While the FactorWave blog will continue, the actual FactorWave service has gone private. FactorWave was a case of "great steak but poor sizzle" . We were aware of this and spent a lot of time figuring out ways to add sizzle without compromising the advice (so we weren't going to add a lot of trades based on stupid analysis for example). One of the ideas we were playing with was to add a Chatbot to the site. But we soon realized that Chatbots were far more universal than that and if we wrote one for our site it could just as easily sit on a lot of other sites.
This is the second and concluding part of our interview with Artur Sepp.
Artur Sepp is a rare example of a quant who combines excellent technical skill with a practical understanding of markets. If you can't learn from his presentations the fault is more likely to be yours rather than his. He recently agreed to do an interview for us. Here is the first part.
Engelberg, McClean and Pontiff recently posted their paper, "Anomalies and News" to ssrn.
A member of our slack channel recently asked if there was an equivalent of "sell in May" for volatility trading. Does the volatility premium, the difference between implied volatility and the subsequent realized volatility, differ during summer and winter months?
I'm currently working on three things: a VIX option trading strategy, a piece about how factors relate to earnings announcements and a Kelly criterion type thing for options. But none is particularly close to being done. So I thought i would post a few links to articles that I found interesting. I'm not (just) doing this to put up a blog post. I think both of these are good reads.
That headline isn't entirely clickbait. This is actually about earnings surprises, the cases where a company either significantly beats, or significantly misses, what analysts expected.
As our registered users are aware, over the last month we have been (rather successfully) trading options based on the premise that implied volatility collapses after a company announces earnings. One of the things that make options great is that there are many ways to express an opinion. But this is also one of the things that make options tricky. Just because there are many ways to express an opinion doesn't mean they will all be equally good. Some will be a lot worse than others,