About two weeks ago, I stumbled onto something that I frankly thought didn’t exist. It appears that I’ve found a pricing equation type inefficiency in a major derivative market. It’s not quite a pure arbitrage, but it’s not far off. The profits to be made appear to be in the 7-8 figure range, and the capital and execution capability required to make them is surprisingly low.
I would very much like to write about the topic as it would certainly be the most interesting material to appear on this blog to date. But the fact of the matter is that the opportunity is big enough to enrich a few people, but not a few hundred people. Having dedicated more than a decade of my life to the pursuit of trading profits, I have to see this through to a conclusion. And I’m going to have to do it without the readers of this blog being in the loop.
So unfortunately you’re going to see a lot fewer posts out of me. I’ll update the speculative alternatives portfolio occasionally. If the bug strikes me to write something else, I will. And when this is all over one way or the other I’ll have a cool story to tell (tentative title if I make millions: “Wall Street Can’t Add”). But in the mean time I’m going to be scarce. Wish me luck…
Good luck!
Write down your experience regardless, even if you don’t publish yet? At some point the strategy will leak or become inefficient, and if you have documentation of what you were doing/thinking at the time it’ll be quite the read… in blog or book form, heh.
Good luck!
I really enjoy your posts. It would be nice to see how it turns out.
As a 19 yo student I would be willing to take part in this, feel free to email me 😉
Good luck!!
GL
Sometime anomalies like these exist due to the peso problem – for example vol “arb”, uncovered interest “arb”, on the run vs off the run arb, dual listings – they work most of the time then suddenly blow up. However, your strategy sounds more like a classic textbook arbitrage than these, but it is something to think about.
Btw, I just ran across your blog and it has some very good content and is refreshing to read, but I couldn’t help laugh to myself when I read this post right almost right after your “Get Over It – They Already “Stole” Your Trading Strategy” post (but I would do the same thing if I were in your shoes).