Serving the Quantitative Finance Community

Search found 15 matches

by gdepetris
May 5th, 2005, 7:36 pm
Forum: Off Topic
Topic: privatisation of social security--futures contracts
Replies: 4
Views: 150018

privatisation of social security--futures contracts

<t>interested as always in the collective wisdom of the forum. is there a useful econ derivative contract that contemplates the future privatisation of social security? people have suggested a simple yes/no with yearly expirations, i.e. will s.s. in some way be privatised, but is there something mor...
by gdepetris
April 14th, 2005, 1:07 pm
Forum: General Forum
Topic: Hard to borrow stocks- does option pricing need adjustment for them?
Replies: 17
Views: 167368

Hard to borrow stocks- does option pricing need adjustment for them?

<t>this isn't a technical comment on your assumptions, but a practical one--you assume a different interest rate on your debit/credit spread because you're long a hard to borrow...you are not likely receive interest as the holder of HTB stock paying negative rebates unless you're a unique client at ...
by gdepetris
January 12th, 2005, 6:00 pm
Forum: Off Topic
Topic: Regulation SHO Spotlight Suddenly Turns Bright Lights On Illegal Naked Short Selling
Replies: 6
Views: 164358

Regulation SHO Spotlight Suddenly Turns Bright Lights On Illegal Naked Short Selling

re: SSF liquidity, DELL F5 is 40.59/64 with spot at 40.60, 50x100 (5000 sharesx10,000 shares)...pretty typical of most contracts...EBAY F5 is 10 wide, 10 up. the EFP mkt is obviously as deep as you want, and there is block liquidity out there but you have to ask
by gdepetris
September 30th, 2004, 2:56 pm
Forum: Off Topic
Topic: Tradesports
Replies: 15
Views: 175112

Tradesports

<t>FYI, Tradesports and Intrade share a liquidity pool, so keep that in mind. Intrade simply carries the contracts that would in theory fall under CFMA 2000 (extrapolate and the future reasoning should be obvious.) farmer makes a good point re: liquidity, but in any case, deeper institutional market...
by gdepetris
June 28th, 2004, 11:33 am
Forum: Off Topic
Topic: HedgeStreet
Replies: 3
Views: 187545

HedgeStreet

i am very familiar with them, but an appropriate description is not suitable to a public forum. pm if your are interested in detailed feedback.
by gdepetris
April 7th, 2004, 5:45 pm
Forum: Technical Forum
Topic: single stock futures
Replies: 5
Views: 190625

single stock futures

<t>i've been trading these products for a while now, and assure you that the only two relevant factors are the long/short rates and dividends. i've seen a bunch of people attempt to pick off bad dividend views, whereas the transaction costs associated with the futures eat up any real distinguishable...
by gdepetris
April 7th, 2004, 4:22 pm
Forum: General Forum
Topic: Hypothetical Hedge Fund Credit Issues
Replies: 0
Views: 189294

Hypothetical Hedge Fund Credit Issues

by gdepetris
April 6th, 2004, 5:22 pm
Forum: General Forum
Topic: Trading Steel
Replies: 19
Views: 192076

Trading Steel

<t>drunken stupor or not, i received a call last night from a friend in the commercial plumbing business stateside...he's bidding on a 1 year job, and wanted my futures expertise re: how to hedge his materials pricing risk so as not to build too high a variance into his quote...he basically said tha...
by gdepetris
November 7th, 2003, 2:20 pm
Forum: General Forum
Topic: Pricing of futures and options of the "CO2 Emissions Trading Schemes"
Replies: 3
Views: 189737

Pricing of futures and options of the "CO2 Emissions Trading Schemes"

I know the Chicago Climate Exchange is supposed to launch soon, but can't say I'm familiar with the pricing models for emissions. I'd give the CCX a call, as I'm sure they can help.
by gdepetris
September 22nd, 2003, 4:52 pm
Forum: General Forum
Topic: EFP trading, what, who, what for ?
Replies: 6
Views: 190440

EFP trading, what, who, what for ?

<t>depends what you're after. EFPs are also being done for a variety of equity financing purposes using USFs and SSFs. in contrast to many other markets (including, as FDAX mentioned, FX), these are non-transitory EFPs, meaning the cash leg of the deal can't be scribbled on note paper and stuffed in...
by gdepetris
September 11th, 2003, 5:52 pm
Forum: General Forum
Topic: Cotton Contract No. 1
Replies: 3
Views: 189747

Cotton Contract No. 1

ask joe o'neill or jack sabo--both still there i believe in one form or another
by gdepetris
August 29th, 2003, 6:42 pm
Forum: General Forum
Topic: Economic derivatives
Replies: 15
Views: 192094

Economic derivatives

<t>a relatively unsophisticated version of econ derivatives trades for the retail side on tradesports. their version indexes economic events on a 0-100 scale, with the future settlement values indicative of whether the given contract event has occurred or has not occurred--a model obviously construc...
by gdepetris
August 15th, 2003, 6:56 pm
Forum: Off Topic
Topic: Blackouts hit NYC, Detroit, Ottawa, Cleveland, Toronto....
Replies: 41
Views: 192231

Blackouts hit NYC, Detroit, Ottawa, Cleveland, Toronto....

<t>for conspiracy theorists...TGN, small canadian firm with interests in grid architecture/distributed power generation, trades on LSE, ADV 400k shares, trades 4mm and 8mm shares over last two days, up 48% yesterday and today ahead of marginal news. CHLD-LN is another funny mover. usual post-facto b...
by gdepetris
July 30th, 2003, 12:36 pm
Forum: General Forum
Topic: Terror Futures
Replies: 38
Views: 194993

Terror Futures

<t>to make no mention of the fact that the spectrum of contracts offered reflect the political bent of the exchange operator (a future on the assassination of arafat, sure, but of sharon or bush, i think not...). opinion futures with some identifiable underlying economic value (there was some report...
by gdepetris
June 13th, 2003, 4:15 pm
Forum: Trading Forum
Topic: Locals/Insiders and limit orders.
Replies: 5
Views: 191389

Locals/Insiders and limit orders.

<t>Speaking as a former pit broker, the effect of locals running stops varies by product, pit and local population. In most all pits, stops are effectively a form of currency used by paper brokers to mitigate execution risk--e.g. favors doled out to locals who help them out of errors, willingly repr...