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visits member for 3 years, 8 months
seen Mar 29 '13 at 1:44

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.
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.
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.
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
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."
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!
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.
Apr
1
comment better estimator of volatility for small samples
I am referring to the sample data
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.
Mar
31
comment Given two portfolios with identical correlation matrices, which one will have a better risk/reward ratio?
Do you have a specific link?
Mar
20
comment Can the futures market's open interest predict commodity, treasury, and equity returns?
I'm thinking that some of the assumptions in the paper need to be tested more, since the hypothesis of open interest does seem counter intuitive. Possible the excess returns were due to the (very) higher open interest setups signaling sharp selloffs in the correct directions, and their may also be more of a sampling bias involved, but it's hard to tell
Mar
20
comment Keeping a track record honest
I don't think so. You would probably be better off going with some of the other options suggested.
Mar
20
comment Can the futures market's open interest predict commodity, treasury, and equity returns?
@chrisaycock - I think "horribly misguided" is a bit strong. But obviously the group is not with me on this one, so I'll vote to close.
Mar
20
comment Can the futures market's open interest predict commodity, treasury, and equity returns?
Thank you for your comment. I rephrased my question.
Mar
13
comment Do low volatility stocks outperform high volatility stocks over the long run?
+1 Looks like low turnover low beta portfolios outperform S&P