| T.R | Title | User | Personal
Name | Date | Lines |
|---|
| 342.1 | More insight on the rise and fall please. | POKIE::ALCORN | Colorado Springs Sales Support | Mon Jan 04 1993 10:50 | 8 |
| Which two years was it effective in? Did he scan a large database
of securities to find the most likely to be successful or did he
limit his predicting to a small number of securities.
What does he think caused the sudden failure of the model? Did he
get over confident and bet the farm on a single transaction or did he
have an asset allocation strategy that always kept a portion of
his gain in reserve to allow for multiple failures.
|
| 342.2 | | SUBWAY::DAVIDSON | On a clean disk you can seek forever | Mon Jan 04 1993 12:20 | 26 |
| >> Which two years was it effective in?
86+87
>> Did he scan a large database
>> of securities to find the most likely to be successful or did he
>> limit his predicting to a small number of securities.
To try and predict volatility we had a database of the historical
option prices and underlying stock prices for one options exchange.
We also had access to interest rate data and a lot of other
financial indicators.
>> What does he think caused the sudden failure of the model?
Dunno. We never really fully understood the dynamics of the model.
>> Did he get over confident and bet the farm on a single transaction or did he
>> have an asset allocation strategy that always kept a portion of
>> his gain in reserve to allow for multiple failures.
He traded under the auspices of his brokerage firm. The idea of "keeping
a portion of his gain in reserve" is meaningless in that context. He
never "bet the farm" on one transaction because he didn;t feel that
would make sense in terms of his long term goal of keeping his job ;^)
The money he made was basically noise to his brokerage firm. He got
his brokerage firm to make me an offer but I liked C programming too
much. The errors of youth!
|
| 342.3 | some visualization was best for me... | HAMCL3::GESCHWINDNER | Erbarme', die Hesse' komme'... | Fri Jan 08 1993 08:00 | 26 |
| To make money with options you still need to know which way and how fast
the underlying security will move. Option strategies are then simply to
minimize risk and optimize output it it goes the way you think. It's still
the prediction of the undelying stock etc.
What helped me most to judge if an option strategy (straddle strangle or
the expensive things like butterfly) is appropiate or not, was to visualize
what's the value of the strategy if the stock moves in either direction
(option price versus stock price) or option value against time fading.
I wrote a little application based on Black-Scholes in which you define
the short/long calls/puts and expiration dates and then it'll show you
a graph how the optionprice will move. Commissions are not included, because
this varies too much from country to country. In GY it's anyway dammend
expensive to trade options, but still worth.
For those who like to try this, I put a saveset in HAM::CHARTS.SAV
which containd a charts.exe plus some history files and a CHARTS.DOC as a
(super)brief documentation. Put all this into a separate directory and define
a logical name 'SHARES:' pointing to this directory.
Then simply '$ r shares:charts' There are a few bug and boobos here and there,
but you know how this is with midnite hacks. By the way, you need an REGIS
terminal like vt24x, vt3xx etc....
Have fun....
Patrik
|
| 342.4 | | THIRD::HERR | These ARE the good ole days | Sun Feb 07 1993 22:45 | 9 |
| > To make money with options you still need to know which way and how fast
> the underlying security will move. Option strategies are then simply to
> minimize risk and optimize output it it goes the way you think. It's still
> the prediction of the undelying stock etc.
Actually, some people make a living at options and don't care a wit
about the underlying stock direction.
|
| 342.5 | If it would be that easy | HAM::GESCHWINDNER | Erbarme', die Hesse' komme'... | Mon Feb 08 1993 07:34 | 16 |
|
>Actually, some people make a living at options and don't care a wit
>about the underlying stock direction.
This true as long you can distinguish between a highly volatile
market in whish you use strangles or staddles (long in both directions)
or a flat market in which you use timespreads for both sides
to wait until the first (short) one expires and then maybe use the
second (long) one to make some profit after the stock moved a bit.....
there are thousants of possible combinations......
If I could make living that easy, every one else could do......
and I would not sit here anylonger....
Patrik
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