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Title: yes, but the risk
Review: The research work is better than most available and the writing very good (See his other book as well). However if somebody can answer the following: Isn't there a risk of blowing up the strategy with a string of limit days? They may be rare, but their effects are extreme (see Nassim Taleb's site and/or book). At one point limit days are mentioned; they are handled by using the price at the limit. This assumes that one can trade futures at the limit price, which is not a guaranteed thing. Otherwise, the new and refreshing look at option pricing is excellent. Clearly accuracy is more important than precision in markets with bid/ask spreads and Mr. Gallacher is able to cut to the core of the issue. Lots to consider, but that one problem remains.
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