By Stephen Satchell (eds.)

This booklet is a set of papers celebrating two decades of the magazine of Derivatives and Hedge cash (JDHF).

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86), further supporting the ‘mirror image’ observation of the protective call risk management. 03), which further shows the importance of options activity in crude oil markets for Other Reportable traders. 17E+11 238 238 238 ORNLO – Other Reportable net long options, ORNLF – Other Reportable net long futures, ORNLC – Other Reportable net long combined. 000 000 ORNLO – Other Reportable net long options, ORNLF – Other Reportable net long futures, ORNLC – Other Reportable net long combined. 12). 9 and observe the following: 1.

A trader’s position is defined as the open interest held by that trader. For the futures-and-options-combined report, option open interest and traders’ option positions are computed on a futures-equivalent basis using delta factors supplied by the exchanges. The term ‘delta’ is defined as the rate of change of the option price with respect to the price of the underlying asset. Long call and short put open interest are converted to long futuresequivalent open interest. Likewise, short-call and long-put open interest are converted to short futures-equivalent open interest.

2 How many CTAs make a diversified portfolio? 3 10 50 Panel A AUM 10 50 100 500 2 4 8 22 4 10 12 >40 14 36 >40 >40 Panel B AUM 10 50 100 500 2 2 2 4 4 8 10 12 18 24 22 >40 We display the optimal number of CTAs for investors with varying risk aversion and assets under management. Frictional costs of diversification are assumed to follow either (12) with 10 000 USD per additional fund (Panel A) or (13) with a rebate q of 50bps and maximum account size for rebates of 250 million (Panel B). 14 Bernd Scherer Cross sectional volatility (dispersion) Panel A provides several interesting features.

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