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You can go back and edit a previous post. If you create a spread order on TWS, what you see as the bid/ask is just copied over from the appropriate legs of the spread. I.e. AUG 1345C 0.60x0.90 AUG 1360C 0.25x0.45 1345-1360 spread shows up as 0.15x0.65 which is just 0.60-0.45 x...

Remember that ES options (and ES futures) trade exclusively on the electronic Globex platform. When you bring up an ES option chain, what you see is not a reporting of the market in the pit. Your screen IS the market. If you put in an order to sell that is below the current ask, YOUR order...

SPX option volume absolutely dwarfs ES options, both in number of contracts and absolute dollars. The futures competitor to SPX are the full size SP futures options, which are pit traded just like SPX. CME is easing SP futures and options onto Globex. Once they do, it might have an impact...

I'm gonna have to call bullshit on this one. I have reverse engineered the WTF study in Tradestation by approximating Fcuk with Jurik's Composite Fractal Behaviour Index. Optimizing this for ES during the April 1 to May 14 timeframe CLEARLY demonstrates that (80,8,7) are the superiour WTF...

Hey, do you want to be a trader, or a programmer? :) Tradestation is a bit of a siren's song. It can easily suck away time that might have been better spent elsewhere. One thing you might try for testing out ideas is to skip making a trade system from the idea. Just use indicators to...

A skeleton in the closet perhaps (j/k). The curve shows 400 trades, but all the juice comes from 200 to 300. Does it still hit 70% on trades 1-200, and 300-400? Maybe it does, thus making it very informative for premium sellers. Its just hard to tell that from the equity curve. I...

Prevail nailed this one on ES vs ER2, and today's action is an easy demonstration. ER2 @ 698, +15.5 on the day ES @ 1267, +14.5 on the day Looking at a short strike put 15% OTM: ER2 ~ 590, only 30 points below the October low of 620. ER2 JUL 590P 0.60 bid ES ~ 1070, a full 100 points...

An equity curve exhibits many things in many combinations :) You could also argue that the mean reversion shown in that curve is a system that performed great during the boom, and has since reverted to the mean. I don't mean to be picky, but an equity curve is really the final product of...

Just a quick comment on your equity curve. Its hard to tell with just trade numbers instead of dates, but your system seems to have made all its money during the boom boom late 90's. Early 90s and early 2000's don't show the same level of performance. Now, you are talking about using these...

The one you want is: US Securities & Commodities Non-Professional Bundle (Includes all Stock, Options, Futures and Bond markets) The price is $10/mo if you have less than $30 commish per month, and free otherwise. You mentioned SP options. In the literal sense, SP options are options on...

RUT is the Russell 2000 index, and futures ER2 is the EMini RUT futures on Globex IWM is the ETF version of RUT (like SPY is for SP) RMN is a mini RUT index (RUT/10) that trades options. KRH is the Kurt Russell index. It tracks the number of times KR and Goldie Hawn are discussed in the...

Agreed. Everything in that article, along with a couple of others, has already been discussed here. But I do need something lightweight to carry into the reading room LOL There is also an article about premium sellers and how they are ripe for a fall if volty picks up. But in the same...

The article also pimps ER2 options over SPX and ES. Here are some numbers from today's market: ES ~ 1254, VIX 16.6 15% OTM is 1065, so I'll drop that to 1050 JUL 1050P 0.85 bid 1.00 ask, but that ask is only 1 contract. Probably more like 0.85 x 1.15. Contracts offered by the MMs on each...

That is certainly true. I was referring to the most dire of circumstances, where you put on the trade and then can't (or won't :eek: ) make any adjustments as the market steamrolls toward you. By the way, there is an article in this month's Futures magazine that talks specifically about ES...

On a less seppuku note... :D Someone asked about the margin escalation as a sold futures option moves against you. The margin to trade a single ES contract is about $2k. The margin to sell an ATM ES option is also about $2k, which makes sense. So as the market approaches your short strike...

The put skew exists for SPX and almost everything stock market related. ES has margin, execution and spread benefits. But if ES had an actual price advantage over SPX, it would quickly be arbed away. SPX ~ 1240, VIX ~ 17.5, market is down 8 pts from my previous post JUL 1050P 1.00 bid...

For the public record and knowledge: ES ~ 1257, VIX ~ 17 JUL 1050P 0.95 bid 200 pts OTM JUL 1150P 3.75 bid 100 pts OTM JUL 1225P and C are both about 21 bid 22 ask ATM JUL 1320C 0.85 bid 70 pts OTM JUL 1360C 0.20 bid 100 pts OTM

Quick followup to my ES vs SPX post earlier... The number that really stands out from that post is the margin requirement for a naked short put on ES vs the same strike on SPX. The ability to sell naked without taking a huge margin whack gives you some extra choices. For instance, you can...

Quick example on ES vs SPX options. The strike below isn't FOTM, but its illustrative regardless. SEP ES currently has about 10 pts of premium; I'm ignoring that for the examples below. Margin requirements are from IB. ES ~ 1237 ES JUL 1200 Put 18 bid 18.75 ask Margin to sell naked...

Question about exits; both the good kind and bad kind :) First the bad: stops. The stops listed by MRCI for their spread trade ideas are just a money management stop. They take the avg trade profit over the 15 years, multiply by 1.3 and use that as a stop. Is that good enough? Versus...