ES Journal Archive (2006 - 2008)

[Lawrence Chan]

Stops used by retail - 2 pt, 4 pt, and 2 pt below round numbers.

Translate to 42, 40, 38. Each run to those spots has huge volume on the respective 5 min bars.

p.s. remember what I say if 1300 holds, it will have legs.

 

[ammo]

thanks lc

 

[jagmot]

Quote from jagmot:

OT a bit but I see a very favorable trade on Bear.

July 10 straddle (sell)

currently
Bid 8.05
Ask 8.45

I sold 2 @ 8.20

Protection to 1.80 and 18.20.

Yes this is coming from someone who already took almost a 20k hit on Bear.

Closing out half this trade here...only wish I had more (I added to it, not posted, but only 4 more)

Long small position ES at 1339.25. Looking for support from Tuesday and Thursdays close last week in the 1335 - 1339 area. Target 1349.50.

No stop on initial position as I'll be looking to make this a full size position at 1335 and then stop on entire position at 1330.

 

[ammo]

transports have no bounce so far, sittiing on support on daily chart

 

[smilingsynic]

Quote from Wasabi:

Several years ago I looked at volatility bands. Your comment raised my curiosity enough to dust off my spreadsheet to take another look. V-bands for today look like this:

1387.01 95.00%
1378.51 88.00%
1374.76 80.00%
1370.00 68.00%
1353.00 Close
1336.00 68.00%
1331.24 80.00%
1327.49 88.00%
1318.99 95.00%

Basis cash with reversal percent probability at each level.

Are these probabilities that these areas will be TOUCHED, or areas at which price will CLOSE? Big difference.

 

[ammo]

short 40 looking for 1335,possible 26

 

[Wasabi]

Quote from smilingsynic:

Are these probabilities that these areas will be TOUCHED, or areas at which price will CLOSE? Big difference.

1353 was yesterday's cash close (1352.99). V-band levels can be used like floor trader S/R pivots, the difference being that V-bands are calculated using implied volatility of the at the money options and the cash close.

Edit: The operative term in my original post: reversal

 

[Lawrence Chan]

Where are the short side stops -

50% of day = 43 (Edit: they took that out already)
50% of day - 2 pts = 45
and trailing stops 46.5

 

[Spectre2007]

trendline and MAs..

 

[smilingsynic]

Quote from Wasabi:

1353 was yesterday's cash close (1352.99). V-band levels can be used like floor trader S/R pivots, the difference being that V-bands are calculated using implied volatility of the at the money options and the cash close.

70% range = 1370.75-1333
80% range = 1375.25-1328.50
90% range = 1382-1322

Yes, I know how they're used (I've seen Kevin Haggerty's material), but the odds that a certain price will be touched are different than the odds that price will close for the day at that level.

Above are my calculations for the day based on a spreadsheet I wrote based on Brownian motion. They are the odds, based on the VIX, that price will at least TOUCH certain levels.

70% does not mean that the odds are 70% that price will touch. Rather, the odds are 70% that price will NOT touch those levels.