People who sell strangles that are a long way out of the money will usually have each trade make money, whether or not they have any real edge. The fact that it is possible to make money trading strangles even if your forecast is wrong could be seen as a good thing.actual edge forecast idea luck option results trade trading true
All financial decision making is about balancing risk and reward.
Our decision to make a trade is contingent upon the instrument being at some particular price, the “decision price”.000 shares aggressive announcement bid execution filled market miss pay profit spread temporary trade trader trading visible
The market being so wrong on Brexit will stay with me forever. But life goes on.
FactorWave was a case of "great steak but poor sizzle" . We were aware of this and spent a lot of time figuring out ways to add sizzle without compromising the advice (so we weren't going to add a lot of trades based on stupid analysis for example).add advice aware compromising figuring sizzle spent stupid trades ways
This is the second and concluding part of our interview with Artur Sepp. I think, in the long-term, the position sizing is the key for the long-term performance and it must be implemented using a quantitative method.asset book dividend dividend growth invest long term option trading portfolio content quantitative reminiscences stock strategy trade volatility
Artur Sepp is a rare example of a quant who combines excellent technical skill with a practical understanding of markets. The obvious advantage of this tool is that, in most of cases, it requires only two numbers, the implied and realized volatilities, to get understanding of the potential risk-reward and to initiate a trade at a micro-level.asset bsm drawdown implied model option realized realized volatilities tool trade trading volatilities volatility
Engelberg, McClean and Pontiff recently posted their paper, "Anomalies and News" to ssrn.
The full paper is worth reading but the summary is that they find that "anomaly" returns are 7 times higher on earnings announcement days and 2 times higher on corporate news days.announcements anomalies applies bonds earnings extensive factor fed indices stocks
A member of our slack channel recently asked if there was an equivalent of "sell in May" for volatility trading. Does the volatility premium, the difference between implied volatility and the subsequent realized volatility, differ during summer and winter months?differ implied months positive premium realized realized volatility shows subsequent volatility volatility premium winter
I'm currently working on three things: a VIX option trading strategy, a piece about how factors relate to earnings announcements and a Kelly criterion type thing for options. So I thought i would post a few links to articles that I found interesting.articles factor found hear interesting investors links post reads thought