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yes it makes sense... for today's june ES future, interest component = 16.14 and dividend component = 5.69 hence, FV premium = 10.45 if interest rates were half of today's, then this premium would have been 8.07 less (=2.38) instead of 10.45.

what do you mean by "ranges have been expanding ... " what range are you talking about? with the risk of repeating myself... cash and futures should be the same at expiration but not before.. there are still 91 days to go before jun s&p expires. Currently Jun S&P500 future has a fair...

Isn't I.I. reading based on surveys? (correct me if I'm wrong). I'd rather give more weight to the chart posted by EqtTrdr which is based on real dollars. Based on that chart, NDX has only one way to go...i.e., Down. (sorry Tony I have to disagree w/ your ultra bullish view!)

that's what I thought... i.e., macro moves and sector rotations would come into play (small cap vs large cap) making that spread trade more a macro view than correlation. Can you give me an example of cointegration based pair?

Thanks for the link! .. I will spend some time going through it.

Yes I agree that the pair sp500 vs R2K seems to work for daytrading (or intraday changes in spread)...would you say that the pair will work for multi-day/multi-week timeframes? I find it that ER2 (the Russell electronic future) doesn't have much depth (size) to trade intraday to scale up in...

Nice chart...anyone has an updated one to present? (I don't have a charting program to do this neat depiction of divergence and convergence of small vs large cap....thx.

Equity futures contract value has to and will converge to cash when the Futures contract goes off the board (expiration) .. In the meantime, theoretically they are related by interest rates and dividends (see link below for equation). However, when trading, for various reasons, they can and...

Any comment of the indices pair S&P500 vs Russell2K? (or the corresponding ETF pair, SPY vs IWM)...

Dealer, Your last call was pretty good and we got the selloff...however, I too didn't expect to see how short-lived that selloff was... As FuturesTrader71 pointed out earlier, it is a tough business trying to pick a top in an uptrend...yet I am attracted to it given how steep these...

Market is too big for any one player to make a bet into the pot to see the cards others are holding ..i.e., try to check if the market has legs... Probably the move is related to rise in bond yields. Also note that in the last two weeks, there have been 5 distribution days vs. zero...

I agree 100% w/ your statement. just look at any chart and visualize the next move going up -- it will make sense; and so will it, if you visualize it going down.

Today Russell 2K (and S&P) failed to break through the previous high...looks to me that a top is in place...given the complacency in the equity markets, it looks to me that time has arrived for a serious selloff. Any thoughts?

here is a chart... <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=990194>

Russell 2K showing similar pattern to beginning of October...it failed to make a new high and sold off big..so unless it goes on to make new highs, I'd look for some serious selloff...just my 2c

Seems simple enough...couldn't you just do it in your own spreadsheet? Keep track of NAVs at EOMs and also on dates when funds move in or out. (Each partner's # of shares change when funds move in /out) ... Is the fund small enough that you don't need to register and be a member of NFA...

are you thinking of ... Seasonality : Systems, Strategies, and Signals (Wiley Trading) (Hardcover) - Jake Bernstein -this one is from 1998 - (I haven't read it) Anyone who can comment on... Ultra-Reliable Seasonal Trades (Hardcover) by John Momsen (1999) is it any good?

I looked thru the Schapp book at a B&N but I didn't find it that useful ... beyond some definitions and simple calcualtion of P&L (dhuh!), it was not much ......jmo....so I didn't buy.

small stocks (Russel 2K) outperforming again for the last two trading sessions... I think it is a fake and getting close to fade again...

Anyone trade the Russell 2000 vs SP500 as a pair?