The impact of our first really poor day for a month or so has been that the last piece of the risk management protocol that I have been working on for the last month or two has dropped into place. A hint came from some of my reading of Cottle's Option Trading, but the main leap was from re-thinking some of the old mathematics of limit exits against MFE targets. I also needed Friday's fall to provide some data for showing how the risk management systems would have performed in practice.
So far Jerome has not been around today, but I really need an hour or so with him to discuss it further and to check that my description makes sense. Five new colums have been added to the daily spreadsheet and various estimates have to be made from the pricing models. Also it will be quite hard to actually execute the risk management model in real time, except that it won't be needed much in normal trading. But when it is needed, it will be quite intense to use.
Maybe these difficulties will fall away a bit once I get the system programmed better.
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