ES Journal Archive (2009 - 2010)

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Quote from atticus:

I'm certain he doesn't trade them. My point is that the boundary-range TRADES in the OTC market every day, and his range would have resulted in 100% loss of premium. "Rough range = highly probable" resulted in a 100% loss in this example. Assume (I do not) that there is some value in the OI. The strategy blew up in September 2010.
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did you mean 09,ouch
 
Quote from ammo:

did you mean 09,ouch
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No, the current prediction is DOA. Even assuming a Euro-ranger (expiration touch/European options) it's worth <2/3 of the initial debit; 60% marked-loss on the expiration-trade, and 100% realized-loss on the 104/110 DNT (110 was hit).
 
what if you could cheat and manipulate it at expiration every month,say you were several of the big firms and you weren't totally honest,couldn't you push it back to say 107 and clean up,hypothetically of course,unless of course a short hedge fund was forced to liquidate and it was more profitable to make them pay top dollar
 
Quote from ammo:

what if you could cheat and manipulate it at expiration every month,say you were several of the big firms and you weren't totally honest,couldn't you push it back to say 107 and clean up,hypothetically of course
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It's no longer possible. Markets and the resulting arb-relationships make give-ups in other markets too easy to effect. The VIX settlement is often rigged, but I haven't seen it in larger, listed markets; and certainly not on the scale (110 to 107). IOW, it can only happen moments before expiration, or upon settlement.

104/110 predicted

104.29/111.73 high (failure)

111.50 last
 
Give it up riskarb. You called me out and said I could not predict spy 30 days out. You were proven wrong and now your fragile ego can't handle the cold hard truth. The lesson is just because you can't do it does not mean others can't too.
 
Quote from atticus:

I'll leave it here, right here, in this post and promise never to mention him again. He stalks me on this board with this OI stuff and sends me dozens of PMs. He can't for the life of him accept that I don't assign any significance to it. His boundary got taken for 17 SPX with a week to go.

It takes no skill nor does it imply an edge to assign a range to an underlying. The probability YOU ASSIGN to those barriers is where the skill is involved. Any fool can trade a 1020/1150 double knockout on SPX; but you'll pay 80/100 for the privilege. The probability of success is 80%, so what does that prove? Price = probability. W/o a prob. there is no significance to the call, let alone the relevance of OI in today's market.

IOW, if he had wagered on an SPY 104/110 DNT (or 104/111) in the OTC market he would have lost the entire premium outlay, regardless of the debit paid/potential payout.
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104/110 predicted
104.29/111.73 actual prediction failed
111.57 last
5 trading days to expiration
 
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