Don's openings Part 3

So, how do you like working that many positions? :)

I cut my list of stocks almost in half to get back to the 5-8 fills I like having. One huge gap days, I find that a lot of my losers come from longs that are opening up on a big up open or shorts that are opening almost unchanged on a big down open.

Today we opened about 2% above fair value, just about the highest open I've seen. I had to widen the buy envelope out a lot to get the buy prices below the previous open or at least close to it. Anywhere from 1.3 to 2.3% depending on beta's.
I kept the sell envelope at 1% and got 9 fills on 39 stocks, all shorts. I had 4 wins, 2 losses and two scratches to gross $0.32 before commissions.

Don, I'm wondering, did you adjust your buy prices to well below the closing prices like you did on Friday? Do you always want buy orders that are below the previous day's close or will you buy a stock that opens up 50 cents if the fair value says it should open up $1.50?



Originally posted by Don Bright
Well, I got filled on 13 orders this morning....made me pretty busy closing them for a few minutes. Worked out ok, made about $1020 or so after all was said and done.

Used a 1.0 envelope.

Don
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Originally posted by lescor
So, how do you like working that many positions? :)

I cut my list of stocks almost in half to get back to the 5-8 fills I like having. One huge gap days, I find that a lot of my losers come from longs that are opening up on a big up open or shorts that are opening almost unchanged on a big down open.

Today we opened about 2% above fair value, just about the highest open I've seen. I had to widen the buy envelope out a lot to get the buy prices below the previous open or at least close to it. Anywhere from 1.3 to 2.3% depending on beta's.
I kept the sell envelope at 1% and got 9 fills on 39 stocks, all shorts. I had 4 wins, 2 losses and two scratches to gross $0.32 before commissions.

Don, I'm wondering, did you adjust your buy prices to well below the closing prices like you did on Friday? Do you always want buy orders that are below the previous day's close or will you buy a stock that opens up 50 cents if the fair value says it should open up $1.50?
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I will place the buy orders above the previous days close if FV calls for it. Why not buy a stock up a dime on a really big up opening?? Maybe there is a "left over" order from the day before that you can snag.

Don
 
Pretty good opening today. Had to wait for BMY to bounce up a bit. 3 for 3 winners today for about $950.

Today and tomorrow should prove "pivotal" in seeing if we have any sort of serious rebound in the markets. A 1000 point rally is nice, but we need to consolidate again without a real sell off.

Back to it tomorrow.

Don
 
what number should be used for fair value - cnb'c or programtrading.com's?? they are considerably different.

for example, today programtrading.com's is +0.78, while CNBC's
-2.87. sometimes the difference is 6 or 7 points - a huge difference.

you can get both at the following link, where you can also get historical fair value figures for backtesting.

http://www.allstocks.com/html/fair_value.html
 
Originally posted by dafugginman
what number should be used for fair value - cnb'c or programtrading.com's?? they are considerably different.

for example, today programtrading.com's is +0.78, while CNBC's
-2.87. sometimes the difference is 6 or 7 points - a huge difference.

you can get both at the following link, where you can also get historical fair value figures for backtesting.

http://www.allstocks.com/html/fair_value.html
More...

There will not be a "negative" number compared to the spot price for FV. I am using .78 this morning.

Don
 
3 for 4 this morning, about $1050 ( I bailsed on IBM too soon, darnit!!).

This is another "consolidation" day, so we'll see whether we have an upside bias or downside today. It should be volatile...

Don
 
Originally posted by Don Bright


There will not be a "negative" number compared to the spot price for FV. I am using .78 this morning.

Don
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If one looks at the formula for fair value, then it is very conceivable to have a negative numbers, especially when the dividends to be paid is high, the fed fund rate is low, and the time to expiration is less. In practicality it is very rare to have negative numbers, but not impossible.

To the person asking about the program trading number vs. the CNBC number, they are different numbers. The program trading number is added to the spot S&P500 index to arrive at the futures FV. If memory serves me correctly, the CNBC number refers to the change in the futures which corresponds to FV.

This morning the CNBC number would have put futures fair value at 902.63. The program trading number of .78 would have generated a FV of 903.53. The difference in the two numbers being only $.90

- AnonBT
 
Maybe, a couple of days a year, if a big dividend week fell right before expiration...ok, you got me on that one...:-) :-)

I like the program trading number because it falls between "long" and "short" money for the interest calculations, so it "fits" easily into the equation for most trading styles.

Good Luck everyone...

Don
 
Just 2 small fills this morning...+ $240...

Covered AOL too soon (I had students in here this morning).....

I also reviewed my spreadsheet with the students, and only had 2 negative days in July....pretty good month....

Don
 
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