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Sure, bid=0.65 ask=0.75

If I was in your shoes I would close the entire position, as I think we might get a fast snap-back in the SP. Take your profit and be happy.

Have you considered buying index futures (putting aside 100% margin) and just rolling them. It will create a tax event yearly but in an increasing market you will have cash transferred to you to pay the tax, in a falling market the tax event might even be "positive". In the futures contract...

Not sure I understand what you mean exactly. I know that the market is probably not open now but earlier today (I am in Europe) I was also unable to access the (UK) options market.

Hi, I need to sell some options on UK stocks. Unfortunately I seem to be unable to do so on my IB account even though permissions are "activated". Have any of you traded UK stock options? Kind regards, Steffan

It would be preferable just to have one swap. However as long as I can estimate the total costs over 10 years it is not a deal-breaker if a number of transactions are required over the years.

Hello, I need to find a good way to swap a margin loan with floating interest rate into a fixed rate loan – if possible 10 years fixed. I have been looking into doing this with futures but do not have much experience with possible pitfalls. Do anyone have experiences/ideas that they are...

Interesting. Do you happen to know where I can find information about priority on the CBOE website? It seems to be different from product to product, but I cannot find the information.

Sure, anytime!

I do that all the time and can confirm that odd lots will be filled at the official MOC or MOO price.

The newest version of the IB Gateway for UNIX is currently 939.4b, so we have been asked to upgrade to a version that is not yet ready for download..? Link: https://www.interactivebrokers.com/en/?f=%2Fen%2Fcontrol%2Fsystemstandalone-ibGateway.php%3Fos%3Dunix%26amp%3Bib_entity%3D

Hmm, ok that might explain it. What strikes me is that the order was accepted, so I assumed that it would meet the standards for participation. Thank you for helping out!

It would be really great to have en exception for OPG orders as well. I quite often find it useful to direct an opening order to a specific exchange for auction. However in many cases the huge API direction fee makes the trades unprofitable, hence my system does not take them.

Hi, I run some algos with the need to participate in the NYSE opening auction. Sometimes an odd lot slips in and I have noticed that I do not always get the NYSE opening print. Is the NYSE opening price only guaranteed for non-odd lots? kind regards, Steffan

Hi, It would be interesting to see the results for February 1st also? Do you mind posting those? Also, can you tell more regarding the position sizing? kind regards, Steffan

Hi Ant, Interesting stuff. My (test) system took long positions in: CLF @ 35.66 GLW @ 12.14 HPQ @ 15.88 SEE @ 17.88 BTU @ 25.36 VRSN @ 37.73 CNX @ 29.81 AIF @ 35.11 SLM @ 17.36 They were all sold on close. Looking forward to seeing which ones we have in common today. Best...

Which metric are you using to determen which stocks get out of range? I am testing a system that seems quite similar to your xbar, but we often hold different positions. My system is using 1 ATR, what do you use? (stdDev?)

Hi AntTrader, Thank for your journal! Being a quant myself and having backtested/worked on a system very similar to xbar I have been reviewing your trades. It seems that you are not using a 3% interday drop as entry criteria. I assume that you are volatility adjusting and calculating limit...

Hi Guys, Thank you for all your help the last days. I have read the paper several times and after working a bit with it finally understand dispersion theory. For some reason I was really slow to grasp this. Again, I do really appreciate your help! Kind regards, Steffan

I have just calculated the implied volatility on all components of the DJIA and the index itself. According to my calculations the implied volatility of the components was on (weighted) average 17.55% higher than the index. To me it seems like an arbitrage opportunity if one can withstand the...