I wanna trade RUT!

N

nfactorial

Hi,

I want to trade RUT intraday.
What are my options?

The dynamics of RUT intraday work well for one of my strategies.

I've investigated IWM but it doesn't seem to track RUT on an intra-day basis and I can't find the same dynamics as in RUT. The same goes for TF.

I could try buying calls when I want to go long RUT and puts when I want to go short. What would be the effect of the greeks?
Theta should cause no problem, effect of vega will probably cancel itself over all trades but I'm worried about gamma. Ideally I would need a delta close to 1 and very low gamma.

Or I could always buy all 2000 stocks at the same time....
 
RUT is a cash index. Not tradeable other than perhaps buy/sell biggest 500 components.

Why can't you use IWM? Is it the first 5 minutes difference?
 
Quote from nfactorial:


I want to trade RUT intraday.
What are my options?
More...

Have you considered trading the e-mini futures on Russell 2000 index?

TFZ10 is the symbol for Dec 2010.

0.10 movement = $10
 
The problem with IWM is the tracking error.

I've just checked with IB:

IWM 68.00
RUT 679.29

That's a big difference. I can't find the same dynamics in IWM and RUT.

If think there is the same problem with TF. At least on historical data (from the same provider) TF and RUT don't match on minute bars.
 
Quote from nfactorial:

If think there is the same problem with TF. At least on historical data (from the same provider) TF and RUT don't match on minute bars.
More...

No cash index in the world will match it's etf or futures contract on minute bars.

You're talking about liquidity issues in that time frame. It's just not possible.

Many issues in the index trade very infrequently thus it's momentum "appears" to exist looking at minute data when in reality it won't be possible to replicate even if you traded all 2000 stocks of the cash index.
 
It's easy to find a system that "works" if it's not traded. I've come up with all kinds of things with eye-popping returns on the VIX, which of course you can't trade except through futures & options.
Something that's actually traded, like an ETF or a stock, though? Quite a bit harder.
Real people with real money tend to get in your way.
 
Quote from nfactorial:


.....
The dynamics of RUT intraday work well for one of my strategies.
....
More...

Your strategy works well for the RUT index but not work well for the TZ Russell 2000 e-mini futures?
 
Quote from trefoil:

It's easy to find a system that "works" if it's not traded. I've come up with all kinds of things with eye-popping returns on the VIX, which of course you can't trade except through futures & options.
Something that's actually traded, like an ETF or a stock, though? Quite a bit harder.
Real people with real money tend to get in your way.
More...

Alright, that might be it then.

Why wouldn't it work with options though? You could somehow "buy" and "sell" VIX with the options.
 
Quote from nfactorial:

Alright, that might be it then.

Why wouldn't it work with options though? You could somehow "buy" and "sell" VIX with the options.
More...

...and you can buy and sell RUT with options. Not sure of your point.
 
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