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Quantitativo's avatar

Great article! Reminds of Rob Carver’s Advanced Futures book. In practice, adjusting the leverage/volatility with that precision would require a lot of contracts… tens of millions of dollars. He makes this point in his book

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financnik's avatar

Great article! Whould you mind to share any more info on the strategy [Carry] Curve Carry: Calendar spreads on commodities?

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