Search results

Monthly A up in the ES around 2200. Nice round number. Market internals are breaking into a thousand pieces though.

Just my opinion here, but I think traders in general focus too much time on things that are immaterial to the actual trade itself. I think you should trade whatever product itself is providing the edge at that given moment in time. For example, if you want to short the equity indices and the...

My desire to make money exceeds my desire to trade a one tick market. You really think I would sacrifice the 6000 ticks that GBP/JPY offered you to trade ES simply because ES has a one tick wide spread and is actually higher now then it was then.

What do you want to model? The curve? The CSO price? And how good is your math?

There are probably are a lot in the exotic space. Marty will know better then I. When you have currency pegs a lot of guys try to sell against the peg. The reality is, vol can explode near a barrier even without the barrier ever being broken. THAT is counter-intuitive.

But he wasn't right on direction. He was short vol...vol went up. He was wrong on direction.

Well put. Being right means being right on price not being right on opinion.

Exactly. This is like saying the next tornado to hit is going to be very violent. :) Debris will be flying everywhere.

He is "not" trading the volatility of the options, he is holding into expiration. His "outcome" will be completely determined by the relationship "at expiration" of the two contracts. Let's say he bought a straddle on WTI front month at 49 and sold a straddle in WTI at 50 in second month. If...

No. I'm referring to the fact that the underlying's spot price "is" the correlation. I'm not referring to the variance of the actual option but the fact that the option is a bet "on" the correlation. Then there is variance itself around the correlation. CSO's blow out when the correlations...

What you are profiting from is the front spread correlation. In other words, the front month on CL is the delivery month and therefore is more volatile then the back month. When you buy the front month straddle and sell the back month you are synthetically buying a CSO option (calendar spread...

Dael, without an edge you will get killed doing both strategies. I mean really killed. In equities you would simply get killed. In the commodity world I have to add the "really" in there because the forward curve is going to eat you alive from both ends. Good luck.

Bobby +2.9% S&P 500 + 7.3% The market is outperforming you Bobby by 150% using no leverage.

Also guys NASDAQ is still very strongly confirmed while ES and YM and TF are all in chop mode.

Guys, if you are looking for something to short, everytime you feel the urge to short ES, just replace that ticker with GBP/JPY. It has worked for a year now. Just automatically code it in your software so that even if you tried to enter ES into your order entry, it will automatically...

The opposite, quant guys focus on price, irregardless of what is causing price to react. Fundamental guys more often then not ignore the distortions unless its caused by fundamentals.

I'll tell you what they mean. They are trying to approximate the roll "with the market". ALL futures have official roll dates. But many people for purposes of analysis want to roll "with the market". This leaves two options. Watching for the change in open interest. Or watching the switch...

Yes, the important part to remember here is that you cannot buy and hold anything that has a predominant contango structure which is due mostly to storage costs but also applies to things like the VIX. Hence why all the leveraged vix ETFs go to zero. The roll eventually wipes out your entire...

No, again the chart you posted above from trading economics is wrong. They are showing a continous contract. You have to add the roll in from every single month which makes the chart one large downtrend since 2008. Any commodity that is stored has a storage cost that will not be on a futures...

Here is an easy benchmark for you to use. You always hear the long term return of the S&P 500 is around 7.5%. Well, you don't get the keep all of that. You have to pull out the long term avg of the short term interest rates that historically have been around 2% to 2.5% and and the long term...