This is a summary of links featured on Quantocracy on Tuesday, 05/09/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Vix Below Low Redux [Voodoo Markets]Well, Its here, spot Vix close below 10. From what i read from the web, people are piling into short vol strategies on an escalating scale. I suspect unwinding of that trade will be rather brutal. I wish good luck to every short vol trader out there and dont forget to wear a helmet 🙂 1 2 3 4 5 6 7 8 9 10 11 12 13 14 import pandas as pd import numpy as np import matplotlib.pyplot as plt import
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Iron Condor Results Summary [DTR Trading]Over the last several months I have shared the results from an extensive set of backtests of SPX iron condors (IC). In all, I backtested 600,912 individual SPX IC trades entered at varying days to expiration (DTE) between January 2007 and September 2016. The prior articles can be found at the links below: New Iron Condor Series Introduction 38 DTE SPX Iron Condor Results Summary 38 DTE SPX Iron