006 in forum: Psychology

  10. SPX Credit Spread Trader

    So you are worried about the slope of the gamma into the last week? -segv
    Post by: segv, Sep 6, 2006 in forum: Journals

  11. SPX Credit Spread Trader

    How does the expectation of Phil's current trade differ than the expectation for the majority of his other credit spread trades? Why the sudden...
    Post by: segv, Sep 6, 2006 in forum: Journals

  12. Option Income Portfolios

    Poor, poor, poor Theta. She had a hard time getting a date to the prom, too (all of the binge eating). Theta and I know how to dance, however....
    Post by: segv, Sep 2, 2006 in forum: Options

  13. Naked Iron Condor - can this strategy work?

    There is non-systemic risk. Think outside of the box; what if your GTC order for some reason does not execute? This could be a technology failure,...
    Post by: segv, Aug 31, 2006 in forum: Options

  14. Index constituent weightings and implied volatilities

    Are you running long or short? I assume you are using proxy hedging versus full replication? -segv
    Post by: segv, Aug 31, 2006 in forum: Options

  15. Index constituent weightings and implied volatilities

    If you mean by having a complete replication of the index, no I do not. And you are quite correct about the hedge. -segv
    Post by: segv, Aug 31, 2006 in forum: Options

  16. Index constituent weightings and implied volatilities

    I will look for it. Suppose that one creates a basket that closely tracks the S&P 500 index future. When the spread between the basket and...
    Post by: segv, Aug 31, 2006 in forum: Options

  17. Index constituent weightings and implied volatilities

    I usually end up long dispersion every month, but not as a result of an intentional dispersion trade at the outset. I would probably use swaps...
    Post by: segv, Aug 31, 2006 in forum: Options

  18. Index constituent weightings and implied volatilities

    I forgot this nice paper that directly addresses your question: Option Valuation with Cointegrated Asset prices, Pilska and Duan -segv
    Post by: segv, Aug 30, 2006 in forum: Options

  19. Index constituent weightings and implied volatilities

    While correlation measures the short term interdependence between two variables, cointegration attempts to measure the long run equilibrium or...
    Post by: segv, Aug 30, 2006 in forum: Options

  20. Index constituent weightings and implied volatilities

    I merely meant that the index arbitragers I know are not completely replicating the index. -segv
    Post by: segv, Aug 29, 2006 in forum: Options
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