ES Journal Archive (2009 - 2010)

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Man, this is like taking candy from a baby!!

Only problem is, I'm the baby.

See how the price touched 1001 for a brief second at 4, that was my stop. Un-f#$^ing believable. I could have put my stop at 999 and it still would've touched it, I'm sure of it.:mad:

It was my fault for buying at the top anyway, I had a limit order to buy at 1001 but kept moving it thinking it was a fake-out anyway. I ended up at 02.75 when it filled.
 
Buying @996.75 (15:25) was the tell that the squeeze was on.

I'm a little suprised they didn't go for < 990. They could have gone there then reversed for juicy profits.
 
Quote from Lawrence Chan:

Buy a small set of stocks to hold up the index.

Sell everything else in stealth mode (offer only, no smack down on bids, etc.).

Clear enough?
More...
Not just any set of stocks but the ones backed by the "In Uncle Sam We Trust" seal. Ironically, these stocks are the sames ones owned by the boyz that play the market (eg. Goldman Sachs, who else?). As such, I doubt they're hedging all that much when they know any losses would be backed by Uncle Sammy.
 
Never chase. Always fade the entry.

Simple concept but very powerful.

Quote from M3peat:

Man, this is like taking candy from a baby!!

Only problem is, I'm the baby.

See how the price touched 1001 for a brief second at 4, that was my stop. Un-f#$^ing believable. I could have put my stop at 999 and it still would've touched it, I'm sure of it.:mad:

It was my fault for buying at the top anyway, I had a limit order to buy at 1001 but kept moving it thinking it was a fake-out anyway. I ended up at 02.75 when it filled.
More...
 
Quote from Lawrence Chan:

Buy a small set of stocks to hold up the index.

Sell everything else in stealth mode (offer only, no smack down on bids, etc.).

Clear enough?
More...

Yep. Thanks.
 
Food for thought - I find the NYSE bullish percent index fairly indicative of counter trend moves when at extreme values. Currently forming double top at ~80 (especailly if Fri. is down). Short term bearish, will be watching. Anyone else watch this index?
 

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Dispersion Trading

A Guide for the Clueless

FDAXHunter
Equity Derivatives
Capital Structure Demolition LLC
July 2004
Version 1.1

Once upon a time dispersion trading desks used to be the
kings (and queens) of volatility trading in the equity arena
(if we ignore the 35 mio USD short vega position by
LTCM).

Dispersion desks can handle significant volatility risks in
the same way that a basket desk can handle extremely
large deltas per instrument or a cap/floor vs. swaption
trader can handle extremely large volatility risks per
underlying. As a matter of fact, a dispersion trader is
essentially a cap/floor vs. swaptions trader, albeit
somewhat less structured. Dispersion traders can come into
a single stock and sometimes sell signifcant vegas (read:
millions) before anyone knows what is happening.
Dispersion trading was a quite profitable trading activity
into the early 2000s.

The reason dispersion trading was quite profitable and
relatively risk less up until then is that the market showed a
long dispersion bias i.e. realized dispersion was above
implied dispersion on average.

Dispersion trading is also known under the moronic
pseudonym of volatility arbitrage. The only time there ever
was a true arbitrage was in the early 1990s in Europe. Here
we saw implied correlations above 1.0, which, needless to
say, are sort of a sell. Nobody capitalized on this arbitrage
opportunity. Why? Because if you can make money by
doing Reversals/Conversions and Jelly Rolls, why would
you bother with something more complicated like
dispersion?

Nowadays trading dispersion has become less a P/L
generator in itself but rather as a position risk management
and/or liquidity enhancement tool.
 

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