ES Journal Archive (2009 - 2010)

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interesting post.
Can you give an example of a small arb program?

Quote from Lawrence Chan:

You guys got to understand how Wall Street works in the old days, then you would understand how it works now.

A lot of GS and other "estate guardians" businesses, come from simple transactions like rolling over 20 mil bonds or treasuries at 50 basis pts commissions.

Sometimes, for the more adventurous clients, they introduce them to the world of exotic mutliple legs vehicles, like, long bond, short OTC call on the bond, and then use the bond as colleteral to finance a small arb program.

All clients funds, of course. It is not "evil proprietary trading". =)

But, when you aggregated enough clients doing the same thing, whereas these clients are not average joe, but estate holders, who have billions of dollars involved, you can move the mkt the way you want.
More...
 
I have compiled a list of tools used in this journal. It is a starting point.
Feel free to trash, add, delete, modify, ignore it.


ES Journal Tools

1. L/H range in 10;
2. Spy put/call OI congestion;
3. Gap fill;
4. Longer TF charts, 1h, 2h, 8h, daily, weekly, monthly, for trend;
5. Dragon pattern, link extreme highs and lows for next move;
6. OR top and bottom crossing;
7. pivots;
8. vwap;
9. nq, spx, nqx, dow, bond, usd correlation;
10. previous h/l, quarterly, monthly, weekly, daily;
11. accounting calendar turning points funds entry/exit;
12. eco events;
13. round numbers;
14. 3pm;
15. time left and price velocity;
16. fib;
17. patterns, dt/b, hs, triangle;
18. block volume;
19. tick
:)
 
I am in total respect of your knowledge and experience Lawrence. Thanks for the insights.

All the Best
John

Quote from Lawrence Chan:

You guys got to understand how Wall Street works in the old days, then you would understand how it works now.

A lot of GS and other "estate guardians" businesses, come from simple transactions like rolling over 20 mil bonds or treasuries at 50 basis pts commissions.

Sometimes, for the more adventurous clients, they introduce them to the world of exotic mutliple legs vehicles, like, long bond, short OTC call on the bond, and then use the bond as colleteral to finance a small arb program.

All clients funds, of course. It is not "evil proprietary trading". =)

But, when you aggregated enough clients doing the same thing, whereas these clients are not average joe, but estate holders, who have billions of dollars involved, you can move the mkt the way you want.
More...
 
Quote from Lawrence Chan:

You guys got to understand how Wall Street works in the old days, then you would understand how it works now.

A lot of GS and other "estate guardians" businesses, come from simple transactions like rolling over 20 mil bonds or treasuries at 50 basis pts commissions.

Sometimes, for the more adventurous clients, they introduce them to the world of exotic mutliple legs vehicles, like, long bond, short OTC call on the bond, and then use the bond as colleteral to finance a small arb program.

All clients funds, of course. It is not "evil proprietary trading". =)

But, when you aggregated enough clients doing the same thing, whereas these clients are not average joe, but estate holders, who have billions of dollars involved, you can move the mkt the way you want.
More...


To put the conclusion another way, bigger portfolios...few players...perceived control.


NiN
 
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