You should use B-76 for pricing of the OMX futures.
http://www.riskglossary.com/link/black_1976.htm
http://www.riskglossary.com/link/black_1976.htm
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Index futures (OMX, Sweden)
- Thread starter Modest
- Start date
Two observations: The entry for my current position was a total disaster. The market never came down to my resting stop order at 1036.25. After it had printed 1036.75 and started upwards, i followed with my entry stop, to no awail. I ended up chasing the market, and bought when there was a frenzy, and the market immediately came down a full point. Now it seems it starts to go up in earnest and I am a point to the good, but that does not matter, what matter is: When will I learn to never ever buy at the market?
Observation two: I had expected a lot of back and fill this week, and have played also short positions, which I normally don't. There has been so much up and down that my head spins, and while my analysis was correct, I am still down for the week. Just too hard to play both sides on the same day, and it makes me miss all of the moves, up and down. When will I learn to never ever short the same day as I go long?
And now the market is down to where I bought....
Observation two: I had expected a lot of back and fill this week, and have played also short positions, which I normally don't. There has been so much up and down that my head spins, and while my analysis was correct, I am still down for the week. Just too hard to play both sides on the same day, and it makes me miss all of the moves, up and down. When will I learn to never ever short the same day as I go long?
And now the market is down to where I bought....
Looks like we are the worst market today again (I usually compare with CAC, DAX and FTSE), and my timing is as usual off. Futures are down 7.75 points at 1035, and I am down 4.5 points on my latest entry. If we can not get up a good bit during the afternoon, I suspect there might be a real flush out monday morning before we can go up in earnest. Hard to know what to do right now, since I truly believe we are seeing the end of the downside, but there might be a final leg down as I said. Holding for now.
Ok, I'm gonna make a distinction here between reason for trade and entry. My reason for the long trade has to do with how I think the probability is for getting an up move today, and how big and when. With no morning pop to the upside which I had expected, I took off the position from yesterday and looked to buy back cheaper. At the entry of a long position, I try to take advantage of weakness, and that's why I started with a limit order under the market. It would have been an ok entry if I had waited for it to be hit but I made the mistake of chasing the market as I misjudged and thought we had seen the bottom. The probability of upside from here on has not been changed by the downmove in my opinion though, and I still expect a bounce during the day, perhaps now only to the point where I am not badly hurt, but still. I must keep with my analysis which is that this market is oversold and bound for upside. I might be early, but by this time next week, I think I will be much happier by continue trying to buy weakness.
Sometimes prices going lower means there is a bigger probability of further downside, sometimes it is more like the last stretch of a rubber band and we go back up. I still think we will have some kind of rubberband or I would already be out (incidently, if we do not get it, probability favours further downside on monday morning, a case of downside leading to downside).
Stop losses based on price tend to be taken out at the worst possible time and that is why I never have a price stop loss per se, rather I try to use time limits, and pattern stops. As you can see, I am not a trend follower, rather a contrarian. Who's very out of sync in his timing right now though... and I might very well be wrong on this trade, but I would be even in worse condition if I did not follow my play book.
Sometimes prices going lower means there is a bigger probability of further downside, sometimes it is more like the last stretch of a rubber band and we go back up. I still think we will have some kind of rubberband or I would already be out (incidently, if we do not get it, probability favours further downside on monday morning, a case of downside leading to downside).
Stop losses based on price tend to be taken out at the worst possible time and that is why I never have a price stop loss per se, rather I try to use time limits, and pattern stops. As you can see, I am not a trend follower, rather a contrarian. Who's very out of sync in his timing right now though... and I might very well be wrong on this trade, but I would be even in worse condition if I did not follow my play book.
I exited because there might still be a sort of a sellout on monday morning when all the people who does not follow the market real time, but who read about the terrible market slide, the worst week since january, and all the other doom and gloom over the week end, wants to pull out. We had a rally, and this might be the start of a come back, but it's not conclusive, so I'll wait. Total loss for the week, a not so flattering 10.5 points.