FactorWave Blog


 

VIX, Elections and BREXIT [0.18]

Posted on Nov. 2, 2016, 1:43 p.m. by FactorWave Blog @ [source]

Implied volatility tends to increase as markets approach events which bring uncertainty. Stock volatility increases before earnings.

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What Does it Take to be a Good Trader? [0.09]

Posted on Oct. 7, 2016, 2:39 p.m. by FactorWave Blog @ [source]

I’ve recently been interviewing college students who want to be option traders.

Bad traders tend to approach the world from a rigid perspective.

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Feedback [0.23]

Posted on Oct. 6, 2016, 7:44 p.m. by FactorWave Blog @ [source]

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.

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Intro to Possible New Book [0.20]

Posted on Sept. 8, 2016, 4:41 p.m. by FactorWave Blog @ [source]

This title might seem like a contradiction. You might think that non-quantitative traders are incapable of quantitative trading.

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Some Unfinished Thoughts on Execution [0.14]

Posted on Aug. 27, 2016, 5:38 p.m. by FactorWave Blog @ [source]

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”.

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Brexit [-0.50]

Posted on Aug. 8, 2016, 3:42 p.m. by FactorWave Blog @ [source]

The market being so wrong on Brexit will stay with me forever. But life goes on.

 

Executioner.ai [-0.05]

Posted on July 20, 2016, 3:58 p.m. by FactorWave Blog @ [source]

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).

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Interview With Artur Sepp: Part Two [0.20]

Posted on July 14, 2016, 2:56 p.m. by FactorWave Blog @ [source]

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.

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Good Analysis of Prediction Markets [0.00]

Posted on July 13, 2016, 3:20 p.m. by FactorWave Blog @ [source]

 

Interview With Artur Sepp [0.13]

Posted on July 11, 2016, 3:08 p.m. by FactorWave Blog @ [source]

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.

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Factor Returns and News Stories [0.20]

Posted on June 13, 2016, 3:54 p.m. by FactorWave Blog @ [source]

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.

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Summer, Winter and the Volatility Premium [0.04]

Posted on June 6, 2016, 2 p.m. by FactorWave Blog @ [source]

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?

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A Few Little Links [0.31]

Posted on May 31, 2016, 9:28 p.m. by FactorWave Blog @ [source]

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.

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