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by sml31
October 25th, 2006, 5:33 pm
Forum: General Forum
Topic: Call Spread Arb
Replies: 3
Views: 89915

Call Spread Arb

The market is coffee on NYBOT and the trade is definitely as I described it.Yes I like the trade (against the locals) but my question is whether there is a definitive way to lock in the edge at some point up until the Jan expiry as opposed to managing the risk.
by sml31
October 24th, 2006, 8:15 pm
Forum: General Forum
Topic: Call Spread Arb
Replies: 3
Views: 89915

Call Spread Arb

I was looking at a commodity call spread today. The locals paid nothing to buy the 110/115 call spread for F07 expiry which trades on the H07 future against selling the same call spread for H07 expiry which is also priced off the H07 future. Isn't there an arb here?
by sml31
September 14th, 2005, 4:12 pm
Forum: General Forum
Topic: Call knocking out at price-fixation
Replies: 0
Views: 135882

Call knocking out at price-fixation

<t>Hi,Assuming you have a price fixation contract on a commodity, the customer wants to take a call on the outright price that disaapears if he chooses to fix the commodity contract price and not use the optionality. A bit like a down and out barrier but with no fixed exit. Can this be priced? Shoul...
by sml31
August 11th, 2005, 3:43 pm
Forum: Technical Forum
Topic: Trying to fit an ARIMA
Replies: 1
Views: 139209

Trying to fit an ARIMA

Hi,I've got a data series I am trying to model. I've taken logs and differenced it once - the transformation looks stationary. The ACF now decays fairly quickly but the PACF still only decays after about 10 lags. Is the latter bad for fitting the model at this stage?
by sml31
March 22nd, 2005, 1:57 pm
Forum: Programming and Software Forum
Topic: .
Replies: 0
Views: 155332

.

by sml31
July 4th, 2004, 6:53 pm
Forum: General Forum
Topic: Introductory Macroeconomics
Replies: 15
Views: 191434

Introductory Macroeconomics

If you mean Yardeni - do a search from the prudential homepage.
by sml31
June 22nd, 2004, 11:32 am
Forum: General Forum
Topic: Emotionomics and the traders Edge!
Replies: 28
Views: 190545

Emotionomics and the traders Edge!

<t>QuoteOriginally posted by: Collectoryeah basically we have two topics here:1. Traders edge emotionomics, how to affect your own emotions into a rational energized state of mind....---------------------------------------------------------------------------------------------------------------------...
by sml31
June 14th, 2004, 8:03 am
Forum: General Forum
Topic: Introductory Macroeconomics
Replies: 15
Views: 191434

Introductory Macroeconomics

Thanks for all your suggestions
by sml31
June 3rd, 2004, 8:58 am
Forum: General Forum
Topic: Introductory Macroeconomics
Replies: 15
Views: 191434

Introductory Macroeconomics

Is anyone aware of a good introductory macroeconomics course for people in work?
by sml31
March 5th, 2004, 11:53 am
Forum: Careers Forum
Topic: Vote for your favourite or most hated headhunter
Replies: 125
Views: 207036

Vote for your favourite or most hated headhunter

Anyone have any experience with NJFSearch?
by sml31
February 25th, 2004, 11:31 am
Forum: Careers Forum
Topic: CSFB Interviews
Replies: 59
Views: 197804

CSFB Interviews

When you say joke do you mean in their recruiting methods or their whole business?
by sml31
February 24th, 2004, 2:49 pm
Forum: Careers Forum
Topic: CSFB Interviews
Replies: 59
Views: 197804

CSFB Interviews

Maybe cos they've not been recruiting for a while but want to keep there hand in?
by sml31
January 14th, 2004, 12:02 pm
Forum: General Forum
Topic: Options on Specific Commodity Grades
Replies: 0
Views: 189455

Options on Specific Commodity Grades

<t>I'm trying to develop an option on a forward for a specific grade of a commodity that trades at a differential to the futures price. The grade is deliverable against the futures but not exclusively. Ordinarily, the futures are used to hedge forward contracts for specific grades in order to remove...
by sml31
December 9th, 2003, 2:53 pm
Forum: Brainteaser Forum
Topic: Nice little thinking game....
Replies: 16
Views: 192935

Nice little thinking game....

Anyone done level 17? Give us a clue!
by sml31
December 2nd, 2003, 3:10 pm
Forum: General Forum
Topic: Physical Commodity Options
Replies: 8
Views: 189958

Physical Commodity Options

Thanks for the info