why would the correlation hurt you? you're selling expensive vol (stock) and buying cheaper vol (index) and you're doing it in a ratio. i think...
sold this at .80
i lifted the apr/may switch @ 0.75.. experimental. we'll see how it goes
I think he means have his money managed for him
well then first figure out what you want to test.. for example lets say you want to test a simple strategy of buying spx every monday (and lets...
what were u trading, and how much leverage was involved?
i'm not sure of any books on the subject. from my perspective, a good way to start would be to test simple strategies. an example of one could...
a good friend interviewed at a sizeable HF the other day... comes back and gives me this quote, "we aren't a quant fund. we pay the bid/offer."...
it's safe to say that uvxy will give u a daily return real close to 2x the vix short term futures index.
yes - october into november expiry. it all depends on timing and i'm not sure if u had chosen the 16 puts to be close to ATM to becasue u wanted...
last month, depending on when you put the trade on is an example of when it can not work.
as of now it looks like it would have been a good trade.. can you backtest it?
cool one - i dont hate on it, but something to consider is as you approach maturity of the vix options is that vxx is less and less reliant in...
i can give you the answer... but you'll never learn unless you figure it out yourself. 1) figure out what exposure you have when you're long...
please dont do this. uvxy isn't something to be held for a long period of time and has a ton of daily decay. there are much, MUCH more efficient...
not much going on for me at the moment.. still just hangin onto the FMA fly. does anyone happen to have a list put together of all the VIX...
i'm pulling both, but for the calc of the deviation i'm using the mid. for calcing the actual executable levels (if i was to try and arb vs...
yeah - i'm aware of how the index it tracks works, i just hadn't heard of that iv ticker. either way, what i've put together for vxx doesn't show...
thx - i didnt realize they posted an intraday NAV calc.. i had mine calced on my own lol. anyway, i'm still looking for references on the...
id prefer not to outright say the institution where i work, but im an analyst on a sales and trading desk. i split my time between equity-linked...
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