Don's Opening's Journal....

Originally posted by mike s
I might do it incorrectly but here's an example of the way I play the FV.

SP cash closed yesterday at 1160.7
The SP futures (which close 15 min. before the market opens) closed at 1166.5 this morning.
I use the FV from this site http://www.programtrading.com/buysell.htm

This morning FV was 1.25

I add 1.25 and SP cash of 1160.7 = 1161.95.
Then I find the difference between futures and cash (with the FV number added to the cash) 1166.5-1161.95=4.55 (note that today it's a positive number.)
Then I find the percentage of change this difference is from the SP close- eg: 4.55/1160.7=.0039.


Mike
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ok, is the correct formula

4.55/1161.95 (previous cash + FV)
or simply 4.55/1160.7 (previous cash only)?


thanks
Mark
:cool:
 
I think it should be the previous cash or in this example, 1160.70 :) Maybe Don or rtharp can chime in for a definite answer.
 
Originally posted by nitro
4.55/1160.7

nitro
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Nitro has it right, but ...and a "big but" lately is that you should use the Eminis at about 25-28 minutes after the hour...there have been big swings in pricing the last 15 minutes...

Don
 
Originally posted by Don Bright


Nitro has it right, but ...and a "big but" lately is that you should use the Eminis at about 25-28 minutes after the hour...there have been big swings in pricing the last 15 minutes...

Don
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Don,

Do you adjust both side of the envelope, or just one side if the e-minis move ?

Also, how much of an e-mini move would cause you to recalculate and resend the orders?

Thanks a million and glad to have you back.

nitro
 
Originally posted by nitro


Don,

Do you adjust both side of the envelope, or just one side if the e-minis move ?

Also, how much of an e-mini move would cause you to recalculate and resend the orders?

Thanks a million and glad to have you back.

nitro
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Since I wait until the last minute, I don't have to "adjust" anything...I just his "send" at 6:28 and away they go....with the latest FV pricing from the Eminis. ESU2 these days...

Don

PS. Go listen to my radio show at Noon (Pacific) on the web....call in and chat..

Don
 
Originally posted by nitro
4.55/1160.7

nitro
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The correct divisor is the SPX cash + FV offset. Using just SPX cash is logically inconsistent considering that the FV differential that is divided through is derived from SPX cash + FV as base value. Remember that FV does not change during the day and the market relation is in euqilibrium whenever SPX Future = SPX cash + FV.

For practical purposes using one over the other should not have any discernable impact given the small difference between the values.

Dave
 
Originally posted by dlincke


The correct divisor is the SPX cash + FV offset. Using just SPX cash is logically inconsistent considering that the FV differential that is divided through is derived from SPX cash + FV as base value. Remember that FV does not change during the day and the market relation is in euqilibrium whenever SPX Future = SPX cash + FV.

For practical purposes using one over the other should not have any discernable impact given the small difference between the values.

Dave
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thanks to all for the feedback

Dave, you seem to be saying what I suspected,
although I do realize the difference is very minor either way.
It just didn't seem logical.

Mark
:cool:
 
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