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April 7, 2016

Realized Volatility Profiles: Futures

Today I will introduce an aspect of volatility that you most likely have not seen being addressed anywhere else: realized volatility profiles. First up let’s make sure you all understand what realized volatility (RV) is and how it compares to implied volatility (IV). Simply RV measures the amount and amplitude of price change observed in a financial instrument over time. Big moves to the up side and down side will both produce spikes in RV. As such the volatility we measure or predict always produces an unsigned return – it does not care whether the market goes up or down.

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February 24, 2016

Let’s Talk About SKEW

I’m as surprised as you may be seeing equities head straight lower overnight. As you know I was actually positioned both long (ES) and short (NQ) expecting a break out after obvious signs of distribution. Things are clearly very confusing right now – yes, I phrased it this way intentionally. So let me explain what I mean, starting by talking about SKEW.

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March 11, 2014

Building Your Trading System – Part 3

This is Scott, filling in for Mole this week, and I’d like to continue with our work on System Building and optimization.  Today we move away from the intangibles and get deep into the weeds of classifying and measuring market type and looking at how to find a prospective edge, choose an initial stop and an entry technique, and do some preliminary backtesting to work out if we have something real or are we curve fitting.

If you haven’t read my earlier posts here and here you may wish to do so.

In my experience when I hear a trader identify as ” I’m a discretionary trader” this is really subconscious code for “I want to do what I want [...]

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March 10, 2014

Building Your Trading System – Part 2

This is Scott, I’m filling in for Mole this week, and I’d like to help you start the process of building your trading systems. Over the next week or so I’ll be going through the exact process I use, most of which is adapted from the process Van Tharp and his students use which is outlined in great detail in his latest book, which I recommend. Today might seem a little wishy-washy. Don’t worry, very soon we will be down in the detail of how to come up with and generate entry techniques and optimize exits.

I see in the comment section of the previous post that people have posted some of their market beliefs. This might seem a bit silly and I know some of [...]

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