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Xavier & Mark Higgins - PR Complexity Weighting

Posted By: Mr Majestyk
Date: Saturday, 16 June 2012, at 9:55 p.m.

In Response To: Xavier & Mark Higgins - PR Complexity Weighting (Bob Koca)

Revised Q: Should PR be weighted on the basis of complexity?

Generally, market losers significantly decrease the opp's opportunity to inject volatility back into the position thus resulting in critical volatility.

"If Critical Complex Volatility has an Equity of 0.750..."

What does that mean?

IMO, there is a correlation between complexity and volatility. When the position is no longer complex the position will often be critical indicating very little volatility in the position.

Complex vol may well be in the 0 - 0.75 range and critical vol between 0.75 - 1.

Market losers, IMO may be right on this edge between critical & complex volatility.

I have no compact definition as yet.

NBM

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