Yeh I think I will have to carve out a piece of the portfolio just to look into pharma catalyst event based option trading, can’t just do that with quarterly rebalancing, I’ll write up an article hopefully in the next quarter once I have some good quantitative data about this trade profile
How are you doing your Kelly fraction calculation Will? Are you using the discrete form or the continuous form i.e. Sharpe ratio / volatility = f*?
Yeh I think I will have to carve out a piece of the portfolio just to look into pharma catalyst event based option trading, can’t just do that with quarterly rebalancing, I’ll write up an article hopefully in the next quarter once I have some good quantitative data about this trade profile