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only just saw this on the eurex website - i have had to subscribe to their new email alerting service since it's the second time in the recent past they are extending the trading hours - since dax tends to gap a bit more than the u.s. indices, should be interesting to see if this will have an...

hi - the European indices are asleep probably due to the NFP later today, so i am up for a good deed :) - i had to do something very similar for auditing electronic broker statements - if i understand correctly, here's the setup you need (see the attached file) - check out the formulas in...

which vendor (other than possibly bloomberg) provides a datafeed for these? the Deutsche Boerse website lists some ETFs and retail derivatives for the tecdax; in addition Eurex has tecdax futures and options (not liquid though) - are there any other trading vehicles for tecdax? the LSE...

hi W.B. - i can't help but notice that this structure here is increasingly looking like the second half of 2003, i.e. no downside so far... - naturally this will resolve with a good move up or down eventually, but with your recent reversal trade i am glad to see that you are not trying to catch...

thx WB / cnms - not long ago i put together some numbers looking at - the greeks, individual option strip liquidity / bid-ask spread, ultimate risk exposure (i.e. option premium), effect of commissions, choice of option expiry dates, expected duration of a trade, among others - there seemed to...

hi W.B. - just saw your note from yesterday on the current short trade - i am wondering why you are using in the money puts as opposed to at the money or out of the money? thanks and all the best.

great observations - what can you back this up with.. - i am more interested in the 5% number - i have heard, for example, that the largest share of ES volume is from options market makers hedging their business - it would be great to know a bit more about the 95% - all the best.

ok best of luck with your trading.

interesting journal - i can see the potential for buying/selling oversold/overbought for individual stocks but i am not as convinced about applying this to the s&p - correct me if i am wrong, but from my research, during swing moves there is rotation in leadership/laggardship among the...

hi Mike - i have recently run some numbers on historical volatilities for the stocks in the Russell 1000 - even if you take the relatively lower volatility environment from 2003 to present, the "fat tails" are still significant, from memory my numbers showed the frequency of 3+ standard...

granville/ktm - you are making valid points - i have pulled down the Feb VIX future daily data from cfe's website - using daily closing prices from end of last year to Feb 14 (last trading day), the correlation of log-returns between VIX index and VIX future is 0.65, which makes sense, i.e. they...

single prints don't mean "dumb" people buying tops / selling bottoms - they mean that there was a supply/demand imbalance/inefficiency strong enough to push the market to these levels - it is this inefficiency that drives directional movement, hence the market continues to gravitate towards...

ok thanks, i saw you had mentioned this before, i wanted to check if you adjust mechanically or arbitrarily.. - one thought i had was to take the traditionally calculated VA which was "too wide" in this case and then calculate a VA of this VA and use this adjusted LVA as your lower boundary, i...

could you describe how you adjust the LVA, unless it's proprietary.. - thanks for the journal.

you will have to look at a black scholes type option pricing model - look at the vix/vxo spikes in 1987, 1998, 2001, 2002 - look at the corresponding percentage change in the index - create model scenarios / monte carlo for a future event - use the outputs from these scenarios to get your option...

CFE's RuleBook says Price Limits are disclosed in "the rules governing a particular Contract" - other than CFE's general rulebook and summary contract specs, i can't find any more detailed rules for specific contracts - does anyone know where to get this info, otherwise i am about to email...

hi W.B. - appreciate your feedback, following your comments and trades has yielded excellent insights - thanks for your contributions and best of luck in your trading.

hi W.B.! - hope you are well and thanks for continuing to update the journal here - i'd be very interested if you could highlight a couple of points behind your rationale to re-enter long on Wednesday open (Feb 8) ? - it was a great entry by all means, although i am agreeing with you that the...

there was a thread a couple of weeks ago looking to capture a dde link value at a specific time.. - Don Bright i think had some comments (or questions...) - i can't remember the name of the thread but perhaps you can browse through the Software section - if you don't find it, i think you need VB...

you can get the data here: http://deutsche-boerse.com/dbag/dispatch/en/isg/gdb_navigation/private_investors/20_Equities/20_Indices/55_VDAX?module=InOverview_Index&wp=DE000A0DMX99&foldertype=_Index&wplist=DE000A0DMX99&active=overview×pan=1d unfortunately, they are missing the data for...