Inventory Grab Alert 4/30/09!

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Quote from tradingbug:

I know i have asked this before but I wanted to make sure. Is the spread the largest at the beginning of rollover or towards expiration date?
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I presume you're talking about the spread between futures and the cash market? As futures contracts get closer to maturity they converge with the cash market.

So in answer to your question, largest at the beginning of contract, theoretically near zero at maturity . . .
 
Quote from Insearch:

I presume you're talking about the spread between futures and the cash market? As futures contracts get closer to maturity they converge with the cash market.

So in answer to your question, largest at the beginning of contract, theoretically near zero at maturity . . .
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Sorry...let me be more specific. The spread from old futures contract and new futures contract. The new futures contract just started trading today and their is a 4 point spread between the old and new one.
 
Quote from EdgeHunter:

Rollover is tomorrow as far as i know...

All Prop and Pro traders roll over to Sep tonight for tomorrow...

But not sure when AMT rolls his work over...

need to know that...
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Yes......rollover is today (for me too for positions held......worked out of old contracts last night and into new contract now). :)
 
Quote from AMT4SWA:

Yes......rollover is today (for me too for positions held......worked out of old contracts last night and into new contract now). :)
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AMT... at this point, would you add 4.0 pts to ESM09 contract point values when looking at the delta zones when trading ESU09?

What would be the adjustment for ESH09 contract point values when considering ESU09?
 
Quote from stoneface:

AMT... at this point, would you add 4.0 pts to ESM09 contract point values when looking at the delta zones when trading ESU09?

What would be the adjustment for ESH09 contract point values when considering ESU09?
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Maybe subtract 4pts..
 
Quote from stoneface:

AMT... at this point, would you add 4.0 pts to ESM09 contract point values when looking at the delta zones when trading ESU09?

What would be the adjustment for ESH09 contract point values when considering ESU09?
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Upper most delta zone is at 949.50 to 953.50 :)

Primary zone to pay attention to below is 876's to 872.75 now. :)
 
I don't even know how to properly ask this question...

OK AMT how is the volume handled here with this rollover...

There is a ton of volume now flowing into the ES U9 contract making the move up today have a higher delta then previous days in the ES U9... which is an aberration... so..

how do we handle that... :confused:
 
Just so everything makes sense to all.......there has been a lot of range running price action the past few days and this is activity used as those holding large positions shift over holdings to new contracts (dump old contracts at one level and add position back in with new contract at better pricing levels). A good way to handle this when you are holding a SHORT position for instance, is to exit all held positions with a LONG signal and then add the position to the new contract (scaling in) as price trades in your intended direction.......you can at times get very nice position cost basis adjustment doing this. You can also break this action into 3 or 4 separate trades (doing a 3'rd or 4'th of the position with each adjustment trade). :)
 
Quote from EdgeHunter:

I don't even know how to properly ask this question...

OK AMT how is the volume handled here with this rollover...

There is a ton of volume now flowing into the ES U9 contract making the move up today have a higher delta then previous days in the ES U9... which is an aberration... so..

how do we handle that... :confused:
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Easy........keep watching BOTH contracts until net short position is neutralized or until we bust through the 880's-876.75 (old contract) level. Once this happens for the most part you can then just watch the new contract going forward. :)
 
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