This is a summary of links featured on Quantocracy on Monday, 05/01/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Using a Market Timing Rule to Size an Option Position [Relative Value Arbitrage]Position sizing and portfolio allocation have not received much attention in the options trading community. In this post we are going to apply a simple position sizing rule and see how it performs within the context of volatility trading. An option position can be sized by using, for example, a Markov Model where the size of the position can be a function of the regime transition probability [1].