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Well, the string of quotes is getting long now. wrbtrader's comment: was discussing typical approaches to trading indexes intraday (trend lines, DOM, etc.). When I said pros I mean't anybody who is truly serious about this stuff. This could be CTA, prop trader, systems guys, large...

There is another way. You chart the basis spreads. Then you do all your analysis on the basis and the global equities and rates markets. This is why people aren't talking about it, and nobody is using it. It's what pros do. Retail didn't even bother to learn how markets are made in index...

There is more to it. Your numbers are not realistic. If a country is issuing debt at a rate of 100% GDP then it is financing any and all of the growth occurring and debasing the currency. When we say "printing money" generally speaking this refers to debt monetization. The central bank is...

I just meant that on the back of the curve these moves are huge and even with small leverage the PnL is serious. Of course there are (many) reasons to hold spread positions. I'm not talking about longer term really, I'm talking about a potential causal relationship between the BoB spread and...

This follows from basic realities of risk and statistics. Size has to spread risk. A lot of people love the idea of spreading options, but then dismiss that same idea when it comes to futures. This seems like a failure to understand the basics of risk management. Sure you can make a...

Hi @bone , I have found out through looking into things, that this spread (Bonds-over-Bonds) is really moving markets, especially the indexes (moving each other). It seems like a very large amount of speculation is occurring in this particular spread. The affects are showing up in other places...

You have to use the contract multipliers. This link has all the current ratios for rate futures spreads. https://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html Using these ratios you get the cash value of the spread in ThinkorSwim by using these formulas BOB >>>...

I'm not sure about the implied bond valuations on rate futures. The treasury basis is really fucking complicated. There is a conversion factor that acts on the cash value of the rate future (so the implied bond price is smaller than the cash value of the contract). We need real bond market...

2000*/UB+50*/ES is a synthetic portfolio. Since it tracks the performance of a book of stocks and bonds, it is useful. If you watch the action in this synthetic portfolio, it will tell you if money managers are going to be needing hedging instruments.....ES, NQ, UB, ZB, ZN, etc. Compare it to...

SAMSUNG 32" UJ590 UHD is really nice.

The answer to the question is something called an equity index futures basket. S&P/Dow >>> 50*/ES+5*/YM Nasdaq/Dow >>> 40*/NQ+15*/YM Dow/Russell >>> 10*/YM+150*/RTY You can use the same chart to buy or sell the basket. You just go to the CME site, look up the margin credit ratio, and buy...

Tell em' max. Minute charts are for pro's and where the real action is. I'll take it even further. I use API data sampled every second and then formed into a chart in Excel. If you think minute charts are just noise, then what do you say about 1 sec charts? Hedge funds can get charts at the...

If you have ThinkorSwim you can use this custom study that will normalize and compare 10 different instruments. It's called the "Multiple Instruments Comparison" study. It's free. https://github.com/jshingler/TOS-and-Thinkscript-Snippet-Collection/blob/master/TOS & Thinkscript Collection.pdf...

Institutions are putting money into stocks and hedging the price risk. This is simply to capture a yield spread vs the ten year return. The corps are doing 1 trillion in buybacks as well. The thing is, the yield spread money isn't exposed to the price, 401k and investor money is though. The...

Hey do you have a source for this? Does this apply to other countries in the EU?

No fucking way. Big corps, wall street, billionaires OWN the tax code. Never gonna change. 1256 contracts are not going away. Transactions tax? I doubt it. EU tax law is a completely different animal. AFAIK, the State of New York 100% remits transactions taxes already on the books. "There...

There are huge edges. I love minute charts and intraday price action/momentum (futures). Structural edges are the best kind. I'll tell you the ones I like, take it or leave it. (1) Rate/Index Futures Spreads (2) Index Arbitrage Spreads (3) Index Spreads (4) Analyzing Synthetic Portfolios A...

Sure. Check this out. MARKET CAP SPREAD EXAMPLE (US EQUITIES INDICES) Let's say your a prop trader and you want to trade equities. Well, if you spread two of the indexes against each other (risk adjusting the exposures) then you can suppress the volatility of the trade significantly...

I'll try to give you a little comparison of spreads. Two types of basic futures spreads Intra-market, Time spread, Calendar Spread, Settlement Spreads, Delivery Spread, etc. Financial Futures: Professional stuff ranging from highly levered rate differentials to really complicated market making...

Liquidity providers (Market Makers, MM's) in ES are trading the index basis. This is the real-time differential of the individual stock component bids and offers and the ES book (price ladder) on CME Globex. This is also called the "Premium" or just "PREM"...