Kudos to MMs

"NFV" 1107.16. SPX 1116.39. Small short edge. Only the most aggressive traders take >/< +/- 7. >/< +/- 14 is a reasonable compromise, but you get less trades and less risk. >/< +/- 24 is a must trade.
 
Quote from shortie:

what are the relative frequencies of occurrence of 7/14/24?
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24 happens once every couple of months, 14 happens at least once a month, and 7 happens a few times a week. A high VIX means you are going to see it all with far more frequency.

Knowing how to trade 7 is by far the hardest. It is mostly to be used overnight (wait until the the cash close and then pick a spot after the futures reopen) or for skillful intra-day traders with a high VIX, and to scale into a position on a lower VIX.
 
Quote from nitro:

"NFV" 1107.16. SPX 1116.39. Small short edge. Only the most aggressive traders take >/< +/- 7. >/< +/- 14 is a reasonable compromise, but you get less trades and less risk. >/< +/- 24 is a must trade.
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What are the probs of being right for 7,14, and 24, and hold time particularly for 7?
 
Quote from tradingjournals:

What are the probs of being right for 7,14, and 24, and hold time particularly for 7?
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For 7, since you are most often taking the trade in the overnight session, the hold period is almost always a few hours and you are almost always out sometime before 2:00 AM CT. The odds are very reasonable and I would say you are 70:30 to have a four handle win. On the other hand, it is the part of the system that is most likely to stop working.

The others, the recovery rate is nearly 100%, but the risk is much higher since it can go from 14 to 24, to 32, in the meantime you may have added at 24, so you are adding to a losing position that is going pretty hard against you. In literally every instance this has happened, SPX has converged towards NFV and the profits have been stunning. However, one day it will go 40, 50, and at some point you have to throw in the towel. It is important to note that even during extreme cases like the "Flash Crash" I never saw anything more than 35, so that could be a point of reference on when something has gone wrong.

The entry is easy, it is the risk management that requires extreme discipline - don't take profits too fast, add at disciplined points, and then be ready to take a painful loss when things have gone really awry. Notice that 14 and then add 24 and then exit at 35 requires you to be able to withstand a 32 handle loss, or 32 * $50 = $1600 (assuming no monster gaps which can be catastrophic). If we use the "never risk more than 1% of your account on a 'single' trade" rule, you "should" have a $160,000 account to trade this 14/24/out >35 system. The 7 can be done on a much smaller account.

Success is a combination of courage and edge and discipline, and of course, a little bit of luck or at least no bad luck.
 
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