December 9, 2006- The week in review
The past week has been relatively quiet. COF has been range-bound, trading between 75.75 and 78.74. At Friday’s close it was about 1% down from its level when the current strategy was initiated. Its intraday volatility was largely as expected. I would have benefited from setting wider intervals for delta hedging (at the expense of a larger tracking error if any big move did take place).
No new ideas have come up, as the market scanner’s analysis of volatility measures continues rejecting all supported strategies. I would like to spend some time working on new model development; this is the best way to generate ideas.
In other markets, I have noticed a significant decline of EUR and JPY against the dollar on Friday.