meta user
network profile
| bio | website | linkedin.com/in/ralphwinters |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 2 years, 2 months |
| seen | Mar 29 at 1:44 | |
| stats | profile views | 30 |
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Feb 28 |
awarded | Yearling |
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Feb 11 |
comment |
Can the futures market's open interest predict commodity, treasury, and equity returns? @vonjd - Yes I just accepted an answer. I thought it was a reasonable answer to a reasonable question. Sorry it took so long to respond. But some of the type of comments I have been receiving kept me away from SE for a while. |
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Feb 11 |
accepted | Can the futures market's open interest predict commodity, treasury, and equity returns? |
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Feb 28 |
awarded | Yearling |
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May 13 |
comment |
Do binary options make any sense? Yes. To me binary options seems to have more of a "gambling" feel than standardized options. Possibly due to the ease of use as described. it does seem like a product which might have mass appeal. |
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May 9 |
accepted | Do binary options make any sense? |
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May 7 |
revised |
Do binary options make any sense? added 104 characters in body; added 8 characters in body |
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May 6 |
asked | Do binary options make any sense? |
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May 4 |
comment |
Why are options trades supposed to be delta-neutral? Can you supply the context to where Natenberg states that all option trades should be delta neutral? If I remember correctly he also has a couple of chapters on directional trading which would run counter to that point. |
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Apr 12 |
comment |
How does return-based analysis calculate expected return of a trading system? @MikTrader - I don't understand your edit. If you are getting a new signal every day, you have a daily trading system and you would calculate your ER based on that. If your signal lasts more than a day, you can't calculate an ER daily since the daily returns are due to other factors as time passes. For example if you are in a trade for a year, the chances are very slim that the return on your last day is due to your original trading signal |
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Apr 10 |
answered | Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones? |
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Apr 7 |
comment |
What is the longest number of consecutive days that options implied volatility has stayed “extremely high” for any particular underlying? When you know about extreme events, you can learn a lot about the data. The whole basis of catastrophic modeling is based upon extreme, rare events. In todays volatile times it is not unusual to expect price moves of +/- 4 standard deviations, but yes, 10 years ago I would expect people to say "Why would you want to know that?, 2 deviations is all I need." |
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Apr 6 |
awarded | Commentator |
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Apr 6 |
comment |
What is the longest number of consecutive days that options implied volatility has stayed “extremely high” for any particular underlying? The period could be included as part of the volatility. I really only include "well above the average 1 year volatility" to set a baseline. Some stocks, e.g. biotech stocks, are always volatile so there is no relative comparison. Yep the question is tough, but I know there are smart people out there! |
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Apr 6 |
asked | What is the longest number of consecutive days that options implied volatility has stayed “extremely high” for any particular underlying? |
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Apr 1 |
comment |
Given two portfolios with identical correlation matrices, which one will have a better risk/reward ratio? Interesting but sounds like it is might be a very controlled situation. Possibly you could put together a case for the opposite? But +1 for the reference. |
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Apr 1 |
comment |
better estimator of volatility for small samples I am referring to the sample data |
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Mar 31 |
comment |
How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option? Good point. However if the OP is versed in Monte Carlo simulation, she is not a beginner, and she can make any assumptions she wishes regarding IV, interest rate etc. and let the model run. The only real constraint is time. |
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Mar 31 |
revised |
better estimator of volatility for small samples spelling |
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Mar 31 |
answered | better estimator of volatility for small samples |
