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ES - SPX is an index basis spread. It's used by scalpers and day traders. It's complicated, but there is a pricing model for the future based on the differential of funding rates associated with holding either instrument. A bank (or HFT market maker) can liquidate a cash t-bill (pay the...

Modern portfolio theory is based on diversification and the utilization of asset correlations. The use of long/short strategies can reduce the risks associated with leveraged trading.

I like outrights, but the front month index spreads are nice. They can be easier to figure out since there is so much less noise in the action. An index spread is not a direct hedge for fixed income exposure (outright index futures are), so there will be less participants who are willing and...

That's the same relationship, but the cash value of the spread is ten times that amount. It makes the math easy. ES/NQ in that ratio, (two lots ES vs one lot NQ) I use because it can smooth out index moves. ES is much more liquid and so it leads sometimes. This is a chart of YM/ES today...

Yea. Me too, I use 50*ES - 1000*UB and also 100*ES - 20*NQ to gauge ES momentum.

My DDE worksheet isn't getting data. What can I do?

Not calendar spreads. But, intermarket index spreads. Calendar spreads on index futures are sensitive to interest rates. But, bond spreads also move the index because of no arbitrage pricing. The pricing model involves a floating rate. (risk free rate) The pro's will trade the intraday...

Professors got so much privilege they can't help but enable that systematic oppression. Freall, yall. Time to GET WOKE. LOL Exactly.

Hi. I'm no expert on FX. I'm a microstructure guy that's into rates and indexes. The thing is, FX is so leveraged, that AFAIK, it's all banks, at least in the US. I don't think there are many prop firms that trade FX. It's because so many of the products are OTC. It's a hard job to get...

They are used to denoise and filter change in a price or a price differential. VWAP is very important, for many reasons. I use tons of averages, but I use them on all kinds of stuff. It's very complicated. I don't just put them on charts and use mechanical rules with them. Examples: I use...

If you want to do "real prop" then you better have real skills. Forex trading is actually a very professional market because it's so leveraged. How much money do you have? You may be able to just trade FX futures on CME using SPAN. I doubt you even know what SPAN is though. Prop traders are...

Warren measures profits with a B, that guy can only dream.

It's just sad when that guy running axe capital acts like he knows shit about stocks and all his little groupies are dick riding. It's hard to watch.

Not true...not true at all. If I have 100k then I can trade in ways that a $2000 account trader cannot. (RegT and SPAN rules) Not only that it's a much bigger deal to make 10% in a month when you trade size. Making 10% on 2k over the same timeframe is a complete nothing.

One way of looking at this is that there is a lot of confusion about direction on short time frames. What some people call 'noise' is actually indicative of aggressive trading. This can be an opportunity. If you learn what the professionals are doing, then you can get a big advantage on the...

Check the relative performance of comparable assets against the trend/chart. I love using the risk adjusted ratios of competing instruments (dollar-volatility adjusted ratios). (price an asset in terms of another -- using hedge ratio) Examples are silver/gold, nasdaq/dow, dow/russell, etc...

LOL

My favorites "you can't beat the market", "there are no legal edges", "price is random", "daytrading doesn't work", "you can't beat the algos", "HFT always wins", "daytrading is for suckers" :)

Most of quant finance is about making a market. Providing liquidity, no arbitrage pricing, HFT, structured products....it really can't be learned from a single source. You have to study so many things. It's really hard and takes forever. Knowing market making will give you the ability to think...

There is a very steep learning curve in futures spreads. This is because, not only do you have to understand futures and outright risk (and how to trade it), you also have to understand calendar and intermarket spreads (and what might influence those markets). Spreads are used for different...