Myopia, or nearsightedness is a common affliction among those who seek to profit from the financial markets. All too often … More
In recent years I have found it increasingly beneficial to narrow my focus.
The code below takes the data already cleaned up by the code in the previous post and strings separate months together in a time series suitable for back testing.
The data obtained from the CBOE is messy and incomplete. It takes a great deal of time for even the experienced nerd to sift through it.
This option strangle is effectively short volatility. It buys long dated puts at the money and protects the position with long dated calls far out of the money.
After the liquidation of XIV following the volatility spike earlier in the year I decided to take a more detailed quantitative approach to trading volatility.
A while ago I put a lot of work and effort into looking at Black Scholes and various other option pricing models.
I have felt with increasing certainty recently that the Buddhists are right. We have no separate existence, no soul, no fixed place in the universe.
Much is made these days of the concept of “mindfulness”. It is the cure-all of the new age. Depressed? Mindfulness … More