Recent content by Monty Carlo

Gamma scalping is really about looking for short periods (days rather than weeks) of choppy up/down moves in the underlying. This is mainly done with a) front month options (<30 days) as they have the greatest gamma and b) at-the-money options because they are generally cheaper than other...

I would like to do some backtesting on the bid and ask volumes in the 10 year futures , and it appears that esignal can only look at tick data on price and volume traded rather than a snapshot of the bid/ask volumes at any one time . Does anyone know of a commercial system that could...

so which is fairer then ? doesn't the 10k clip trader have to bid/offer 30-50k to get his 10k filled on pro-rata based platform ? what happens when he gets lifted on the full amount ? i'm presuming the pro-rata markets tend to favour the exchanges in this instance, is that correct ?

With the US markets starting to migrate to electronic platforms , one big issue that a lot of traders will have to face is whether the trading platform supports pro-rata (i.e. CBOT, LIFFE) or price-time priority (EUREX) for order entry for futures AND options. Which is the most fair system...

the bund is also seeing periods of 2 tick markets , which havn't been around for years. I wonder if this is going to drive liquidity from an otherwise very liquid contract ?

The market-makers will be there, its been too profitable for them not to be , but if Eurex and Liffe are anything to go by then the penny pricing will make their jobs easier in terms of less competition from psuedo market-makers (myself included). Advances in software pricing-models...

Take a look at penny pricing in european index options , I think you'll be suprised at what trades , competition is fierce among the market-makers. All good for the customer though.

Maybe I didnt explain very clearly, say I draw a simple resistance line across a series of highs on a 60 minute chart , then change time scale to a daily chart, the line doesnt touch the highs anymore, only the first bar from where it was drawn.

I use 5 minute and 60 minute charts from eSignal and only really draw in support and resistance lines. The problem I have is that when jumping from a 60 minute to 5 minute time frame , the lines I have drawn sometimes "jump" away from highs and lows. Is this normal ?