<t>30 = sell the roll, 32 = buy the roll. bear in mind cds buy/sell language is backwards - you buy or sell protection. buy the roll means you are selling protection on the old contract and buying protection on the new contract. so as an example - i am using xover to hedge my high yield book (good l...

<t>direct method = ig index has/used to have some cfd based on the nationwide/halifax house price index. indirect method = short the shares in bovis, barrat, redrow, taylor wimpey etc. nb there might be an inverse etf on the ftse house sector but you are basically just shorting reckitt benckiser wit...

in london i think kings have a part time option.

<t>possibly a career ending move.... please don't do any of the below! but in the interests of the debate two and a half ideas: if you are allowed a personal phone onto the floor or can get one in and use it - a smart phone and an IG index account. you can trade the things you have listed, you don't...

sorry for duplicate reply - got distracted and took a while to submit my reply

flatenner in one ccy versus a steepner in another ccy.

PW among others interviewed.http://paul.kedrosky.com/archives/2010/ ... _alch.html

am buyside, so all i saw was a friendly broker. I have no idea if they took the risk on their book or moved it on.

<t>fair point - My point (or lack therof) about margining has nothing to do with the options. I really wasn't clear - i deleted a paragraph without properly editing my other verbatim. The point i meant to make was that a lot of people used CDS as their trading instrument of choice through the credit...

<t>a lot of prop desks and buyside firms took positions on their own firms stock outright and using options throughout the credit crunch. It would be easier to do it by exchange traded product as the margining would be punitive on anything otc. the main obstacle i see would be compliance. on a sligh...

<t>Sortino ratio is also sometimes used, also maximum drawdown and recovery period. Some measure of outright risk/volatility is often useful. Obviously there is no magic bullet... Also some measure of market bias, as most L/S funds usually have a long bias some quantification is useful - DV01 usuall...

Yoshi,I used the ctd 2 year t-bill as your risk free which yielded ~0.7% at Friday close.Average excess return 0.18%, Standard deviation of excess returns 0.30%, hence a sharpe ratio of 9.90 on a 252 working day year.BestWill

Hi Marine,Fair enough - as long as you have accounted within the PnL of the self funding trade any margin costs and opportunity costs - balance sheet size limits. Else you will need to publish the other details I mentioned. W

Yoshi,you need to publish two more details to work out a sharpe ratio - initial risk capital to work out % returns and currency to define a risk free rate. Will

work is blocking me uploading an updated file. what's your email - will forward a copy of updated spreadie. W