QUESTIONS - 7/18/07
Is it better to bet ALL IN at one price point?
Or to scale in with a delta hedge method?
How do I deal with the problem of not extracting MAXIMUM VALUE?
Should I take partial profits?
Or to scale in with a delta hedge method?
How do I deal with the problem of not extracting MAXIMUM VALUE?
Should I take partial profits?
posted by Johnny @ 10:20 AM
1 Comments:
At 1:37 PM,
Lloyd Sakazaki said…
Hi Johnny: I tend to put it all into a single price point, not because I have clairvoyance but simply because doing so minimizes frictional costs for trades small relative to market volume--and frictional costs, however insignificant they might seem compared to market volatility, are the sole factor that I DO have control over. In a probabilistic sense, a series of N single-price-point trades is equivalent to a single N-price-point execution, assuming market conditions in a well-defined regime, so that either way any "edge" you've got ought to shine through. --Lloyd
P.S. Still in Bellevue? Let's catch up some time.
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