I’ve never put too much weight on where to cover my naked option positions…I’m going to try, holding out, to cover, when delta measured in %/% equals theta measure in %/day, on an absolute basis.
That is all.
Archive for April, 2009
Pissed Farmers
Friday, April 24th, 2009While 1500 farmers are offing themselves…California farmers are protesting.
I’d love to sit down with one of these California farmers, and say something like “What exactly do you expect Arnold to do, about the environment you chose to farm in? What exactly do you expect Arnold to do, about too many people living in an area that can’t sustain anymore growth? What exactly do you expect Arnold to do with a collapsed budget, peaky state, and energy costs rising? Is it maybe time, to move your farm, to where there is water rather than move the water to you? Yah, I realize, the mouths will have to follow the farm, sooner or later they’ll get the idea. Promise, energy prices will see to it.”
Equals
Friday, April 24th, 200910 x 10 – 9 x 9 + 8 x 8 – 7 x 7 + 6 x 6 – 5 x 5 + 4 x 4 - 3 x 3 + 2 x 2 - 1 x 1
=
10 + 9 + 8 + 7 + 6 + 5 + 4 + 3 + 2 + 1
=
the number of unique variances + unique covariances 10 stocks will have
and similarly…
8 x 8 – 7 x 7 + 6 x 6 – 5 x 5 + 4 x 4 - 3 x 3 + 2 x 2 - 1 x 1
=
8 + 7 + 6 + 5 + 4 + 3 + 2 + 1
=
the number of unique variances + unique covariances 8 stocks will have
but…
-1 x -1 + 2 x 2 – 3 x 3 + 4 x 4 – 5 x 5
Doesn’t equal
1 + 2 + 3 + 4 + 5
Goofy huh.
I’ll leave you with this…
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XXXOOOOOOO
XXOOOOOOOO
XOOOOOOOOO
1st Seven Days?
Tuesday, April 21st, 2009…and 183 to go, how is my short TNA short TZA pair trade going?
Rather well, thanks for asking. Even if we get half the decay we’ve seen in the last 7 days, every seven days, the pair will erode to 41% of their value from today. (((-6.7% / 2) + 1) ^ (183 / 7)) = 0.41…or a -59% win, on the unleveraged short. Good thing, I’m leveraged. 
click to expand.
My Sony…wins…with a capital BOOYAH
Tuesday, April 21st, 2009So, beginning of this year, I gave my Sony, exactly $10K USD to manage for me. I was scared at first, to put a computer in charge of some of my money…you know, “What if it messed up?”, right? Below are the YTD results. Not great, absolutely, but on a relative basis…it’s been on fire. It danced magically, with the VIX and probability models, to shift the skew of the monthly returns on the S&P a little to the right, and bumped up the kurtosis really well.
I’m now, officially done talking about how my algorithm works online…because, I’m pretty sure by the end of the year, it will be one of the newest private money vehicles available to my friends and family. I know the overall numbers aren’t that impressive, but keep in mind, it’s only one quarter, and it survived navigated the bear, and a 6 week bull. To be leading by 7.47%…I think, is fantastic.
Week over Week…tick by tick
Thursday, April 16th, 2009Below, is just a slight bit of insight that I will command, once some more time and tape tick by.
Plotted above are the S&P analysts’ estimates from the 7th against the 14th…for the S&P, below, is just financials.
So, was the ~3% Week over Week in the S&P justified? Time will tell.
Next up, i’ll be programming my database to alert me, when we get negative correlation between analysts estimates and market direction. I think opportunity will knock if the situation arises…this will take a year, of data collection, at least…but…I have time.
I know, I’m playing with the boundaries of market causality, coincidence, and correlation again. When I get a real blog, that’s what I’m going to name it. “The 3 C’s of market participation”.
What if Oil hasn’t bottomed?
Sunday, April 12th, 2009Consider for a moment, hypothetically that the recent spike in oil brought just enough investment to solar and oil both, that combined with the supply side of oil, and solar R&D…could solar potentially be ready to breach a tipping point, towards grid parity?
Could expensive energy be behind us?
Look up the history, on how the internet got so cheap. Recall: an investment boom of people looking to catch the trend, without enough demand (at the time), sent many of the hard assets the investors put money into back to the banks. The banks sold assets off for $0.10 on the dollar, to new investors who gave away the service until economies of scale kicked in.
What if the ceiling is now $65, on the price of oil?
What will that do to the growth of civilization? Demand for commodities? Water? Technology? What if energy isn’t the bottled neck that stops our growth?
What if economies of scale make our planet more effecient, as the population doubles quicker and quicker?
What if space, physical square footage, is the finite resource we one day value the highest?
If we hit 200 people / Km squared, assuming that’s where space will start to become a problem, that will mean ~30B people. 80 years of 1.9% population growth and we’re there.
So, what will it be, energy? water? both? or space?
Update: I started playing with the world usage stats, from 1993…from Wikipedia:
| Arable land: | 13.13%[6] |
| Permanent crops: | 4.71%[6] |
| Permanent pastures: | 26% |
| Forests and woodland: | 32% |
| Urban areas: | 1.5% |
| Other: | 30% |
I don’t know how it totals to 107%, so for argument sake, lets just say Other is 26%, because the data doesn’t show a “rural” area, and lets set permanent pastures to 23%. Both of these assumptions, are likely more conservative…for my argument I’m about to make. So, we have:
| Arable land: | 13.13%[6] |
| Permanent crops: | 4.71%[6] |
| Permanent pastures: | 23% |
| Forests and woodland: | 32% |
| Urban areas: | 1.5% |
| Other: | 26% |
Redefining the 26% and 32% (58% total) as “free and ready to turn into effecient crops or efficient cities at the drop of a hat”, then 58% of the planet left to violate, and turn into crops. So, if we did that, it would take 2.4x the current population to use up all the land, using the ratios we currently use. That means 3.6% of the land will need to house 16.3B people, or living conditions of 3000 people per Km squared of urban land or ~109 people per square Km of land, footprint wise.
50 years, at 1.8% population growth, and we’re there. Huh. And, I’d say, my asumptions were very conservative. 100% of the land, isn’t livable nor farmable…sooo…shit, should I be buying farm land instead of oil? Screw dollars, gold, education…real stores of wealth will be in memories and real-estate.
Leaning Short
Friday, April 10th, 2009A comment I agree with…in reply to Tyler’s great post:
<quote>
”So GS paints the tape ahead of its capital raise, quants move to the sidelines without leverage, vanilla cash comes oops-ing out of money markets, the banks leak record earnings, and the market trends to break all VWAP dislocation records.”
Bingo!
GS called the top. Don’t forget to turn out the lights when the last retail investor leaves.
</quote>
go read zero hedge, smart guy…then check out Peter Schiff, and how he expects new lows “in nominal terms”, haha, who says that?
And, if you missed it, my pal and yours (just joking, barely know the guy) Hugh Hendry is taking profits…while Douggy Kass is thinking this is a sustainable rally, while Ratigan thinks the rally is for suckers.
Fun with Numbers: Financial Quarterlys
Tuesday, April 7th, 2009The web is a great place. In less than 24 hours, from idea to beta, I programmed this. I did it for less than obvious reasons.
Can you answer me, ‘was the recent surge in stock market prices accompanied by a surge in analysts quarterly earnings estimates?’ I can’t answer that, because I don’t know what analysts were estimating, a month ago. But, a month from now, the site I programmed will be able to pull up “historic future estimates” from any day. They change, weekly. So, I’m looking forward to seeing what comes of this.
I can quickly plot the Earnings Per Share estimates from today’s date:
and this…
And if you want more, check out this. Or you can pick your own sectors and compare, here.