ES Journal Archive (2011)

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I have a question about rollover day. Do December options (exp Dec 16) expire before or after the rollover is taken into account?

The March 12 contracts are priced 6 points less than the December 2011s, so that would make a pretty huge difference in price. If it were after I would think puts and calls would be out of parity. Put/calls are in parity for Dec 16 options, but not for Dec 31. So it looks like it happens after.

So if I own contracts and sell Dec 16 call options against them, would I be effectively holding both to expiration, and then come Monday own nothing regardless of where the contract ended?
 
Quote from tortoise:

wait, sorry...i'm a dummy--translate?
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if the spx spread gets above 2,sell the spx(stock basket) buy es,if it gets below 1.5 buy es sell spx,cover in the middle ,buy /sell programs,don't trade it so i'm not sure about the 1.5-2,but they do it all day every day for last 25-30 yrs,that explains the chop and a good reason to watch trans or eur along with es so you are not fooled on the smaller moves changing the market bias 100 times a day,dying by a million tiny stops ... watching for the last 5 =10 minutes,looks like the sprd is 1.5-2.5
 
Quote from Laissez Faire:

Reversed off the open and struggling here at the 50% level.

I thought the bulls were stepping up into the close, but they appear to be having a hard time with them bears?
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Yes several reasons for both sides to duke it out here IMO-- below yesterday's close and today's open, but also right at today's IB low, and yesterday's VA low .. in yesterday's range, so neither side easily winning. Makes for messy trading.
 
Quote from ammo:

if the spx spread gets above 2,sell the spx(stock basket) buy es,if it gets below 1.5 buy es sell spx,cover in the middle ,buy /sell programs,don't trade it so i'm not sure about the 1.5-2,but they do it all day every day
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Ah, ok, but in my (admittedly limited) experience, the trans are important, regardless of arbitrage activity (or lack thereof). i've learned to take notice when they're lagging like this


[edit: closing that long for a tick]
 
Quote from Laissez Faire:

Is it simply seasonality that makes those of you who do look for an end of year rally here?

The market still appears weak to me, both technically and fundamentally? What will we rally on? Seasonality and herd behavior? That may be all that`s needed, just asking.
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Anyone?

Still fighting them bulls and bears, but as of now, the bears won this round as well. Bulls can`t even push it beyond and hold the 50% to save their lives.

Wondering if we close around here or one of the sides will have to give in by the close.

Still looking at at 1151 below. :)
 
Quote from JoshDance:

Messy close, hope no one got chopped up, have a great holiday all, see you next week!
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you taking off for next 3 days ? going out of town i guess!
 
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