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Its the "inertia" study in ThinkorSwim. Basically, its measuring price changes relative to estimates of a linear relationship between time and price. You have to remember, though, its not a point estimate, and the distribution of error terms is unknown. So you can't really use it to...

Holy shit. Commissions and exchange fees? SPAN margin and cross margining against the full sized rate instruments? UB, ZB, ZN, etc... Will these trade in lockstep with the front month contracts...

Not specific resources, but a few examples that would require advanced hedging. Synthetic index - long/short index products Yield spread - long/short bonds of varying maturity Sector spreads - long/short sector ETFs Hedged equity - long/short stock vs commodity e.g. miners vs metals or...

That's the million dollar question. You tell me bro. You're the guy with twenty thousand posts that makes big calls on deferred energy contracts?

VWAP is nice for many reasons. The first, is that this is not just an indicator, but a market. Broker dealers will transact in listed to facilitate clients paying/receiving VWAP. Look up Guaranteed VWAP for more information. Execution algorithms are using it for various purposes. For this...

So far, his advice "I would trade small..." is some I'm regretting not adhering to.

lol

I'm a total noob when it comes to options, but couldn't he just leg the spreads and report the total cost after he got the fly on? I'd imagine you'd have to have edge on each leg to get filled at a competitive cost. It's above my level of markets knowledge.

Give some examples.

Primary dealers, prime brokerage, aka investment banks. Goldman, Morgan, UBS, Merrill, Citi, etc.

For these statements, you're referring to the CBOE cash index right? Do you mean the basis spreads like 10*SPY - SPX and ES - SPX when you say that? Thanks for the info.

Not sure what software you're using. I do all that stuff with thinkScript. I like to use a 150min LRMA to give me a reliable trend estimate, then do a bunch of smoothing/filtering/differencing or momentum stuff. I don't have a simple algo using these, but I do something like that. It's more...

Deleverage, spread risk, and/or martingale with aggressive increases. Get small. Stay small. Trade a less volatile session, and have a tool for getting edge. Hedge or spread until you have a good setup. If your first trade is wrong but tiny relative to your risk tolerance, you can triple...

I trade the London session and stop before the NY open / premarket. It's a lower volatility session (usually) for rate and index futures. Before COVID, the Asian session had like zero vol, but with VIX so high (relatively) every session is tradable. ES has a micro for scaling, averaging, or to...

I went through a bunch of this shit a while ago. There are a lot of them, so you have to be a workaholic with charts and comparing data series and shit. I do a lot of coding in thinkScript, so I have tons of studies and chart styles saved as well as many screens and lots of patience. IMO, there...

From what I understand, the OP is holding EUR and IBKR is extending buying power in USD under REG-T for US cash equity holds and he is paying the IBKR margin and borrow rates in USD. Therefore, he would need to gain substantial EUR exposure to offset the FX risk on an as needed basis depending...

It depends if you are an American or not. IBKR can't give leverage to US clients in spot FX, but they can for overseas clients. You would have to compare the FX swap rate against the futures roll yield while factoring in the leverage ratio for buying power considerations (also hedge duration)...

6E or M6E will give you a capital efficient hedge, with the smaller contract being for €12,500 so you can fine tune your risk. But, the hedge duration / futures roll yield might be a significant consideration (not familiar).

It's clear that given recent declines in yields, there's a lot more lower adjustments in risk assets. It's also clear that the most vulnerable are Dow, Russell, and Gold. This is one way to read the recent action in the bond market. Not sure if I agree though. The bond market has always been...

I meant OTC index products designed for institutional clients, i.e. structured products. It's called the delta one desk at an investment bank. Also referred to as "synthetic equity" or total return swaps (TRS). The banks buy or sell structured to investors, bank clients, or hedge funds and...