ES Journal Archive (2006 - 2008)

[dmartin]

Quote from Pekelo:

Last 2 years there was a selloff in the last 30 minutes, last year it was 10 pts...

Nice call!

DMartin

 

[freehouse]

Quote from Lawrence Chan:

Not trading today ...

I guess holding SP cash up at 900 by close may be necessary for some exotic options that expire on month and year end.

Just my wild guess!

LC,

Good call. They kept the S&P 500 above 900 before the market closed.

http://www.cmegroup.com/trading/equity-index/SandP-EOM-options-fixing-price.html

 

[startraitor]

Merry New Year!!!!


http://www.youtube.com/watch?v=F_SFDGJEKRg

 

[bigb]

Damn merrill sold the hell out of it and is still offered......

 

[Decel]

Goddamn, sold my bear position right before the dropoff... Bring in the new year FAST!

Happy new year everyone!

 

[gorkgonzola]

Quote from startraitor:

Merry New Year!!!!


http://www.youtube.com/watch?v=F_SFDGJEKRg

genius.

(i also recommend ace ventura in french if you haven't had the opportunity... )

 

[ChkitOut]

Quote from freehouse:

LC,

Good call. They kept the S&P 500 above 900 before the market closed.

http://www.cmegroup.com/trading/equity-index/SandP-EOM-options-fixing-price.html

Edit: I'm not sure what you're trying to say with this link.. It doesn't tell you anything other than where the S&P was trading at between 2:59:30 – 3:00:00 central.

 

[freehouse]

Quote from ChkitOut:

Edit: I'm not sure what you're trying to say with this link.. It doesn't tell you anything other than where the S&P was trading at between 2:59:30 – 3:00:00 central.

The CME has end of month options on the S&P 500. It is European style. The in-the-money/out-of-the money threshold is determined by the VWAP for 30 seconds. If you notice that this fixing price was above 900. Thus, 900 strike puts and below went our worthless.

If you can look at times and sales, they were gaming the ES above this level with huge monster bids that disappeared right after the VWAP period was over.

Obviously there were probably a bunch of end of month options based on the CASH S&P 500 index, but as we know, cash and futures and linked to some extent.

 

[Baron]

End of ES Journal Archive (2006 - 2008).