Quote from phenomena:
jumbo 2 yr??? as in a 2 yr treasury of some kind??!! that hardly seems like a feasible crossover for an equity scalper! but yea, our guys dont trade HSI either, i have a friend who does, and loves it, hes not a 'book' guy though...and i have heard lots of ppl talk about it in other conversations...but no i havent looked at the book...anyhow, most of the guys im with are in the russell, and seem to think that the 'dax glory days' are over...who knows, but i think the russell has been rather ripe the last few weeks....far more than any other index i can find anyhow, what characteristics do you like in the dax that were unique to or plentiful in it? what is your take on the er2 book? and what other products do u have ur eye on?
almost forgot, someting i wanted your opinion on...what is your take on scalping eua? have you ever taken a look? what are your thoughts and why? thanks...
I look for tick value vs cost vs volatility. I have a spread ratio spreadsheet with dynamic links to CQG that tells me how the contracts compare to each other. That's what tells me what is tradeable and what is not. Right now, it seems like the DAX is like the STOXX from early 2003, but the reality is that the ratio between the DAX and ES hasn't changed much. This tells me that the lower volatility is across the board in many ways. The spreadsheet uses historical volatility, converted $ value, multiplier and some other factors to come up with an index for each product I am aware that I can trade. It then creates a table dividing each product's index with another. Very quickly, you can see what amount of one product would hedge another or be equivalent to it. It is very useful.
Furthermore, I like to be one of the guys buying some size through highs and lows and I have gotten burned pretty good doing that this month. There were always stops above the high or low and if we can get there, it would have a pop or drop of at least 2 pts or so. That was where I made the bulk of my profits. Now, I'm trading those as if I'm trading range-bound movement. It will take the high by about 1 tick or two and everyone's a seller slamming it back down. This was one of the great things about the DAX. This was also true if a level mid-range broke and it was close to a high or low. It would make for a low like a kamikaze and just fall through with gaps. Now, it goes down 3 ticks, retraces 2, goes down another 4, retraces 2, etc. That sell-off on friday was a great example. I can't remember how many times I sold size and I would cover a point above just to see it fall thru my b/e point again and again. It is as if a switch had been hit between December and January. Like someone had a meeting over the New Year and decided to include the DAX in their spoofing/faking/fading program. I'm not a conspiracy theorist, but I know that book very well and not much of the size in there actually trades. It looks thicker, but I have the hardest time getting out of a 20 or 30-lot.
Honestly, I think this action is a condition of the market. I see it across the board, as I mentioned. This is why ER2 is unique because it has been leading a lot of movement and sometimes it continues rallying even though NQ and ES are selling off. I actually enjoy trading the ER2 very much because the execution is crisp (the CME is about 3 city blocks from where I am), it has follow through and when it is setting up to rally it doesn't fake you out.
What am I looking at for future products? Hmmmm...... I gave you some milk... not sure if I want to give away the cow yet.
I'm actually working more on changing my style than jumping from product to product. I don't like going to different products because there is a long process and curve to overcoming to make some "real" money in them. I have many markets on my screen at the same time and I watch carefully how they are trading and what clues they might give. I haven't found one yet that can replace the DAX.
