how about this nice discreet selloff into the close?
- Thread starter Steelhead
- Start date
p2 brought up the issue of the SOX index (SMH). As evident by my thread here, http://www.elitetrader.com/vb/showthread.php?s=&postid=445185#post445185 I am trying to take a more systematic and aware approach to the impact of other indicies on the primary equity index futures. In the midst of researching this topic I found the following stat in a paper:
Down day in SPX. - Average Next Day Return = 0.03%
Down day in SPX. SOX outperforms SPX. - Average Next Day Return = 0.22%
Down day in SPX. SOX underperforms SPX. - Average Next Day Return = - 0.11%
Today the SPX moved down - 0.84% while the SOX closed down - 3.76%. Lets see if this historical tendency holds tomorrow. Could be interesting.
Down day in SPX. - Average Next Day Return = 0.03%
Down day in SPX. SOX outperforms SPX. - Average Next Day Return = 0.22%
Down day in SPX. SOX underperforms SPX. - Average Next Day Return = - 0.11%
Today the SPX moved down - 0.84% while the SOX closed down - 3.76%. Lets see if this historical tendency holds tomorrow. Could be interesting.
Not that much really. Since they are long dated, most of the prem is just time and not pric/vol. I think I put them on when SMH was at 41.5 avg or so. I cleared about 150-200k so far this year trading just common. I'm only up like 70 or so on those semi puts and about half that on the qube puts. Maybe about the same on the smh common.
I booked most of my intc on the close and half the NVLS just so I can add if we bounce on TXN. Kept the SMH just for diversification. As we go lower, the delta's will pick up and I can go light on the common and just let it simmer. Maybe even play some longs against it on the bounces.
Not sure if that answers your question?
when futures were down 5 handles pisani said that "its nothing to worry about, just a drift down with no selling pressure" and I'm sure that big-nosed, effeminate douche knows what he's talking about or he wouldnt be given air time on pt barnum's favorite channel.......so we got that going for us....which is nice.
grimer11
grimer11
S&P momentum has definitely slowed in the last month or so, and today's action was somewhat negative. So IMO the risk/reward of longs has deteriorated.
However, the long-term trend has not yet been challenged by serious price weakness. Support is intact, the market made a new 12 month high yesterday, and we are less than 2% off those yearly highs.
I would consider booking partial profits (e.g. 20-25% of positions in the S&P), and possibly hedging a bit with short-dated options. But I would like to see more price action before considering a change of view. 12 month trends don't end in one day.
However, the long-term trend has not yet been challenged by serious price weakness. Support is intact, the market made a new 12 month high yesterday, and we are less than 2% off those yearly highs.
I would consider booking partial profits (e.g. 20-25% of positions in the S&P), and possibly hedging a bit with short-dated options. But I would like to see more price action before considering a change of view. 12 month trends don't end in one day.
triple top 1160 area s+p?........friday's action looks like an island top reversal but there is no volume confirmation and it looks like more of the 1135-1160 range unfortunately with the markets awaiting a catalyst and remaining starved for liquidity....I cant imagine what "the" catalyst wilil be, but soon almost all index positions put on this year may be underwater and the hydraulic press of bad longs may give us a little movement frrom here.....God willing.
grimer11
grimer11
03-08-04 12:27 AM
Re: Re: Re: Hey Grand Master . . .
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Quote from riskarb:
1) Your *word* is all I have to go on, and we all know what your word is worth, not the paper your "McDonalds Happy Meal" audit is printed on.
2) You had agreed in PM that my 9-year had exceeded yours.
I'm glad that the first honest statement to emanate from your keyboard is an admission that you're indeed JS.
riskarb.
PostScript: Be careful!!
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Response from James Stock/Romeo/Grand Masterbaitor:
"No. You agreed that my track record was better than yours.
If you don't believe my word, let's give inandlong our bet money, and see once and for all."
ps YOU be careful.
Re: Re: Re: Hey Grand Master . . .
--------------------------------------------------------------------------------
Quote from riskarb:
1) Your *word* is all I have to go on, and we all know what your word is worth, not the paper your "McDonalds Happy Meal" audit is printed on.
2) You had agreed in PM that my 9-year had exceeded yours.
I'm glad that the first honest statement to emanate from your keyboard is an admission that you're indeed JS.
riskarb.
PostScript: Be careful!!
--------------------------------------------------------------------------------
Response from James Stock/Romeo/Grand Masterbaitor:
"No. You agreed that my track record was better than yours.
If you don't believe my word, let's give inandlong our bet money, and see once and for all."
ps YOU be careful.
By Riskarb regarding James Stock today:
"Wasn't it you who first mentioned kicking my ass? Then proceeded to build this elaborate LIE that you'd meet me in Chicago with a cop, when you were in NYC at the time? And we dare question your veracity?"
Dude, I doubt you have the ability to trade postage stamps.
riskarb
"Wasn't it you who first mentioned kicking my ass? Then proceeded to build this elaborate LIE that you'd meet me in Chicago with a cop, when you were in NYC at the time? And we dare question your veracity?"
Dude, I doubt you have the ability to trade postage stamps.
riskarb