Kudos to MMs

Quote from Maverick74:

Nitro, are you still short 4 units?
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He is not going to reply.
1) If the market tanks, he will claim to exit.
2) If the market never reaches that level, he will ignore your question forever.
 
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Quote from nitro:

02/09/2012 10:47:07 OFV = 1349.99356894389 Buy to Open at 1347.43 Spread = 2.5
02/09/2012 10:50:10 OFV = 1349.44395726807 Sell to Close SPX at 1349.29 Spread = 2.5
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Calculated to EIGHT decimal places? :confused:
 
02/10/2012 08:52:50 OFV = 1342.93241683992 Buy to Open at 1341.59 Spread = 1.25
02/10/2012 08:54:02 OFV = 1342.139726912 Sell to Close SPX at 1341.9 Spread = 1.25
02/10/2012 08:58:56 OFV = 1341.54996747153 Buy to Open at 1340.2 Spread = 1.25

Note that the take-action spread has dropped to 1.25. That is because VIX > 20.
 
02/10/2012 09:27:27 OFV = 1340.18330953619 Sell to Close SPX at 1339.93 Spread = 1.25
02/10/2012 09:28:08 OFV = 1340.85089535745 Buy to Open at 1339.54 Spread = 1.25
02/10/2012 09:30:56 OFV = 1339.63773071034 Sell to Close SPX at 1340.1 Spread = 1.25

Even with a spread of 1.25 (as opposed to 2.50), the number of trades increases quite a bit, and you get silly trades that take action one second apart. 1.25 may be too low on a VIX of 20. The VIX threshold for 1.25 may need to be increased to VIX 23 or higher.
 
Quote from nitro:

SPX, 1338.52. FV, 1135.86. OFV, 1340.49. POFVF, 1247.90.
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Nitro, are you still short 4 units? I'm just curious because you keep posting the fair value numbers.
 
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