beathespread

Sharing insights and experience from trading and indicator/systems development with the goal of benefitting both.

This is an equity market example, but illustrates the point. Many market makers/options traders think about vol and implied probabilities in terms of a one standard deviation move in the underlying, so they have a basis of comparison. Unfortunately...

Having an issue uploading the document. Think it's Adobe security related to unrelated research we subscribe to. Anyway, here's the link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2150876

I just joined last night so I'll kick it off. Absolute pleasure to have come across beathespread and some of John's other work. I'm an analyst/trader at a macro HF, trading mostly fx forwards, opts, and equity derivatives. We approach markets from a...