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Sorry to burst your bubble, but 40% really isn't anything to be bragging about. Especially when any moron with a 401(k) made 25% doing the same thing. No one argues that you were "right". It's just that no one cares.

It's not the kind of thing successful practicioners share info on. You can start with Vidyamurthy's _Pairs Trading_ book, though.

Just give up on the SCT stuff. Your time is better spent on... anything, really.

You can't look at it like that. Index arb is one of many correlated strategies, so positions initiated as index arb can/do end up in many different buckets. But it's completely possible that a stock vs futs position lasts for a couple months. And short interest / COT stuff is snapshot, so it...

This, coming from you, is the single funniest thing I've ever seen on ET. It's fucking awesome.

Man, I hope you have a day job.

Yes. If I buy futures and short stocks, my positions show up as longs for COT, and my shorts as short interest on the exchange.

Are you saying people don't do index arbitrage? The point is that all this crap is useless. There's no predictive value to it. Short interest was probably useful in 1970. Now it's not. COT in a replicable product has *always* been useless.

There was a thread this week about short interest being at all time highs.

net long futures net short stocks yawn

I average 600 or so roundtrips a day. I'm kicking ass; thanks for asking.

We can certainly agree on this. PTJ's record is pretty seriously WTF. Also, you're right it's more relevant around here.

Stating that indices are driven by fundamentals is laughable. Stating that program trading has any sort of fundamental component is much, much worse.

Also, they took down half of Brian Hunter's book. Easy money, you say? Well, JPM took down the other half, and "someone" had been selling vols all week long rather indiscriminately. So over the weekend, CIG puts 2+2 together, takes half the book, and by the end of the week is out of about 75%...

There is definitely some truth to this, but you're carrying it too far. Just because a guy like Griffin makes his money arbing/spreading/scalping/trading esoterica, doesn't mean he doesn't have to make large-scale market calls. Arbitrage doesn't scale well; to make good returns on a decent...

From an allocation point of view? Sell notes to buy stocks? I only ask because you say "contributing"; to me they're correlated but there's no causality.

I was hoping for some underwriting biz. My bad.

I'm downgrading MICHAELSCOTT from "Probably A Jackass" to "LOL". Position yourselves accordingly.

Around here, hardly worth mentioning.