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The strategy for success is now completely dependent on "Phase Two" of the global clearing link attracting more volume to the exchange. It will be interesting to see if the CFTC gives approval by the end of summer...

I have not seen any quotes from arcaex for a while, but have not seen any explanation why. Any ideas?

It would not surprise me if the compliance department at Goldman participates in the prop traders bonus pool!

Actually, I saw an interview with Roger Ailes (now the president of Fox news, but used to run CNBC). He said that CNBC loses money on their original programming (i.e. anything involving their "reporters" and pundits). The only way the network shows a profit is by running INFOMERCIALS!!!! It...

http://www.cme.com/trading/get/sup/glxnews2825.html

So the CME will not start charging brokerage firms until August, but Interactive Brokers will charge their customers anyway. I guess they think their customers are sheep willing to be sheered.

CME Globex Messaging Policy Surcharges Effective August 1, 2005 In order to allow a thorough analysis of the trading activity during the June roll, the CME Messaging Policy surcharge phase has been rescheduled to take effect August 1, 2005. The CME Globex Messaging Policy is a two-step...

I really don't think going down -20% to -30% is a big deal. Any trading system that is shooting for long-term annualized returns of +20% or better will eventually hit a rough period. If you are a properly capitalized trader, you can take the hit and live to trade another day. The only certainty...

I agree. I think that the computers are programmed to attempt the very old practice of front-running. Since you can not see guys in the pit taking orders by phone in the e-markets, you have to design sophisticated algorithms to spot big orders being worked into order flow without showing their...

Question for IB: Are you going to add US Treasury cash bond trading to your system? There is more liquidity on the screen in treasuries than in corporates!

Are you sure about this? I assume that these instruments will be taxed like SSFs. Thus, you will not get 60/40 treatment. For example, when you trade the DIA contract on OneChicago you do not get 60/40 treatment?

Thanks for the link nonprophet - very interesting article. To be more precise, I view mispricing as a time when the MM narrows his spread significantly (e.g. from a .15-.20 to a .05) across multiple strikes of a series. This condition will not last long, we are talking minutes rather than...

My definition of “mispricing” is when the market maker is offering decent size at close to fair value. This does not occur very often! Trajan, maybe you could confirm that the only reason that the MM would give up a good chunk of his edge is when he needs to balance his book. This brings...

I was wondering if you could answer a question about the supply/demand aspect of option pricing by market makers. If a MM is bidding and is hit for 500 ATM calls, he will then (assuming the stock price does not change) lower his bid and possibly lower the offer on the ATM call. Now he has...

If you are trading options on securities that have a futures contract equivalent (es,nq,er2) then you can probably create synthetic option data for back testing purposes. But for trading options on individual stocks that are not super liquid, e.g. where market makers are the primary source of...

I agree! I remember reading in a book that 'option trading' is really 'volatility trading'. The biggest determinant of successful option trading is forecasting volatility. Set up a spread sheet that does the math for fair value, delta, gamma, theta, and vega/kappa. You will see that vega/kappa...

According to CME website, they are planning to roll out eurodollar options on globex in the 3rd quarter. The 'mass quoting' functionality will be added first, then after certification, the options will be available.

So, the electronic bonds and notes are not trading on CBOT this morning, so I look at EurexUS debt contracts - no depth being offered in 5,10,30 contracts. I can only assume that there are no cash bond hedgers using eurexus. Very disappointing to see eurex NOT take advantage of cbot problems!

BLS reports the following: Housing CPI Index 12mo % Chg 2002 + 2.4% 2003 + 2.2% 2004 + 3.0% So can I buy the houses that the government says only rose +8% over the past 3 years? Wait... I forgot that the BLS numbers...