Ok, maybe we can help each other ? I'll post up what I *think* would be a balanced portfolio later today.
You seem to have taken offence - why ? I'm trying to learn this strategy, that's why I posted questions to you. They aren't "negative...
That ratio looks good, but you do realize itâs a crude indicator and not representative of the statistical implied correlation between...
Is partial replication a reasonable risk ? If so, this then begs the question of which stocks to select for a partial replication ? How is the...
Agreed, it should be, but it can't be. This is precisely where Put-Call parity breaks down. This is total b*llocks IMHO. Again, why has...
An option dated a couple of decades away is very different to an option which doesn't expire - ever. Having played with the BS model this is...
It's easy to account for "Long term", but how exactly do you account for infinity ???
Maybe someone's having a laugh.
Are you sure it's not a joke ? How the hell would you price an option that doesn't expire ? How do you account for the infinate finance ?...
Risk Just a quick one if I may.... Why is there so little written material on this strategy ? is it the domain of hedge funds only ? Closly...
Riskarb It'll take me a week to digest that lot above. Thanks again.
Hello ?
What exactly do you mean by âlocking Volsâ ? Are you implying they could be profitable if they did it right ? Not sure what you mean here; do...
Cheers. Surely any an implied correlation approaching +1 has got to be a good risk ?
Isn't that a contradiction ? If you have an implied correlation of +1 or more and replicate the mother index 100% with the components, you cannot...
Defining riskiness as a probability of loss, the 2 sigma OTM is more risky. In terms of expectancy (which I think is what you're alluding to) they...
Still can't see how it could be calculated by using the weighted ratio of LN price change correlations rather than stock price correlations -...
I've looked at it from all angles and can't see how it's done. Anyone know ?
<font color=#ffffff>..............</font color>Corr to Index<font color=#ffffff>...........</font color>Index Weight Stock A<font...
IV_Trader Was it necessary to 100% replicate the index ? Could you not have chosen a broadly representative basket of stocks from various...
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