ES Journal Archive (2009 - 2010)

[iloveoptions]

Quote from tommymoose:

I don't think its probable in 6 days either.

I definitely wouldn't rule it out though. Look at the rate (price vs time) in which bear market rallies moved in the 2000-2003 period compared to the overall rate of the bear market. If you consider the rate at which this current bear market has unfolded, a rally of that magnitude in a short amount of time is not too hard to imagine.

Well, the only way to make your imagination become reality is to buy the March 850 calls and see what happens. I'll sell them to you for 50 cents just to give me some cushion. Deal or no deal?

 

[volente_00]

Quote from tommymoose:

check out the open interest on those 85.00 march spy calls. I don't read into this stuff too much (since I've never done much analysis of it), but that's my main target.

You want to see small open interest in calls and large in puts if you want a rally to stick.



This can go to 826, but I see us making a new low under 666 first before that.

 

[freehouse]

Quote from Jahajee:

the fact is in bear markets, futures are near or below cash SPX
and in bull markets, premiums are fat, even as high as +15 or higher! Check the dot com boom days in early to mid 2000.

June ES is about 6 below cash SPX. That's bearish. of course, in bearish markets interest rates are low (as low as zero!) so preimum can be negative, like now.

Jajajee,

Fair value of futures relative to cash takes into account interest rates and dividends. Interest rates are near 0. The biggest reason why June futures are at a discount to cash is because of the dividend flows. The cash basket pays out the dividends. Subtract that from the cash SPX and you should get something close to where June ES is trading (although it can deviate from this fair value).

 

[tommymoose]

Quote from iloveoptions:

Well, the only way to make your imagination become reality is to buy the March 850 calls and see what happens. I'll sell them to you for 50 cents just to give me some cushion. Deal or no deal?

I said its possible, not probable. I'm already long, no need to go crazy when there is never a sure-thing.... but sure, what the hell, do you accept paypal?

Thanks for the heads up volente. Do you mean that 850 would be more probable if the ITM 850 puts have a large OI or if lower strike puts did (thus fleecing buyers)?

 

[Bigpipn]

Quote from JSSPMK:

That's what I am seeing, but EOW should be a clearer pintura

Sidenote: If USD has hit the top, then I would be in agreement with LC that stocks ought to go back into bull phase.

Good chart, I, too, am closely following that descending trend line.

As long as the gov't keeps trying to cushion the fall we're heading lower. They might be able to keep the indices up in nominal terms but a currency crisis will follow shortly after.

If they let this recession run its course we'll maybe go 100-150pts lower and we'll have a somewhat sound currency when it's all said and done.

We're getting the spring-loaded rally here. The rallies will, again, get smaller and smaller then we'll get a strong intra-day reversal and then resume the bleed lower.

 

[jnorty]

Why is the june emini 4 pts lower than the front month march? I can't recall seeing that before.

 

[Jahajee]

Quote from jnorty:

Why is the june emini 4 pts lower than the front month march? I can't recall seeing that before.

This has been about the largest negative prem for some time.
Zero interest rate and non-existent dividend. There's a formula - you can google it.

See here for more:


freehouse


Registered: Dec 2001
Posts: 623


03-12-09 11:01 PM



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Quote from Jahajee:

the fact is in bear markets, futures are near or below cash SPX
and in bull markets, premiums are fat, even as high as +15 or higher! Check the dot com boom days in early to mid 2000.

June ES is about 6 below cash SPX. That's bearish. of course, in bearish markets interest rates are low (as low as zero!) so preimum can be negative, like now.
--------------------------------------------------------------------------------



Jajajee,

Fair value of futures relative to cash takes into account interest rates and dividends. Interest rates are near 0. The biggest reason why June futures are at a discount to cash is because of the dividend flows. The cash basket pays out the dividends. Subtract that from the cash SPX and you should get something close to where June ES is trading (although it can deviate from this fair value).

 

[volente_00]

Quote from Buy1Sell2:

Closed the 30 contract short position based upon movement on the current 240 minute chart. I have closed at 690.5 from a short position at 869. Roughly 178 pts profit per contract or a total of 5340 pts ($267,000) --Ishmael

--Will look to reenter short at a later date--
--Demonstration of a wide stop in an oversold market is now complete--

Can you post this 240 minute chart you were looking at to signal this ?


Thanks

 

[volente_00]

Quote from tommymoose:

I said its possible, not probable. I'm already long, no need to go crazy when there is never a sure-thing.... but sure, what the hell, do you accept paypal?

Thanks for the heads up volente. Do you mean that 850 would be more probable if the ITM 850 puts have a large OI or if lower strike puts did (thus fleecing buyers)?

I think 850 is unlikey until later in the year but maybe THEY have other thoughts. Also the first bear market rally went 740 to 940 ~27%, and guess what 666 to 850 represents % wise ? It's still very possible to print 635 - 640 from here

 

[ASusilovic]

Invest 15k contracts in the Globex session and you reach a nice "chart picture". Isn´t much of an investment for a some big players. 15k = lousy figure. But if NYSE bell rings, you have a decent "book profit" with the 50k contracts you invested the days before.