% annual return? I did 38% on book last year (for my current gig). My peak to trough draw-down was 5.8%. That occurred late in the year. I did 6.5x my draw-down figure. I am happy with any return that is 5x my DD %.
Volatility trading
- Thread starter poopie
- Start date
% annual return? I did 38% on book last year (for my current gig). My peak to trough draw-down was 5.8%. That occurred late in the year. I did 6.5x my draw-down figure. I am happy with any return that is 5x my DD %.
I also enjoy reading your analysis and trades. I don't do any trading my self, nor do I understand a lot of the terminology. But, I enjoy looking at pictures of spreadsheets and reading your thoughts behind the moves you make.
I've been looking into ZFGN. Therapeutically beloranib looks promising, worth a roll of the dice for me, maybe later in the Spring after the cooldown I'll initiate with my spec funds.
I hesitate a little on "mechanism of action is unknown". A lot of these drugs, even the makers don't really understand HOW they do what they do and down the road, lawsuits after Uncle Tommy sprouts a pussy.
Wish they knew how it worked.
I hesitate a little on "mechanism of action is unknown". A lot of these drugs, even the makers don't really understand HOW they do what they do and down the road, lawsuits after Uncle Tommy sprouts a pussy.
Wish they knew how it worked.
I talk to the expert network guys all the time. Orphan status. It will be approved. MoA notwithstanding.
Poopdog, would like your thoughts:
These guys are trying to go public: Virtu Celebrates Another Year Without a Single Day of Losses - Bloomberg Business
Companies employing the high-frequency trading strategies earn about $1.3 billion annually in U.S. equities, down from more than $7 billion in 2009 ... I love Wall Street. One thing works and everybody and their mother jumps in til it doesn't work no more.
Virtu had one losing 1,485 days of trading. I understand that other leading HFT firms (and Goldman, MS, etc) have these sorts of results - which must tickle even the most-risk averse managers on Wall Street.
Q: Where the fuck does this leave an independent trader who actually enters the marketplace with actual risk?
These guys are trying to go public: Virtu Celebrates Another Year Without a Single Day of Losses - Bloomberg Business
Companies employing the high-frequency trading strategies earn about $1.3 billion annually in U.S. equities, down from more than $7 billion in 2009 ... I love Wall Street. One thing works and everybody and their mother jumps in til it doesn't work no more.
Virtu had one losing 1,485 days of trading. I understand that other leading HFT firms (and Goldman, MS, etc) have these sorts of results - which must tickle even the most-risk averse managers on Wall Street.
Q: Where the fuck does this leave an independent trader who actually enters the marketplace with actual risk?
FRO, will do.
HFT has a huge hit-rate, but a poor R/R. They earn like $0.03/share on average, but lose $0.10 when they're wrong. They had a road-show and then Knight blew-up. Virtu is the real-deal and I expect they will put a stupid multiple on them.
I trade a lot of listed (exchange) delta1 and don't have a problem with filling orders. Sure, you get pennied and it can be maddening. My firm did some internal study and figured it cause the equity side (distinct from FICC) some 400MM in fill quality.
It all started with Susquehanna back in the 90s. Any block interest would signal an algo to step in front of your order. It was rudimentary, but cost everyone a lot because of 1/8s. I was in index arb at the time and it was a big hit to trade baskets.
In futures you are essentially filling at mkt... and any fill to buy at the bid is only going to be filled if the mkt moves against you anyway. SO, any strat that works trading at mkt will work in futures. I would think that it may be an issue to trade intraday in SN (single-name) like GOOG, AAPL, but there is no stat-vol intraday. The haircut (4:1) intraday still won't earn you a living.
So... I think the impact is limited for the guy at home trading retail. There are structural issues (haircut and vola) which are a larger impediment. The good news is that mkts are generally tight in SN and options are listed weekly. I had a consulting client that left CSCO with a shit ton of stock and makes more trading equity vola from home. He has a colo server and all the bells and whistles as it gives him confidence to pull the trigger, but all that is needed is reasonably low-latency to your clearer (under 100ms), excel and a decent front end.
HFT has a huge hit-rate, but a poor R/R. They earn like $0.03/share on average, but lose $0.10 when they're wrong. They had a road-show and then Knight blew-up. Virtu is the real-deal and I expect they will put a stupid multiple on them.
I trade a lot of listed (exchange) delta1 and don't have a problem with filling orders. Sure, you get pennied and it can be maddening. My firm did some internal study and figured it cause the equity side (distinct from FICC) some 400MM in fill quality.
It all started with Susquehanna back in the 90s. Any block interest would signal an algo to step in front of your order. It was rudimentary, but cost everyone a lot because of 1/8s. I was in index arb at the time and it was a big hit to trade baskets.
In futures you are essentially filling at mkt... and any fill to buy at the bid is only going to be filled if the mkt moves against you anyway. SO, any strat that works trading at mkt will work in futures. I would think that it may be an issue to trade intraday in SN (single-name) like GOOG, AAPL, but there is no stat-vol intraday. The haircut (4:1) intraday still won't earn you a living.
So... I think the impact is limited for the guy at home trading retail. There are structural issues (haircut and vola) which are a larger impediment. The good news is that mkts are generally tight in SN and options are listed weekly. I had a consulting client that left CSCO with a shit ton of stock and makes more trading equity vola from home. He has a colo server and all the bells and whistles as it gives him confidence to pull the trigger, but all that is needed is reasonably low-latency to your clearer (under 100ms), excel and a decent front end.
... not to state that futures mkts don't have their problems, but ES is deep and fills instantly at 1/4 point. CL is a penny wide. Messaging fines from CME have gone a long way in killing the spoofers. Another advantage is the tax-treatment and SPAN haircut. IIRC, ES overnight is $6K per lot for retail.
The best mkt for retail (vol) is double no touch options from an EU dealer. Not replicable in any other product and simply no better method to short vola.
Stay away from digitals as they are simply synthetic vertical spreads.
The best mkt for retail (vol) is double no touch options from an EU dealer. Not replicable in any other product and simply no better method to short vola.
Stay away from digitals as they are simply synthetic vertical spreads.
Poopie, I've been following your thread since you started. Your analysis is very impressive!
You mentioned you are a PM for a fund with $6B AUM. Do you mind if I ask how much of that $$ you manage?
You mentioned you are a PM for a fund with $6B AUM. Do you mind if I ask how much of that $$ you manage?
Mid eight figures, but I have strict notional and risk-limits (6K index gammas, etc) on vanilla volatility and exotic options are another story. Basically I have a global limit on gamma-sensitivity, regardless of underlying.
Thanks for answering that was a question I was wondering as well. Out of $6 billion I would have guessed higher.
Does that mean the fund has over 100 PMs all managing similar amounts as you? Sorry if this is a stupid question. I have no idea how hedge funds like this would be structured but am very curious.
There are 30 or so. Most are remote. They have a large FoF operation as well. The principals manage the bulk of the AUM in a macro-fund.
Well, I don't think you're petty enough to stroke your own ego, as you're stronger than that. And I highly doubt you're dropping trading tips for the betterment of your fellow human, so what's up?