International markets traders banter

[notting]

Laughing.
Great picture
Reminds me of something I saw the day after I got married!

 

[sinner]

Sinner i'm a complete numpty with options...but are you betting that the indices will do anything BUT range?

CanOz

I'm basically betting realised vol in a day/week/month from now will be higher than todays implied vol. On the Qs.

Term structure charts were just for fun.

 

[CanOz]

I'm basically betting realised vol in a day/week/month from now will be higher than todays implied vol. On the Qs.

Term structure charts were just for fun.

That's gotta be a sure thing?? Or very high probability...yeah? What about historical examples of this, what was the probability then?

CanOz

 

[sinner]

That's gotta be a sure thing??

Generally not, no? Vols generally mean revert from high levels to low levels, just look at VXX. Even the Nikkei volatility index does it like that.

Or very high probability...yeah? What about historical examples of this, what was the probability then?

CanOz

I calculate it on a more heuristic than historical basis, except for comparing realised vol to its long term average as a filter. I used to only trade on one side of the long term avg but now I implement a confidence model instead. I would say, roughly, more of my straddles fail than succeed.

Here is an example quote from a NYorker article about Taleb and Empirica
http://www.gladwell.com/2002/2002_04_29_a_blowingup.htm

At Empirica, by contrast, every day brings a small but real possibility that they'll make a huge amount of money in a day; no chance that they'll blow up; and a very large possibility that they'll lose a small amount of money. All those dollar, and fifty-cent, and nickel options that Empirica has accumulated, few of which will ever be used, soon begin to add up.

By looking at a particular column on the computer screens showing Empirica's positions, anyone at the firm can tell you precisely how much money Empirica has lost or made so far that day. At 11:30 A.M., for instance, they had recovered just twenty-eight percent of the money they had spent that day on options. By 12:30, they had recovered forty per cent, meaning that the day was not yet half over and Empirica was already in the red to the tune of several hundred thousand dollars. The day before that, it had made back eighty-five per cent of its money; the day before that, forty-eight per cent; the day before that, sixty-five per cent; and the day before that also sixty-five per cent; and, in fact-with a few notable exceptions, like the few days when the market reopened after September 11th -- Empirica has done nothing but lose money since last April. "We cannot blow up, we can only bleed to death," Taleb says, and bleeding to death, absorbing the pain of steady losses, is precisely what human beings are hardwired to avoid.

I am quoting this mainly to give you an idea of the expected probability of structural long vol success, not necessarily touting the idea of always being long vol.

 

[CanOz]

So unless you are doing this regularly, the chance of success is pretty slim...?

Interesting to see how you go...Taleb is always betting on the swan yeah?

Love to see his record....

CanOz

 

[sinner]

So unless you are doing this regularly, the chance of success is pretty slim...?

?? It's a bet on the tails rather than the mean. That's all. You size it like a regular position. I have a model for trading long straddles on a small basket of ETFs. It loses more than it wins but the winners win more than the losers lose.

Interesting to see how you go...Taleb is always betting on the swan yeah?

Love to see his record....

CanOz

Define record? The whole idea of Empirica (someone correct me if I'm wrong) was simply to provide a cheap tail hedge against regular investments. So their returns aren't as important as whether or not they were a good tail hedge. I am pretty sure Empirica is closed up shop now.

 

[Trembling Hand]

low volume HSI open. Beware of the rocket.

 

[tech/a]

Contagious
SPI just got one--(a rocket)

 

[Trembling Hand]

Contagious
SPI just got one--(a rocket)

Oh dear...


Spew-a-rama!

:bloated::flush:

 

[sinner]

Watching paint dry on my AUD longs, gonna kill them here and call it a week. I think I netted 2 points today all up.

 

[cynic]

Watching paint dry on my AUD longs, gonna kill them here and call it a week. I think I netted 2 points today all up.

2 points, eh!

Well make sure you don't spend them all at once!!

The cheek of this market!

How dare it make you sweat for your profits!!

 

[cynic]

The FTSE's had my goose in a flap for most of this week!

It was looking pretty sickly last thursday, but seems to have turned the corner and is now (hopefully) on the mend.

My grail on the other hand, just reached a 20 week record! Yippeee!

It's now time for me to open that bottle of savings brand lemonade - the one that's been kept on ice for celebration of such momentous occasions!

 

[sinner]

Anyone got an opinion on the London Open for AUDUSD? wtf was that? I guess an ugly distribution?

 

[cynic]

The FTSE's had my goose in a flap for most of this week!

It was looking pretty sickly last thursday, but seems to have turned the corner and is now (hopefully) on the mend.

My grail on the other hand, just reached a 20 week record! Yippeee!

It's now time for me to open that bottle of savings brand lemonade - the one that's been kept on ice for celebration of such momentous occasions!

Looks like I'm going to have to replenish my lemonade stores (savings brand of course!) since the grail has managed to achieve yet another high. So it appears to be reasonably well suited to the DAX at this early stage. Could the next drawdown be it's Waterloo?

The goose did briefly surface for air during the past few days, but only to get dunked again - !@#$ing FTSE!

 

[cynic]

The Grail seems to be having a flat night tonight but the Goose has managed to resurface yet again! Now let's see if it can regain it's previous altitude before a black swan comes along and tries to !@#$ it.

 

[Trembling Hand]

Now let's see if it can regain it's previous altitude before a black swan comes along and tries to !@#$ it.

Ha! Gee first day back after a little hol getting powder up my nose and it was a nasty one!

F knows why!?

 

[CanOz]

lulz...you've been boarding you **ick!

Got any happy snaps?

 

[kid hustlr]

Got up early to watch the US markets today.

Absolutely loving it, shame about the horrid timezone.

Trying to do it old school today.

 

[cynic]

Ha! Gee first day back after a little hol getting powder up my nose and it was a nasty one!

F knows why!?

View attachment 51041

It's good to have you back T/H and also great to see that the markets have provided a nice calm day for you to gently ease yourself back into work after your holiday break.

 

[cynic]

The Grail seems to be having a flat night tonight but the Goose has managed to resurface yet again! Now let's see if it can regain it's previous altitude before a black swan comes along and tries to !@#$ it.

I think the Brits must have declared open season on geese recently - my Goose just got dunked again!

And as for my Grail, the DAX has belted it pretty hard over the past couple of days, leaving a 6,000 Euro dent in the open profits! !@#$ing %^&#$s!

It looks like that next bottle of savings brand lemonade is going to be staying on ice for quite a while longer!