Ray

258 reputation

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visits	member for	1 year, 7 months
	seen	Apr 11 '12 at 11:58
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	258 reputation	bio	website		visits	member for	1 year, 7 months
16 badges		location			seen	Apr 11 '12 at 11:58

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Nov 16	awarded	Yearling
Apr 2	revised	How companies choose earnings release dates, & effect on Implied Volatility added 6 characters in body
Mar 31	asked	How companies choose earnings release dates, & effect on Implied Volatility
Jan 11	accepted	What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger?
Jan 10	comment	What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? Related, do you by chance know of any formulae that describe "dollar-cost-averaging" for short term applications. E.g. if an instrument varies approximately 20% a day in price, are there formulae that describe the effect of purchasing this instrument perhaps 10-12 times over 3 days at regular intervals, always spending the same amount, to average one's price down? Of course not every trade will succeed, as the item purchased may not rise back up, but is there formula that can help understand this better? Thanks much.
Jan 10	comment	What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? Thanks much for your detailed answer. I am surprised at how high the ratio (0.5072) came out with these numbers.
Jan 9	revised	What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? edited body
Jan 9	revised	What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? added 6 characters in body; edited title
Jan 9	revised	What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? added 6 characters in body; edited title
Jan 9	asked	What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger?
Jan 9	comment	How sensitive are vertical spreads to changes in implied volatility? Thanks Glyphard. I'm curious, is there a reason for what you noted in regard to the PnL line, i.e. flattening on an increase in volatility, or steepening on a decrease in IV?
Dec 15	comment	Calculating Theta assuming other variables remain the same Brian, if the option is purely out of the money (i.e. all time premium), doesn't theta just say, it's going to decay at this rate, this far from expiration (i.e. be the derivative of the standard rate of decay curve)? So, volatility (or other factors) can jack up an options price, but given that price on any particular day, can't one then pick the rate of change off the curve (per days of expiration), and come up with a theta value?
Dec 10	accepted	Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes)
Dec 5	comment	Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) They have a $1 option, to approximate the buying/selling the index.
Dec 2	comment	Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) Geeze, missed that.
Dec 2	comment	Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) E.g. as an example, my brokerage charges 8.2% interest to short a $25,000 position, so that would significantly change the return of the pair, as far as I can see. Thanks.
Dec 2	comment	Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) Thanks Tal. There is both the index, e.g. AVSPY (NASDAQ OMX Alpha AAPL vs. SPY Index), and then separately options on that index (which I have yet to digest, if their equations, etc are the same; please comment if you know). Doing the long-short pair may cause one to have to pay fairly significant interest rates charges on the short, which changes the return substantially (e.g. I guess your comment on dynamic replication"?)
Dec 1	comment	Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) ... I'm indirectly questioning / trying to understand better the merits / detriments of this type of investing (i.e. anything non-obvious).
Dec 1	comment	Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) Any idea how popular "pairs" trading is? It seems with many stocks having very high market correlations/everything tends to move together with the euro debt crisis, it isn't very popular?
Dec 1	comment	Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) E.g. perhaps use less of one's cash balance available for investment (generally speaking)?