ES Journal - 2012

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Quote from rcj:

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Thanks,

next question what is the reason for this ?

My guess:
1. huge difference in fair value of index and futures, leading to massive index arb trade.
2. Someone's proprietary weekly model was short, and decided to cover at the end of the week (but then why he didn't cover in the last 30 minutes for example, around day's VWAP)

anyways, just guesses
 
Quote from gmst:

Thanks,

next question what is the reason for this ?

My guess:
1. huge difference in fair value of index and futures, leading to massive index arb trade.
2. Someone's proprietary weekly model was short, and decided to cover at the end of the week (but then why he didn't cover in the last 30 minutes for example, around day's VWAP)

anyways, just guesses
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#2 would have been my guess. Short since yesterday and a liquidation before the weekend.
 
Quote from Macho:

You would think so, but thet have to pay for them. Then why did they not buy them the last couple of days when they were a lot cheaper.

I think this is going to be another 'swap' from securities to treasuries and the trap door could fly open on the indices any time now.

Had I not screwed up earlier I would be back in to sell around 131200, but I told myself to leave it alone for the day.:mad:

I'm off . ammo this is like a few weeks ago.
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Since the market has closed , I need to qualify a couple of my comments as I was in a rush.

It is not unusual for the market to improve by 3-4 points from a ZB spike,especially if it is soft as it was today. It gave the sellers a time to gradually unload on 'uptrend' ( marginal price improvement with little resistance). That is the reason I always have a second trade, around 3 points, on file for that kind of thing.Cannot possibly 'perfect' the initial entry.

It would have been good this afternoon too.

ZB seems to play a different role that it did in past years according to 'history'. Since Ben put the brakes on the interest rate policy the ZB is now in effect a commodity for 'safe harbor'. So I react to ZB price behavior and it has been very good to me ;to date anyway:p I don't care what ES is doing at the time.

While I think of it, Trickshot, S&P flat 2011, ZB +18% 2011.

Josh, hope that is the 'elaboration' you wanted.

Same old samo ,ammo. Good point re the 'shift' by the institutions.Thanks.

So at the end of the day,the market did not capitulate, but it sure as hell didn't take off either:D

Have a good one, y'all.
 
Quote from bigsnack:

Both hit while at lunch.
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awesome job man, nice trading for you today. After the low put in at 07.25, I wanted to get long but I did not pay up :( You got long before or after 1:25pm ET? I guess the move down to 1310 was as good an opportunity as any, but the order flow was kind of indecisive to me, so I was not sure how much more we'd go..
 
Quote from rcj:

This one was AH. Before the SocGen unwind - i think. Not sure.
Time = CDT.

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wow! so in 2 seconds, it moved from 1430 to 1360. When was this? 2008 ?
 
Quote from Macho:

Josh, hope that is the 'elaboration' you wanted.
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Well it's as much as my feeble brain will accept at the moment... I do not understand treasuries / equities relationship as sometimes they are inverse, other times not, and I have heard debate as to why they are the way they are, so lots of confusing info.
 
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