CookieMonstas Journey Into the Forex World - Page 3
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Thread: CookieMonstas Journey Into the Forex World

  1. #21
    Vol arb, or volatility arbitrage, is buying undervalued alternatives and selling options, in order to profit in the advantage that the markets have currently quoted for a certain reason. It is pretty much trying to match orders and capitalize on mispricing. Buy em when it is low sell em when it is high.

    This is a market manufacturing egy which only market makers can employ since they receive the spreads. Retail will find it tough to use, because the spreads should have priced in the status.

    The form needs to be of either collar or butterfly or exposed long wings, so when market crash, it will become default profitable. (This is may not be how market makers trade, but is how I'd like my portfolio to be egies around).

    However, there can be several derivable properties from using this method. The method of usage customised to my own MO is still a work in progress and under investigation.

    Forged for analyzing, reality that market makers are always being struck by buy side and retail, suggests that they may be handling a risk averse portfolio choice problem, hence how they handle risk and protect position is perhaps the key to options position management.

    I have a little inkling of how to adapt some of what they do to get a more restrictive mo, to trade volatility.

    However, more work is to be performed for substantiating the results with this particular mo

    Notice in the movie Dr Sheldon said, relationship many times, and the single thing that's unknown is two current price, and volatility, and current price is given by market, therefore in the model that the only one potential to adjust is implied volatility input. Due to the if two options are rather overpriced and underpriced, not factoring in the volatility skew, the fair volatility should be in-between?

    Sources of information,
    Sheldon natenberg.




    To be continued.

  2. #22
    the black and black scholes model, assumed a Gaussian probability model, a bell curve.

    Further models adapt for crashes and surprising occasions utilizing a leptokurtic version, and the way they adjust for it's via the implied volatility skew.

    So from this, they derive the Greeks, mainly the delta, which produces the delta hedge technique. But note that, in the delta hedge method, it does not factor in fundamental data, and technical areas of the price action, that's the here and now of those markets, there's still a missing factor of volatility that the options trader has to judge if it's under priced or more priced. It requires that traders have an opinion of ability and also volatility to handle options trade and compose synthetics based on this.

    This type of little segment of a excerpt from Dr Sheldon natenberg's book. See that the cash flow repliion, converged on realized volatility, whereas the choice was that the price quoted by the market, and also his version indied that he had a tiny edge.

    Hence the origin of profits has been that: given volatility did not alter, but decayed as time went, the cash flow repliion simulated actual realized volatility using the delta hedge technique. Therefore he made money by buying a underpriced alternative and using the delta method keep the volatility.

    The ch is this, suppose you have a version to produce a better hedging ratio in contrast to the delta hedging method, you theoretically can juice out more cash than what's potential in contrast to utilizing the delta hedging method.

    That can be subject to experimentation.

    I did do some demo on it, the results were generally 1 to 1 ratio risk to payoff, say $100 premium compensated with $200 made, therefore net net, it's $100 profits, but I just did for 5 times, so this isn't conclusive, but the experiment was a 2x place to 1x alternative ratio using 1 day options, therefore it's something to explore, the results are inconclusive but appears to have a start outcome which shows some signs of potential use for retail, basically, I pay a little premium to have a limited risk position non-correlation to markets volatility, or rather I'm long volatility, only I adjust for it in real time by the hedge ratio and by climbing in and out. This may have some potential for retail trading use.

    My intuition is that, using the e out of TAF the hedge ratio can be stronger and I also don't have to rigorously be delta neutral, I will expose to more place than alternative if satisfactorily in the cash. In addition, the mo permits for a quicker convergence to actual realized volatility, and finally, you will find more ways to exchange in and out of their volatility, which isn't signaled by the black and scholes formulae, notice that choices returns are path dependent, but no where did the black and scholes say I suppose this is a powerful point of the choices version, but this is only if you buy and maintain just, and you're using it for its intended purpose of insurance, the non invasive route reliance embedded in the formulae allows the portfolio to be shielded before expiry, but should you have to shut in the middle then you are not assured performance, should you trade actively, maybe you can find other ways around it. 1 more thing not suggested by the black and black scholes model, the rate of change or change, this may be exploited also.

    The black and black scholes version has afew points that are great for longer term egy, however some are not very relevant for shorter duration traders, I believe there are ways around it.

    I believe this to be a good direction for investigation.

    To be continued...


  3. #23
    Just got off work.

    Eurusd in profound pullback hrly,
    Gbpusd lethargic pullback hrly,
    Usdjpy indiing nice support hrly,
    Eurgbp, fashion upward, indiing nice pullback hrly.

    Notice eurgbp is up in London, therefore is eurusd, USD impartial, usdjpy is upward indiing USD strength may still be in sight, however, nothing set in stone, stay flexible.

    Assess 15mins eurusd, gbpusd, and eurgbp, they shing crosses? USD bull for those 2 pairs don't seem to be insight.

    Gbpusd pullback will extend pass 1.3060 into 1.3075 possible stop hunt, pa still fuzzy.

    Barbwire gbpusd, seem EUR is the one doing the pushing.

    Market may be legging cross actual pa may come just after New York open.

    Just a rhetorical, what is driving eurusd? Powerful from NFP, EUR up seeing eurgbp is upward trending from strength that is EUR or GBP weakness?

    Or can it be eurusd lack its own fundamentals, therefore it's being used to leg and rotate and there?

    Wonder where their actual position at, however, gbpusd powerful daily and hourly down trend.

    Update: gbpusd nevertheless barbwire, form eurusd gbpusd and eurgbp nevertheless signifies that eurgbp is driver as of now Sgt 19:17

    Not sure if it's gonna pullback upwards, rotating out long eurgbp, as eurgbp remains up on hourly and daily.

    Scout deployed, brief 0.02 @ 1.30477 gbpusd
    Long 0.02 @1.18041 eurusd.
    Long 0.01 @ 1.18080 eurusd.
    Short 0.03 @ 1.30523 gbpusd.

    Okay, now will wait to find markets drive, feels just like they trying to churn people out of their place, best to not get too hasty.

    Position synthetic nature, exposed long EUR, brief GBP, net long USD.

    Assess usdchf, indiing some support? But, for two lows, squeezing, but appears eurusd following about of usdchf.

    Assess eurusd, appears powerful impulse.
    Now gbpusd assisting positions, timing window to rescue eurusd may not be around, but since weighed to more brief gbpusd, place still seems ok.

    Assess usdjpy stop hunt spotted, can it be real? May try push the stops above. Possible timing for USD to perform their drive.

    Sold 0.03 eurgbp, now 0.03 lock 0.02 gbpusd brief.

  4. #24
    Withdrawn gbpusd at 0.25 cents profits, both at 1.30501

    Sounds all churning and this really is the beginning of the session, so I can just wait abit.

    Open positions today, 0.03 long eurusd 0.03 short eurgbp


    Reinstated short gbpusd 0.05 @1.30481

    Rescue 0.03 long eurusd

    Attack 0.03 short gbpusd

    Rescue 0.03 eurusd

    Take profits gbpusd 0.08

    Rescue eurgbp 0.03 short

    Awe crap, took the profits too quickly, really gotta work with it.

    Position upgrade 6dollars profit obtained, sitting on 15dollars reduction.

    Escape eurgbp 0.03 BE

    analysis upgrade, feels like im long eurusd in distribution

    place recap long 0.09 eurusd, short 0.03 eurgbp

    long 0.15 usdjpy, seems usd coming, usdjpy appears 2nd leg upward have not broken duck zone.

    Hmm, not sure whats happening, taken out 0.15 usdjpy at -3.70, reason, too hefty a position, insufficient momentum, usdjpy appears to be coiling.

    Extended 0.06 eurusd rescue

    total blotter afterwards, concentrate on handling trades for now.

  5. #25
    Quote Originally Posted by ;
    quote In case you could display shot it and establish the waves it'd be good, I am seeing one pullback on the hourly rate. M5 is choppy.
    Yeh humorous day h1 wave you mention shows what m5 is doing.

    Chart shows how I saw eurusd today.

    A bounce off service could just do either dip and operate long OR dip and back into a consolidation - blessed it appeared twice.

    Alex

  6. #26
    Quote Originally Posted by ;
    quote yeh humorous day h1 tide you mention reveals what m5 is performing. Chart demones how I saw eurusd today. A bounce off service can just do either dip and operate long OR bounce and back into a consolidation - blessed it appeared twice. Alex picture
    Yep, hmm, on M5 it appears to be a upward trend till new york'm. Then when New York open shorts came on and in hourly.

    It was a deep pullback on tide 5, on the hourly rate before New York came in.

  7. #27
    Quote Originally Posted by ;
    quote Yep, hmm, on M5 it appears to be a upward trend till new york am. Afterward when New York open shorts came in and on hourly. It was a profound pullback on tide 5, on the hourly before New York arrived in.
    Yeh then our power went out in village for many hours and had trouble getting broadband fixed this afternoon - what fun.

    Missed a few trading also Because of health problems - but it is December so be Somewhat funny


    Alex

  8. #28
    Quote Originally Posted by ;
    quote yeh then our power went out in village for several hours and had difficulty getting broadband fixed this morning - what pleasure. Missed some trading also as a result of health issues - but it's December so be somewhat humorous Alex
    Take good care of the health issues.

    Yeh, market jittery fine, eur and gbp tearing all day long. Also with fomc tomorrow

  9. #29
    It just happened to me, what if the butterfly's weighting is carried out by ATR ratios?

  10. #30
    Alternatives dynamic modelling, per movement per leg, 10pips, interesting, with this I can more accurately replie end state results depending on spreads paid. Which is mostly where most egies in options drop money, except for naked shorts.

    Because round trip is 20, 1 spread is 20 too because we struck bids and take offer.

    Looks true component is price spreads per leg.
    Impliion is, every time you do alterations to attempt converge to box you approach zero, then from zero to negative if too many motions are made.


    Meaning that if we attempt to create a position into a box somehow, the amount of motions we are required to create, will cause the box to essentially invert us after X amount of motions per leg, therefore we are able to technically calculate the movement before producing them factoring in shifts in price, time and volatility.

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