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Don's Openings Pt. 2
- Thread starter Don Bright
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One quick question:
I am not sure what the proper calculation for fair value is, currently if S&P futures is at say 1157 +5.0, I will just assume the fair value is 5/(1157-5) = 0.43%, I think it is close enough but I am curious what everyone else is doing as far as calculations are concerned.
I am also wondering about the impact of various stocks on S&P 500. I thought it is a cap weighted index, does that mean PFE and C should have a similar impact on the S&P futures?
For some reason I always thought financials had a much stronger impact on the overall market than say drugs . . .
I am not sure what the proper calculation for fair value is, currently if S&P futures is at say 1157 +5.0, I will just assume the fair value is 5/(1157-5) = 0.43%, I think it is close enough but I am curious what everyone else is doing as far as calculations are concerned.
I am also wondering about the impact of various stocks on S&P 500. I thought it is a cap weighted index, does that mean PFE and C should have a similar impact on the S&P futures?
For some reason I always thought financials had a much stronger impact on the overall market than say drugs . . .
One more thought about beta adjustments:
I personally use daily volatility of a stock, compare that to the volatility of the S&P500 and adjust the opening range by that factor. This method avoids the low beta problem, especially for stocks with high volatility.
Example for AIG:
S&P daily volatility, calculated over the last 90 days is 1.03%
AIG, volatility = 1.6%
ratio = 1.6 / 1.03 = 1.55 which compares to a beta of only 0.9
oliver
I personally use daily volatility of a stock, compare that to the volatility of the S&P500 and adjust the opening range by that factor. This method avoids the low beta problem, especially for stocks with high volatility.
Example for AIG:
S&P daily volatility, calculated over the last 90 days is 1.03%
AIG, volatility = 1.6%
ratio = 1.6 / 1.03 = 1.55 which compares to a beta of only 0.9
oliver
Originally posted by Gansoro
Are all of you that are using this stragegy using Limit On Open orders or Market On Open orders?
This can only be done with limit orders. If you put in a buy and sell market order on the same stock you would end up trading with yourself. Check the prior threads for the basic methodology. Good Luck!
Originally posted by mgkrebs
Don- do you do anything different on triple expiration days? or just follow normal procedure?
On Triple Witching days we need to be more aware of the pre-opening indications than normal...they tend to "show their hands" a bit.
Other than that, we play them normally.
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