Don's Openings, Part 6 2003

[cashonly]

Quote from big_jdez:

What do you do with such a big discrepancy in number.
http://www.allstocks.com/html/fair_value.html

Do you account for that in any form?

Is CNBC's number fair value or the distance from fair value?

 

[NYNY]

F%$#ING MISTAKES.

Should have been a good day.

9 fills
7 wins
+240

I shouldn't have been in the two losers (AXP and WM) which cost me 1300 dollars. Fucking typographical errors!!!

I have to get my excel spreadsheet linked to my order entry soon.

For now I'll have cut down on the orders and concentrate.

But I still made money so its a learning experience.

 

[Ron In-a-sauna]

getting some fills again, i know everyone was holding their breath while i wasnt getting fills, so i thought i would post, but i was 2-1 yest and 3-0 today

if your not getting fills as far as i can tell your options are add or change stocks till you find a lineup that works, or adjust the envelope, or just wait it out(but that makes no$). although many good traders dont adjust envelope sizes or even use a percentage, i.e. your brother Don.
i suppose what i am finding is the OO's are a continual process? ive only been doing them for 6 mos now and had to mess with my lineup a lot at first until i found about 20 stocks that worked consistently for a few months, but it seems like i will need to keep fine tuning this. i.e. i kicked T, and EK totally b/c of the high volume sell offs i figured prob lots more selling on the way and they might be dangerous for the next few wekks. anyone doing these? i checked T couple times and it looked like a loser...youd be better off in their shorting everyday then buying on the OO
was wondering if anyone with more experience had any comments on any of this...

 

[Don Bright]

Quote from big_jdez:

What do you do with such a big discrepancy in number.
http://www.allstocks.com/html/fair_value.html

Do you account for that in any form?

OK, quick tutorial on FV....I simply use the number provided by www.programtrading.com
because it is basically an average between "long money" and "short money" interest rates. If you have "extra" money (who had extra?), then you look for a simple ROI that will "beat the street"....but if you are borrowing money (paying a high interest rate for use of capital) then your FV number is totally different.

So, when you look a the basic formula for FV ($$ x Interest /time +-Dividends) you will have a disprepency between the long money and the short money.

Hope this helps....

Don

 

[Don Bright]

Small opening ....only filled on PFE, made a dime ($200)....

Don

 

[big_jdez]

Quote from cashonly:



Is CNBC's number fair value or the distance from fair value?

http://www.allstocks.com/html/fair_value_s_p_futures_or_prem.html

According to this it seems to me it's the same number as HL Camp except that they come up with it in some other fashion.
I just want to verify this.

 

[Hitnruntrader]

Quote from Don Bright:



OK, quick tutorial on FV....I simply use the number provided by www.programtrading.com
because it is basically an average between "long money" and "short money" interest rates. If you have "extra" money (who had extra?), then you look for a simple ROI that will "beat the street"....but if you are borrowing money (paying a high interest rate for use of capital) then your FV number is totally different.

So, when you look a the basic formula for FV ($$ x Interest /time +-Dividends) you will have a disprepency between the long money and the short money.

Hope this helps....

Don

I am missing something when it comes to fair value? Don can you or anyone else please answer does the fair value price change in the morning? Lets say it is an hour before the open, does fair value keep changin as the market gets closer to the open? People seem to have different views on this. I believe the site you provided has a constant price that does not change (although i might be looking at the wrong #)

I do not understand how the price cannot change. When i look at yahoo finance it will say what the s&p is going to open at.

Example s&p - 5.5

Then if i check 10 minutes later it might say s&p - 9.1

Then 10 minutes later s$p - 7.3 etc.....

What i don't understand is how can the fair value at the site you provided not change?

What if a catastrophe happened and the markets started to gap down massive like s&p - 40 or something radicle.

How can the fair value # not change or am i missing something.

Thanks for any responses

 

[Hitnruntrader]

If you don't mind can you post what # you used for fair value today? I am curious if i am looking at the same thing. Thanks

 

[Don Bright]

Today was .11 and it does not change during the day.....we use FV, combined with the basic information on the stocks we use (beta, sector, etc) for openings, and then use FV all day to view the S&P Premium or Discount for short term market directions. When you know how the futures are traded on the floor, then it is easier to "read" direction by comparing the "spot" price plus FV to the Futures price.....we use that as part of our momentum entry/exits.

You can send me an email if you would a more detailed explanation.

Hope this helps...

Don

 

[lescor]

The fair value number published by HL Camp has to do with the premium that futures have over the cash index. It's derived using the current interest rate, the dividends of the index (S&P 500) and how long until expiration of the futures contract. That's why it doesn't change during the day. The trading of the emini before the open of the stock exchange does change and that's why the indication of where the market will open is always changing.