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Thanks for the reply/replies atticus. A calendar spread as you described would have the greek characteristics that I want. Has anyone seen studies on the es return versus change in IV or VIX on a daily or intraday basis. How has this relationship changed over time or has it been stable...

In my original post I meant to say I was very short vega. Mr. Finch, would you elaborate on your suggestion to go long the bear-delta time spread? I want to make sure I have the jargon correct. When you say my trade converged into a short strangle are talking towards expiration(30+ days)...

I am currently having trouble putting together an option/futures position whose P&L outcome matches the desired position traits. I am looking to have an overall position that initially is positive theta, delta negative, with increasing positive vega as price declines and ideally decreasing...

Atticus, you're right. I meant long theta / short gamma. My positions tend to look like a strangle - covered call/put combination. If bullish: Short 2 otm calls and 1 otm put, long the underlying. Reverse for bearish trade. I'm looking for a sort of convergence or retracement fading...

What futures contracts have the most option liquidity? I know ES is very liquid and TY has been good. I swing trade and usually I have two options legs and then a position in the underlying I don't like legging into a position and having to wait for leg A to fill before knowing if it makes...

Atticus, you know I don't speak spanish. English please. preferably slowly with small words and color illustrations. How stationary is the relationship between the IV surface and the underlying? If not very, then how does one estimate the parameters for the relationship? Obviously, over...

Thanks for the succinct reply, NazzDack. Today was a good day to be long deltas and short Vol in the ES. I'll have to go back and look at those IV relationships as well as the intermarket relationships. Do most option traders take into account the dependence relationship between price...

In looking at the ES there is a significant relationship between the ES return and the change in the VIX level (No noble prize in that statement). As ES moves up the Vix generally moves down and as the ES plunges downward the VIX spikes. My question is what is the relationship between the IV...

"Carve out?" What would be a good choice for a program to do the number crunching. I first stared using Excel, because it could do a fair amount of number crunching. I do agree that I need to keep the raw data in a separate file from the file or program that does the number crunching. The...

I'm trying to analyze a mechanical trading system I developed using Excel, but I'm beginning to think XL may not be the best program to use. The the size of the file is approaching 30mb and contains over 25 worksheets. This represents the long side trades only. I had to put the short trades...

I don't know what the SPX will do going forward. But I do know what the MA will do if SPX remains at 881.27 for the next 10 days based on the old data that is leaving the ma equation each day. In this case the 13 day MA will increase by $546.30 per thousand shares each day on average. Thus...

I think the chart should be here, I hope.

Here's an example of trading the spread between SPX and its 13 day MA. This example is not based on any actual trades that took place. Its just an example using historical data for illustration purposes. Attached is a chart of the SPX. On October 15 the spread between SPX an the 13 day...

Jann - Not really. You want to sell the SPX and buy a proxy for the MA whenever the spread has become historically large with the SPX greater than the MA. You don't need to know the SPX 12 days in advance. What seems to happen in the past is that either SPX pauses for several days or...

I don't know if it is any different. Could you explain what you mean by averaging in and closing when the spread is maxed? Thanks, Jeff.

I started a thread last week about creating a proxy / synthetic position for a moving average. It attracted less than helpful responses and the moderator thankfully closed the thread. But lets give it another try. I was looking at different pair trading strategies recently and thinking...

I'm just curious. Do you look at Fib Retracement levels at all in your trading decisions? QLGC had a low of 49.47. It trended up to a high of 50.80 then started heading down. The 0.382 Fib is 59.29. You shorted @ 50.30. Of course, that assumes you shorted on the way down. Just trying to...

I was wondering how and if other futures traders add to winning positions. I've read other threads that touch on this subject, but I wanted more information. I guess I would characterize my trading style as intraday swing. I trade the es only. If a trade starts going in the right...

Tripack, Their special rate was for the 768/128 package. It was $29.95 for three months then $39.95 for the new three months. The person I spoke to didn't say what the package was called, but judging from their website its looks to be the basic service. For now, I sticking with Cable. I...

I got a call last night from my friends at Verizon wanting to know if I would sign up for their DSL service at a "special" introductory price. I was surprised that it was in regards to DSL, because the last two nights I received three calls from Verizon about Long Distance service. Apparently...