So FV is defined like here :
http://www.indexarb.com/fairValueDecomposition.html
What changes your intraday bias ?
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So FV is defined like here :
http://www.indexarb.com/fairValueDecomposition.html
What changes your intraday bias ?
No, read the above post to surf. "FV" has some things in common with the FV in indexarb etc, but it is far more sophisticated for lack of a better word.
I will not take a position against "FV". However, if I have an existing position, and an event occurs that I believe will cause a move against that position and therefore "FV", I may add deltas against the direction of the core position temporarily to defend the core position. On other occassions I take the pain and decide on a level where I want to add to a position that is likely losing. Depends on momentum and global macro, time of month, etc etc.
SPX coming within the ballpark "FV" is the only thing that can change my core position, a happy occassion because it almost always means profit. I always go through neutral.
"FV" ~815.
Oil futures holding up pre-market, but if you have a position, and oil inventories hold no surprises, watch out to downside.
No IR auctions today.
Light news. Import export prices, and business inventories.
Imo the little gap fill of 878 - 882 is imminent today or soon thereafter. The hard question is what do you (I) do if the gap fills, and "FV" continues to collapse. How greedy do you get?
Oil futures holding up pre-market, but if you have a position, and oil inventories hold no surprises, watch out to downside.
No IR auctions today.
Light news. Import export prices, and business inventories.
Imo the little gap fill of 878 - 882 is imminent today or soon thereafter. The hard question is what do you (I) do if the gap fills, and "FV" continues to collapse. How greedy do you get?
Saw size go off in SPX deep calls. For those that don't understand options trading, if that is an unhedged trade, it is very bullish. If it is hedged, in effect the deep call is treated as a put, and it is not bullish. Unfortunately I don't know if it is hedged or not.
Given where we are, near the gap fill, I would say take profits if short. However, "FV" is collapsing further and is now ~800!.
Very very tough....
Given where we are, near the gap fill, I would say take profits if short. However, "FV" is collapsing further and is now ~800!.
Very very tough....
"FV" little changed from yesterday's closing post above, ~800.
Pre-market SIFs are mixed. I don't like selling SPX (ES) with NQ green. That is a rule though to myself.
Oil futures back inline with the dog.
No auctions but some TB announcements. On the news front we have PPI and Jobless claims.
Even with the selloff yesterday, we are 80 handles or so from "FV". Normally that is a no brainer to enter a trade looking for convergence. SPX held and never gap filled yesterday. Close, but no cigar. Let's see how this develops. I would say if we lose 878, ignore the deep call trade we saw yesterday and go with the market. Watch 872 support. For me, I need NQ to cooperate. I won't sell (ES with) a green NQ.
Pre-market SIFs are mixed. I don't like selling SPX (ES) with NQ green. That is a rule though to myself.
Oil futures back inline with the dog.
No auctions but some TB announcements. On the news front we have PPI and Jobless claims.
Even with the selloff yesterday, we are 80 handles or so from "FV". Normally that is a no brainer to enter a trade looking for convergence. SPX held and never gap filled yesterday. Close, but no cigar. Let's see how this develops. I would say if we lose 878, ignore the deep call trade we saw yesterday and go with the market. Watch 872 support. For me, I need NQ to cooperate. I won't sell (ES with) a green NQ.
So, what do you recommend `? Strangle, straddle ?
You could certainly do that, as this is an unstable point. I would never do a naked straddle/strangle, long or short. You could have for example, sold the ES ATM straddle and bought the NQ ATM straddle, vega and delta neutral across position. There is an huge number of things like this that option spreads allow. But that is not so simple. I would categorize this as "aggressive". Sitting on hands is often the right thing to do.