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    Problems with TOS VIX option pricing

    I'm pretty sure pricing is correct. What they are most likely referring to is that greeks, IV, other calculations are off/incorrect, because the system calculates those off of spot, as opposed to off of the futures. I don't know that this is what TOS is doing, but if you tried to measure IV of a...
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    Trading others people money

    I'm wondering if members of the community who have seen others succeed/fail and experienced success/failure themselves would opine on how much first-hand trading experience one should have with their own capital before its wise to venture into managing investments for others. I personally lean...
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    How to create an Excel table containing butterfly prices

    Thanks for sharing Kevin. This is big and something I asked OV for recently. Extremely happy to see that they included this.
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    M3 - The best strategy?

    http://www.smbtraining.com/blog/m3 You can purchase the course at the link above.
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    SPY: Overnight Black Swan Waiting Time?

    That is a suspicious looking chart for a long-vol profile trade. Where is the short strike placed? How many DTE? Does "delta neutral basis weekly gross of costs" mean that you put in on delta neutral, then close out/reposition one week later?
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    Fooled by Randomness

    There would seem to be an easy solution to fixing this problem; just fade your instinct and the slope will turn sharply upwards.
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    OptionVue's VXX Trading System

    ...sigh....you are making my point for me, but do not recognize it. Empirically observed covariation is a necessary but not sufficient condition for causality. Your statement that "one provides some info about the other" MAY be correct, but has not been sufficiently shown in the paper. Simply...
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    OptionVue's VXX Trading System

    I finally had a chance to read the paper that has been referenced multiple times in this thread. For anyone who has used this paper as a basis for any of their trading strategies/decisions, I would caution against taking the author's conclusions as gospel. The author appears quite comfortable in...
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    OptionVue's VXX Trading System

    David, Ryan, I understand the perspective that you and your referenced papers are suggesting, but to broadly state that "the returns don't come from the roll yield but instead come from the volatility risk premium" fails to acknowledge that any volatility risk premium - were it to exist (and...
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    OptionVue's VXX Trading System

    https://en.wikipedia.org/wiki/Roll_yield The roll yield is the yield that a futures investor captures when their futures contract converges to the spot price; in a backwardated futures market the price rolls up to the spot price, so the roll yield is positive, whereas when the market is in...
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    OptionVue's VXX Trading System

    This is the definition of roll yield.
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    A bit about going full time

    many of the strategies you mentioned, mine included, have a tendency to experience big losses in the left-tail of the return distribution. In fact, a big source of the long-run returns come precisely from the shortage of investors willing to take on this tail risk - therefore those willing to...
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    A bit about going full time

    I hate to be the turd-in-the-punchbowl, but I think it is unrealistically optimistic to plan to make 3-4% per month. Planning to make ~20% per year consistently on your asset base (over a full market cycle) may be possible but only for the cream of the crop traders (perhaps top 5% or top 1%) in...
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    Karen The Super Trader?

    I guess I'm a much bigger cynic than you. If this fund was collecting incentive fees but was not actually generating new HWM (in terms of NAV), I don't see how this could have been done accidentally. Someone doing this almost certainly knew exactly how they were gaming their incentive structure.
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    Karen The Super Trader?

    I think this is what she was allegedly doing. Sometime in May -suppose June ES Future is at 2100 -sell May ES 1900 Call for 205 -buy June ES 1900 Call for 208 -combined, you collect 205 in premium for the May call and pay 208 in premium for the June call Expiration of May call -suppose June ES...
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    Karen The Super Trader?

    So if I understand correctly, by selling a DITM option on futures, the entire premium collected is a "Realized Gain" when the option expires and the futures position is assigned? And then the futures position, as soon as it is assigned, has a huge unrealized loss (because presumably you were...
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    Karen The Super Trader?

    Good analysis of what may have gone wrong http://www.valuewalk.com/2016/06/karen-bruton-super-trader/
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