If I had to say, that I have two areas of expertise when it comes to trading, it would be asset correlations and volatility. They go hand in hand.
I had a discussion on the topic of correlation, with one of my best friends only an hour or so ago. I need to show him this chart. It’s the july oil contract, against the canadian dollar, both priced in USD.
Loonie Oil: I've drawn vertical lines, to show the lack of phase shift.
Correlation is instant.
It’s been a good month to be long the oil contango…
$0.50 to $4 in a month.
I’ve observed the curve’s fluctuations over the last years, I just never looked at an actual plot of two spreads. I didn’t know the ride would have had that good of a sharpe ratio.
…I’m finally going to be able to get my newsletter started. My newsletter is going to be mostly math based analytics, so I needed an easy way to publish content to PDF, directly from code. They, WebSupergoo, has developped a solution, ABCpdf 7, that filled my gap. They have created a really powerful dynamic linked library for adding PDF creation functionality into .NET applications. I was really impressed, by the simplicity, and the functionality. In a few weeks, or maybe a month or two, I hope to unveil an alpha issue.
The analytics I’m planning on including in the newsletter include implied volatlity details for all four majour asset classes plotted against futures curves for both at the money options and out of the money. I’m also going to include correlation details, realized volatility, money flow analytics, and plots of the different asset classes denominated in anything relevant except USD. Adding to that, i’m going to include my 30 day outlook for each asset class on a two-dimension, 7 point scale.
It’s going to be great, and I couldn’t do any of it, without WebSupergoo’s PDF tools.