ECBOT down today - did you get stuck in the YM?

[Steveyd]

The ECBOT was down today from about 11:15 to 12:10 PST. Of course, the Dow did a 180 the moment the exchange went down and started squeezing those short the YM, with no way for them to get out of their positions.

This reminded me of May 2003 when the globex went down and I was short the ES. Similar thing happened, the trend reversed and the PIT started squeezing the mini traders. I quickly went long some YM to hedge my ES position and came out ok.

This YM, ES hedge works reasonable well if either the ECBOT or Globex go down. Not a perfect correlation, but close enough to avert any major damage. This method will of course no longer be available later this year when the CBOT and CME merge and the YM starts trading on Globex.

Today I was trading ER2 when the ECBOT went down and was thinking how would I hedge this position if the Globex went down? If I'm already in a (large) position, I'm not going to have the margin to buy/short ETFs, so this is not a possibility. Index options from the CBOE seems like it may be a possibility, but which contract, strike, etc ?

So my question to index future traders out there is how would you hedge/protect your position when the Globex goes down? Or would you just "let it ride" and hope for the best. :eek: Does anyone have any real-life stories related to this they'd like to share?

 

[volente_00]

Call your broker and hedge with a pit contract. You could also hedge with index options ITM opposite of your future's position.

 

[steve0617]

Quote from Steveyd:


So my question to index future traders out there is how would you hedge/protect your position when the Globex goes down? Or would you just "let it ride" and hope for the best. :eek: Does anyone have any real-life stories related to this they'd like to share?

This happened to me when I was still trading YM. Check out the whole thread but start on page 8 or so I started asking questions on how to hedge against a dead CBOT stuck YM trade.

Not perfect, but sadly, something that's needed MUCH more often that Globex ever requires.

http://www.elitetrader.com/vb/showthread.php?s=&threadid=46256&perpage=6&pagenumber=1

 

[segv]

Quote from Steveyd:


So my question to index future traders out there is how would you hedge/protect your position when the Globex goes down?

If long the YM I would short the ES dollar neutral, and vice-versa.

-segv

_/\_____________ft

 

[syswizard]

Quote from Steveyd:

Today I was trading ER2 when the ECBOT went down and was thinking how would I hedge this position if the Globex went down? If I'm already in a (large) position, I'm not going to have the margin to buy/short ETFs, so this is not a possibility. Index options from the CBOE seems like it may be a possibility, but which contract, strike, etc ?

Interestingly, you've got both RUT options and the IVM options which are ETF-based to hedge against ER2. For the Dow 30, you've only got DJX options. So the strat would be to purchase enough options in-the-money to offset the leverage of the futures contract.

 

[bsparkyman]

Stuck long at 576 on the ym, would of gotten withing a couple of ticks of getting stopped out. Got out at 593 after opening.

 

[rarhoads]

The IWM ETF may be a choice - 1000 shares basically = 1 ER2.

 

[franco82]

Amex Diamond DIA

 

[aeliodon]

Down twice today WTF. What was the longest its ever gone down?

 

[steve0617]

Quote from aeliodon:

Down twice today WTF. What was the longest its ever gone down?

The worst I remember the eCBOT was down for almost four hours. And then when it came back up in the early afternoon, it was shaky and inconsistent in its data.