Despite the SPX dropping 6 points today, the SPX IC lost 1% and is down 2% total. The move down does help the position but at this point the p/l numbers do jump all over the place. The light blue area in the risk graph represents a 1.5 SD move tomorrow, i.e. 86.6% chance of staying in the light blue shaded area tomorrow.
Wednesday, February 3, 2010
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