Hi everyone,
My name is Kevin. I am a first-year PhD student in Industrial Engineering interested in quantitative finance/options trading and algo-trading. Looking forward to collaborating and exchanging ideas with you.
-Kevin
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Hi Kevin. Welcome aboard!
Are you already involved in the industry or at the academic stage so far?
I am also curious about options strategies.
I find them so highly multidimensional that there should always be opportunity for mispricing.
Hey! Welcome
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i used to be a fixed income analyst before starting my PhD (I guess fixed income analysis isn’t really related to trading). I have been reading volatility trading by Sinclair. It helps me find mispriced options.
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This one?
Do you think the sort of techniques are applicable to small investor, or just insto/HF?
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Yes, that one. Even though the techniques used in that book are more geared towards professional traders, small investors/traders can definitely benefit from it as well. I learned quantitative trading from that book (volatility forecasting, volatility surfaces, hedging, identify mispricing by looking at any existing spread between the implied volatility and the realized volatility…)
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Best way to learn this stuff is by doing, especially with your own money on the table!
What sort of capital do you think it makes sense to start to have a dabble with?
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To be honest I have no idea. I have a small account and I am running an alternate version of those strategies (I forecast volatility using GARCH(1,1) and make trades based on that plus some sentiment analysis). The book teaches you how to approach trading from a quant angle. You trade actively?
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Love some GARCH 1,1. The only garch you will ever need.
I am more of an investor than a trader. With my own money, buy the ETF, every month, no market timing.
I might want to dable a bit with this stuff, with a bit of play money. I find you learn so much more when there is money on the line.
I might take a look at that book soon then, but I recently bought this:
https://www.amazon.com.au/gp/product/3030410676/ref=ppx_yo_dt_b_asin_title_o00_s00?ie=UTF8&psc=1
which was recommended by another member on this forum.
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I do have some long term positions as well. I believe that quantitative trading (ala Simons) can definitely generate some extra alpha in your portfolio, especially using options. There are plenty of mispriced options out there that can be captured with appropriate strategies. I’ve allocated a small portion of my portfolio to options trading.
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Would you say you need 1k, 10k or 100k to make sure trading costs don’t eat everything up?
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I have been busy lately but I think 50k or more would be suitable. in his book, he traded something like 30k.
I don’t trade that much so I adjust the strategy accordingly.
Hey Kevin,
How have your strategies been doing lately, would love to know how they performed over the past year.
Cheers,
Tino