How To Profit From VIX ETNs And Futures Contracts [View article]
Outstanding, Mr. Stewart. The good content just keeps on coming. Thanks for your efforts and for building on the discussion.
I am mostly a currency carry trader, which is inherently a short volatility play. I am leaning more and more to transitioning to the pure plays on volatility itself. The risks are high, but the risk to reward is excellent.
How Long to the Point of No Return? [View article]
"It is regrettable, sinful, but normal." Ha! You are a great, articulate, yet down to earth, economist. And a terrible theologian! Usury (in a classical, not modern sense) is the sin.
CFTC Reform and the Death of Retail Forex [View article]
Agreed that this article, while sounding intelligent and even making a valid point or two, is rife with misinformation to the degree that it should be removed by the editors.
These include: -actual spread costs -the notion that there is no positive carry in spot FX (you have to pay and pay, he tells us) -margin requirements for futures
Opportunities in Options Markets, Summer 2009 [View article]
Greetings Geoff,
Nice to see the evolution of your thoughts about monte-carlo and options pricing. I think this is the most interesting stuff you have done to date.
Please let me ask a few questions, if you don't mind.
Not sure why underpriced options would suggest buying calls rather than buying puts (or more reasonably straddles) in the short run (<3 years). Serial correlation can be positive with a negative price trend, can it not?
Also, are you talking about buying OTM calls on EBAY? While stock markets tend to go produce positive results over long periods, you have to have to inherently predict the magnitude of the move when buying options.
Which options are you talking about selling? The long dated LEAPs or the front month? You would have interest rate risk on the LEAP, far lower gamma initially, and wider bid-ask spreads. I usually divide the time value by the number of days till expiry to get a better idea of the decay per day.
Also, why sell covered calls at all? Naked puts would be the risk equivalent and would simplify things. If you get exercised, you could then start selling calls on the underlying.
While i like your plan, it is clearly not an equivalent for Bodie's conservative methods. Bodie's plan seems like it would work better with a call spreads. It would be like your own index annuity.
Just some thought. Nice piece of work. Seems like you are definitely thinking out of the box.
Quantifying The Cost Of Long And Double-Long VIX ETPs [View article]
Daily Volatility Trading Strategy Using Chandelier Stops On XIV [View instapost]
How To Profit From VIX ETNs And Futures Contracts [View article]
I am mostly a currency carry trader, which is inherently a short volatility play. I am leaning more and more to transitioning to the pure plays on volatility itself. The risks are high, but the risk to reward is excellent.
Thanks for the great stuff. Cheers from Osaka,
john shultz
How To Profit From VIX ETNs And Futures Contracts [View article]
Anthology Of Writings Essential To Volatility Traders [View instapost]
Cheers from Osaka,
john
Japan's Mrs. Watanabe Says: 'Hold off on Carry Trade' [View article]
Is the World Running Out of 'Cheap Alpha'? [View article]
Japanese Politics Making Bond Investors Nervous [View article]
Cheers from Osaka,
john
The Danger of Shorting Holes [View article]
How Long to the Point of No Return? [View article]
Cheers from Osaka,
john
CFTC Reform and the Death of Retail Forex [View article]
These include:
-actual spread costs
-the notion that there is no positive carry in spot FX (you have to pay and pay, he tells us)
-margin requirements for futures
Shorting the Market by Going Long the Dollar and Volatility [View article]
The Return of Japan's Zombie Finance [View article]
Japan: DPJ's First 100 Days (Part II) [View article]
Cheers from Osaka,
john
Opportunities in Options Markets, Summer 2009 [View article]
Nice to see the evolution of your thoughts about monte-carlo and options pricing. I think this is the most interesting stuff you have done to date.
Please let me ask a few questions, if you don't mind.
Not sure why underpriced options would suggest buying calls rather than buying puts (or more reasonably straddles) in the short run (<3 years). Serial correlation can be positive with a negative price trend, can it not?
Also, are you talking about buying OTM calls on EBAY? While stock markets tend to go produce positive results over long periods, you have to have to inherently predict the magnitude of the move when buying options.
Which options are you talking about selling? The long dated LEAPs or the front month? You would have interest rate risk on the LEAP, far lower gamma initially, and wider bid-ask spreads. I usually divide the time value by the number of days till expiry to get a better idea of the decay per day.
Also, why sell covered calls at all? Naked puts would be the risk equivalent and would simplify things. If you get exercised, you could then start selling calls on the underlying.
While i like your plan, it is clearly not an equivalent for Bodie's conservative methods. Bodie's plan seems like it would work better with a call spreads. It would be like your own index annuity.
Just some thought. Nice piece of work. Seems like you are definitely thinking out of the box.
Cheers from Osaka,
john