ES Journal Archive (2009 - 2010)

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Just in case some of you not aware of, last trading time for ES options are different for the quarterly ones and the serial ones.

Quarterly ones it's 9:30 ET on 3rd Friday, matching ES itself.

Serial ones (Jan, Feb, Apr, etc.) it's 16:15 ET on 3rd Friday.
 
Quote from kinggyppo:

This has been discussed rather poorly in other threads and is somewhat confusing. The es mini contract is 1/5 of spx which is pit traded by locals and in size by institutions. Lets assume that es mini, spx, and spy expire monday and there is no interest or dividends to contend with, how would a trader allocate $100,000
long in a portfolio? In other words how are they equivalent on a dollar or tick basis?
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Not sure if this answers your question, but I will give it a shot.
The ES is 1/5 of the big S&P futures contract (symbol SP), 1 ES is equivalent to 500 SPY, and you need 2 ES to equal 1 SPX cash index. With $100k and the ES and SP at 850 you could buy 100k/(850*50)=2.3529 ES contracts or .4706 big SP futures contracts, assuming you use no leverage. The SPY and ES are not equal because of interest and dividends, but if we say the SPY is at 85 you could buy 1,176.47 shares of SPY with $100k. You cannot “buy” the cash SPX index so you would have to buy each of the 500 stocks in the correct ratios.

Only large firms with highly computerized, basically instant trade capabilities, very low costs, and a lot of capital engage in index arbitrage between the futures and the cash index (by buying or selling all the 500 stocks in the correct percentages). I have never worked for one of them so my knowledge is very limited on the subject. Again from the site I posted, this page gives more detail on the question:
http://www.indexarb.com/capitalizationAnalysis.html
 
Quote from Lawrence Chan:

Just in case some of you not aware of, last trading time for ES options are different for the quarterly ones and the serial ones.

Quarterly ones it's 9:30 ET on 3rd Friday, matching ES itself.

Serial ones (Jan, Feb, Apr, etc.) it's 16:15 ET on 3rd Friday.
More...
Another thing to keep in mind if you are short any ES options on serial months where they expire into the current futures contract is that you will not be able to trade after 4:15 Eastern but the market makers can exercise your short options against you for a few hours after the close (each clearing firm has different time constraints). I was short the 825 puts and 850 calls yesterday which both were worthless so I didn’t need to do anything, but I bought them both back for 5 cents and paid commissions to eliminate the risk. After the close (when you can’t trade anymore but you can still be assigned on your short options) some huge news could come out where everyone knows we will gap when we open again. It is a very rare possibility but not worth the risk. This logic applies not to just ES but any option that expires into an underlying.
 
on the 5 day 10 day and 20 day charts i see a low of 812.50 and the a lower at fridays low. Does that mean we rally? New to this so i am asking the so called chart readers on this forum...
 
Quote from opt789:

Not sure if this answers your question, but I will give it a shot.
The ES is 1/5 of the big S&P futures contract (symbol SP), 1 ES is equivalent to 500 SPY, and you need 2 ES to equal 1 SPX cash index. With $100k and the ES and SP at 850 you could buy 100k/(850*50)=2.3529 ES contracts or .4706 big SP futures contracts, assuming you use no leverage. The SPY and ES are not equal because of interest and dividends, but if we say the SPY is at 85 you could buy 1,176.47 shares of SPY with $100k. You cannot “buy” the cash SPX index so you would have to buy each of the 500 stocks in the correct ratios.

Only large firms with highly computerized, basically instant trade capabilities, very low costs, and a lot of capital engage in index arbitrage between the futures and the cash index (by buying or selling all the 500 stocks in the correct percentages). I have never worked for one of them so my knowledge is very limited on the subject. Again from the site I posted, this page gives more detail on the question:
http://www.indexarb.com/capitalizationAnalysis.html
More...


yes you answered the question very well, thank you. I asked it so that others can understand the rough equvalency of the products. This is a good thing to know, for example I did not know that the cash spx is equal to 2 es mini contracts, so you learn something every day. The es mini trades almost 24 hours a day so that it will give clues to the open, after 8:30 am Chicago time, I will keep an eye on the spx cash as it will definitely effect the spy. I have all 3 up. To review we have emini, spx cash index, sp future (traded mostly by institutions on CME) and spy.:)
 
wasnt aware of 2 to 1, i thought it was 5 to 1 . i do know that the arbs will trade a hybrid basket against the futures,say GE,XOM,AA ,maybe the top 6 most heavily weighted, and then flip them when the sprd grows or shrinks,do the ohter side ,With this reasoning you can watch a few of the larger stocks for pre moves in the futures and a lot of times,like friday close ,the es will pull back,where ge didnt as much if you were watching both and you would be looking for the rally to resume
 
Just remember--Never risk more than 2 percent of TLNW on any one trade/idea and you will never get blown out.:)

Staying short the 30 contracts here. This is the big one==make no mistake
 
Quote from Buy1Sell2:

Just remember--Never risk more than 2 percent of TLNW on any one trade/idea and you will never get blown out.:)

Staying short the 30 contracts here. This is the big one==make no mistake
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what do you mean by the big one? your trade or market move coming up or your 2%TLNW risk management? thanks.
 
Quote from Buy1Sell2:

Just remember--Never risk more than 2 percent of TLNW on any one trade/idea and you will never get blown out.
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Also remember -- If you never risk anything, you never make anything. Underleverage is a double edged word.

Let's run the numbers: If a 200 pts stop loss for B1S2 is only 2% loss, that also means that a 200 pts gain is only 2% gain. So let's say he gets his selloff and closes the shorts around ES 670 in the next 3 weeks, he made app. 1% per month, which is good for a fund, but bad for a futures account...
 
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