(sorry, as I am at office, I ve to chat in english.
Personally I dont like very much the options trading due to the mkts liquidity problem(especially for a BIG portfolio), in addition my maths. is not terrible. But I am open to hear your ideas, dear all.
Pls find some global macro or L/S ideas within S&P500 index components, made on the Nov 22th.
It s not a sophitisticated quantitative strategy, the most important was to do trading strategies in line with an expectation of the evolution of core mkts events.
看了老半天，我还是没搞清楚在找不到implied vol的时候，大家用什么去calibrate market price。如果用historical vo或stochastic vol的话，也无法得到一个market price。对于流动性较小的equity option，根本就没办法得到他的smile，大家怎么解决这些问题的？
还有一个问题，麻烦各位在desk的，大家一般用什么pricer？是不是根据这些pricer给出的价钱再++--trade?比如bloomberg里面option valuation大家是否用过？i'm very confused about the valuation.
Glad to meet you.
Thx, I am one of friends of eric. Your last views are very fresh for me.
No, I dont work at BNP, but at an independant investment advisor. My job is to provide trading strategies with HFs and prop trading houses, normally their orders based on my strategies are 2-5M per trade (But I ve no rights to trade). I creat a US and UK portfolio for my clients, both have 20 components (within S&P500, NASDAQ 100, FTSE350) so if my clients trade all, it should be above 40M a portfolio.
Bingo, all of your guess about the chart are correct, beacause I like to merge the technical analysis and fundamental analysis together.
The graph was my strategies (plan) from Sep. to Dec. 07.
1. Sep-Otc : L commodities, utilities stocks / S T-note,
2. Oct-Nov: S bks/L T-note;
(I won on these 2 ones, the following are my plan during 11/22-12/30, but as I was on vacation, I had no time to realize and optimise them; anyway the mkts were almost what I predicted on the chart except the last wave 5 leg)
3. by the turning point @ wave 3-4, L bks on ST, S utilities and T-note in the same time;
(fortuantely, US bks' rebond lead S&P 500 to increase, while utilities and T-note corrected slightly)
4. L only commodities on wave III-5
(fortuantely, US commodities shares are progressing, but as IT and financls corrected strongly, S&P 500 index dose not continue to advance)
Apprently, you work at an HF ? How is the philo of yours, rather qutitative ?
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