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It really depends on what you're trading on. Very often, butterfly trades are simply mean reverting trades. For example, you may look at 2s/5s/10s (typically on a regression or PCA-weighted basis) and see whether it's trading at "extreme" levels relative to history (i.e., are 5s trading rich or cheap relative to where 2s and 10s are trading). This can be ...


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Book with counterpart SwedishAlphaBank, with whom you margin in SEK: USD RUB SEK SEKPnL 0 0 0 0 Buy 100 SEK worth of USD/RUB, meaning buy USD and sell RUB. 100 -100 0 0 With RUB interest rate at 0 (!), USD/RUB moves to 1.1, USD/SEK stays flat at 1 100 -100 0 9.09 Square up back to SEK on USD and RUB: 0 0 ...


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For analyzing a series of trades on a single stock over a period of time. You can understand your market timing contribution by comparing your actual return to the return from consistently holding your average exposure to the stock over that whole period. To then get a feeling for how much you are contributing compared to how much you are messing with a ...



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