Kudos to MMs

FV 1215.65. SPX 1,222.90.

SPX is holding about 7 above FV. One interesting thing that always goes through my mind is, if FV is extremely accurate, and SPX is within say 1 of some very exact value of what it should be, what in my model inputs or otherwise is not accounting for those ~6 points?

It could be rounding error, or simply momentum noise...If FV stays withing seven of SPX giving us enough edge to enter given the risk, and then SPX congerges to FV more often than not at or below entry, we have arrived.
 
Quote from nltro:

GTS, can you update the accounting? Guessing close to 500 handles debit at this point....
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I'm not planning on posting this anymore since Nitro has ended posting NFV but here it is one more time:

Short 7 units (max position)
Basis=1159.94
Realized gain/loss= -60.60 (since 9/2)
Unrealized gain/loss= - 441.44 (SPX @ 1223.00)

So yes, 500 handle loss.
 
Quote from GTS:

I'm not planning on posting this anymore since Nitro has ended posting NFV but here it is one more time:

Short 7 units (max position)
Basis=1159.94
Realized gain/loss= -60.60 (since 9/2)
Unrealized gain/loss= - 441.44 (SPX @ 1223.00)

So yes, 500 handle loss.
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Not bad for what started out as a SEVEN handle profit target.
 
It is possible that I may be underestimating the effects of the Money multiplier (MM), or at least the markets [mis]perception of it:

http://en.wikipedia.org/wiki/Money_creation

I look at my equations and it should be in there, but it may not be 100%, and may account for the continued underestimate of FV to SPX.

I don't understand how the MM would differ in a fiscal stimulus vs a direct stimulus like QE. For example, what if instead of printing money, the government cut taxes. Is what we (from a market colored glasses) see the same then?
 
Quote from nitro:

It is possible that I may be underestimating the effects of the Money multiplier (MM),
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It is very probable. I swear I was contemplating to post that you need to add a Bernanke Multiplier when I saw your post. The BM should be at least 1.15 or so and that would put FV above the SPX.
 
I see where I am missing some potential values for SPX. The market is anticipating some stuff. I have given conservative values to these events, and in doing so fair value would have gone out on Friday at

FV 1224.42.

Very close. The events added about 15 handles to where FV would be without it for Monday on Friday. It is very speculative, and it is the only sequence of numbers in the model that are based on statistical analysis of the anticipation of values of future events. I don't like it, but it makes perfect sense. One thing is for sure, it often gives the model a kick in the ass higher early in the day and it may be lower EOD. How to decay the values is still somewhat obscure to me as the events are discounted as the day progresses. I will probably do what option market makers do with time, discount the day continuously as the day decays once a second. This gives a bias higher early in the day, and lower toward the end of the day for todays values. I don't like this either, but I have to try something until a better idea comes along.

The upshot is that FV will jump around a little bit more from your point of view since you only see discreet posts, whereas the program is discounting the values in continuously as the future becomes the present becomes the past. You may wonder what value it has since we end the day at FV without these number? [Potentially] Better timing, huge for daytrades.
 
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