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I am running my CTA using IB. While sometimes I feel like a freak (as not many use IB for this), I may take it as contrarian approach :)

Donna, can`t believe it... this is exactly MY SPREAD ! I didn`t tell anybody.There must be some magic. The rest is somewhat different though, so are the numbers.

Risk ? Is that you ? If so, we have to get couple drinks to celebrate this.

Phil, I believe this may be correct without any directional bias. Based on studies used for calculation of our ODI indicator, we do the same - taking greater exposure upside. Nothing to say - Ansbacher index considers market sentiment to be bullish when calls to put price ratio at the...

I think any idea may be used as long as homework is well done, however there are some great theories but extremely hard to use, due to subjectivity of readings. In my opinion Fibonacci is one of them, besides Elliott of course. At least I don`t know many traders using these concepts and being...

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And you can trade them before S&P opens. This was the case after bombing in London, when ES futures were down -10 points at premarket.

This is one my present concerns. Talking about 9/11 scenario, near contract Eurodollar rose from (about) 95.78 to 96.27 (close), which is much less then expectations taken towards VIX (multiplier 2500), and eventually went up to 96.50 by September 20. However this pattern looks more reliable...

Misunderstanding. Futures against options explain all. Didn`t catch whole picture, sorry.

Phil, right, however: as you stated before, in case of black swan we may expect huge volatility spike. Then holding futures position would not be easy. The best protection for future contract is again - option, which might be expensive due to high vola. As I use futures myself during...

I believe this the truth. Awful truth :D

Mostly because commissions for ES options.

Got it, thx. What a confusing system...

Unfortunately it does not seem to be listed under CBOE. I`ll try to contact them about it.

Thank you for the explanation. This sounds reasonable. I was trading OEX/XOE myself. Good trading and keep it up :)

Thank you. This means you do not measure any specific correlations among them, you just use them as separate instruments for pre-defined trading opportunities ?

Could you tell us more about your approach ? Is there any specific gamma/delta formula you follow ? Any specific reason for spreading over OEX, SPX and RUT ?

Coach, could refresh our memory: what was the margin ?

You always need backup. In disaster scenario you may always use phone (if it works :) But seriously - I always use Fidelity or CNBC for backup.