Kudos to MMs

NFV 1113.41. ANFV 1176.82. SPX 1175.27.

Nothing to do. ANFV has converged towards SPX after headfaking us, so everything that can go wrong, has gone wrong.
 
NFV 1113.15. ANFV 1175.16. SPX 1,173.18.

Edge is 60. Therefore take profits on the 70 units on a crossdown to 60 edge. Still have six short.
 
We got close to taking profits on the NFV "60" units when SPX went to 1166.71. At that time, NFV was about 1113.xx, so we needed only three more handles to the downside to exit those units (remember, we use the previous chain value, or 50, to exit the higher chain position). Close, but no cigar. The thing to note is how easy it is to exit a slew of these short units on a decent SPX down day. On say down 20, we would probably go back to 2 or 3 units, unless NFV itself was cratering. A problem I would love to have.

As far as the ANFV daytrade, we have 30 minutes to converge, with ANFV at 1176.98 and SPX at 1,170.24. So odds are low. It remains to be seen whether this is a loser or profitable by then. Right now it is B/E.
 
Quote from nitro:

...
As far as the ANFV daytrade, we have 30 minutes to converge, with ANFV at 1176.98 and SPX at 1,170.24. So odds are low. It remains to be seen whether this is a loser or profitable by then. Right now it is B/E.
More...

NFV 1113.19. ANFV 1177.52. SPX 1173.84.

Ding ding ding. The ANFV directed daytrade wins about 3.5.

I started with 5 divergence for ANFV daytrades, and then let the market calibrate me with respect to a model. Right now, 5 divergence appears too aggressive, and 7 divergence appears just right. I will move it to 6 divergence as of tomorrow as a short term compromise.
 
Code: 
[B]Date         Action    Quant Price   Position  Basis    Realized G/L
09/02/10     Short     -1    1089.00    -1    1089.00    
09/03/10     Short     -1    1104.00    -2    1096.50    
09/09/10     Short     -1    1107.00    -3    1100.00    
09/13/10     Short     -1    1121.75    -4    1105.44    
09/15/10     Cover     +2    1116.75    -2    1105.44     (22.63)
09/16/10     Cover     +1    1118.00    -1    1105.44     (12.56)
09/17/10     Short     -1    1133.00    -2    1119.22    
09/20/10     Short     -1    1142.50    -3    1126.98    
09/23/10     Cover     +1    1124.00    -2    1126.98     2.98 
09/24/10     Short     -1    1140.68    -3    1131.55    
09/24/10     Short     -1    1146.62    -4    1135.31    
09/28/10     Cover     +1    1133.19    -3    1135.31     2.12 
09/28/10     Short     -1    1145.05    -4    1137.75    
10/04/10     Cover     +1    1138.43    -3    1137.75     (0.68)
10/05/10     Short     -1    1152.90    -4    1141.54    
10/08/10     Short     -1    1160.59    -5    1145.35    
10/11/10     Short     -1    1167.63    -6    1149.06	
10/13/10     Short     -1    1180.86    -7    1153.60    
11/14/10     Cover     +1    1173.18    -6    1153.60	 (19.58)
                                               Total     (50.34)
                       
SPX    1170.70    Unrealized Gain/Loss         (102.58)


Daytrades				

  Date       Open      Trade     Close      Gain/Loss
10/13/10     1175.8    Short     1178.11     (2.31)
10/14/10     1170.7    Long      1173.84      3.14
[/B]
 
Quote from nitro:

....I started with 5 divergence for ANFV daytrades, and then let the market calibrate me with respect to a model. Right now, 5 divergence appears too aggressive, and 7 divergence appears just right. I will move it to 6 divergence as of tomorrow as a short term compromise.
More...
Of course, the right answer is that the divergence that constitutes "edge" is a function of something like VIX. It can't be a hardwired number. However, right now we are getting "theory."
 
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