Kudos to MMs

03/15/2012 09:16:06 OFV = 1398.87 Buy to Open at 1394.75 Spread = 3
03/15/2012 09:17:18 OFV = 1389.54 Sell to Close SPX at 1396.27 Spread = 3
03/15/2012 09:19:06 OFV = 1389.58 Sell to Open at 1397.47 Spread = 3
03/15/2012 09:20:18 OFV = 1399.59 Buy to Close SPX at 1397.71 Spread = 3
03/15/2012 09:25:49 OFV = 1400.36 Buy to Open at 1397.32 Spread = 3
 
03/15/2012 10:31:35 OFV = -1017.82 Sell to Close SPX at 1397.95
03/15/2012 10:42:22 OFV = 1400.132 Buy to Open at 1397.12 Spread = 3
 
03/15/2012 11:23:14 OFV = 1401.54 Sell to Close SPX at 1401.27 Spread = 3
03/15/2012 11:40:14 OFV = 1407.56 Buy to Open at 1401.04 Spread = 3

That jump from 1401.54 to 1407.56 is suspicious. But bad data is part of trading. I need to add data redundancy.
 
03/16/2012 08:55:25 OFV = 1406.87 Buy to Open at 1403.65 Spread = 3
03/16/2012 09:12:04 OFV = 1402.93 Sell to Close SPX at 1402.97 Spread = 3
03/16/2012 09:23:33 OFV = 1405.62 Buy to Open at 1402.01 Spread = 3
03/16/2012 09:27:46 OFV = 1402.69 Sell to Close SPX at 1402.56 Spread = 3
03/16/2012 09:47:11 OFV = 1396.20 Sell to Open at 1404.57 Spread = 3
03/16/2012 10:31:30 OFV = -1033.5 Buy to Close SPX at 1403.76
03/16/2012 10:59:39 OFV = 1401.51 Sell to Open at 1404.96 Spread = 3
03/16/2012 11:49:39 OFV = 1405.06 Buy to Close SPX at 1405.36 Spread = 3
03/16/2012 14:12:47 OFV = 1406.72 Buy to Open at 1403.59 Spread = 3
03/16/2012 15:00:22 OFV = 1418.65 Sell to Close SPX at 1403.65
 
Quote from GTS:

With SPX at 1390

<table border="1"><tr><th>Date</th><th>Action</th><th>Price</th><th>Units</th><th>PnL</th></tr><tr><td>Dec 20, 2011</td><td>Sell to Open SPX</td><td>1229.89</td><td>2</td><td>-320</td></tr><td>Jan 11, 2012</td><td>Sell to Open SPX</td><td>1288.60</td><td>1</td><td>-100</td></tr><td>Jan 25, 2012</td><td>Sell to Open SPX</td><td>1321.20</td><td>1</td><td>-70</td></tr></table>
Unrealized losses : 490 points
More...

How much money would that represent ? What kind of margin requirement must Nitro have to hold this position indefinately ?
 
03/19/2012 08:57:28 OFV = 1409.65 Buy to Open at 1406.65 Spread = 3
03/19/2012 10:31:06 OFV = 1.79769313486232E+308 Sell to Close SPX at 1406.42
 
Quote from nitro:

03/19/2012 08:57:28 OFV = 1409.65 Buy to Open at 1406.65 Spread = 3
03/19/2012 10:31:06 OFV = 1.79769313486232E+308 Sell to Close SPX at 1406.42
More...

Oh dear...just when I thought the top is near.

Anyway, the model has no credibility. Selling because OFV got as BIG as the universe makes little sense.

:D
 
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