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As always, thanks a bunch.
I've been playing around with ETFreplay.com, in a totally random and unscientific way. However, assuming that the average J trade is something in the order of 5 days, it seems that the overwhelming majority of times going short the opposite ETF from the one in the signal produces superior results. For example, on a long call, short TZA is better than long TNA. And on a short call, short TNA is better than long TZA. I'd love to hear a discussion of this idea.
Al, I believe J did have a discussion about this in the past, but can't point you to what day nor month. I wonder if there is a way to search this blog?
Really?? The word "arbitrage" suddenly popped into my head.
There's no way to search the blog that I know of. I'd love to hear J's thoughts on the matter. The basic idea is to take time decay into account. I had assumed that decay would only work in longer time frames, but hardly any 5 day period that I tested didn't favor shorting over going long.
Loaded up with some TZA shorts in premkt... can't believe I got those.
Maybe the JTS will flip long on this drop today