Jeff 11:28 am on Wednesday, December 16, 2015

Dud

How boring was that? Scalping $SXVY and $UVXY back and forth… buy 1,000 shares at a time, looking for .10 and .20 moves, sell, then switch to the other.

Ramie 11:41 am on Wednesday, December 16, 2015

Another data point for the argument that implied volatility is almost always greater than actual volatility.
- fuzzballl 3:35 pm on Wednesday, December 16, 2015
  
  I attended one of Tom Sosnoff’s presentations down at Florida Atlantic University a few weeks ago. That was the exact subject of his talk. Some interesting stuff for sure!
  - Ramie 3:52 pm on Wednesday, December 16, 2015
    
    They have certainly done a ton of research on the subject. There are so many Market Measures segments that deal with that which of course would explain why they are primarily premium sellers. I believe that’s where they see their edge. That is, if selling a 1 standard deviation option implies an 84% chance of expiring out of the money just based on implied volatility, then you should be able to better than that over time (if you’re consistent) since realized volatility will be lower. Interesting topic for sure. Next time he comes to LA I’m gonna catch him in person.