Kudos to MMs
- Thread starter nitro
- Start date
02/14/2012 11:58:47 OFV = 1345.12 Sell to Close SPX at 1344.84 Spread = 2.5
02/14/2012 12:13:51 OFV = 1343.64 Sell to Open at 1343.98 Spread = 0
02/14/2012 12:16:53 OFV = 1344.01 Buy to Close SPX at 1344 Spread = 1.25
02/14/2012 12:19:16 OFV = 1342.72 Sell to Open at 1344.18 Spread = 1.25
02/14/2012 12:20:28 OFV = 1343.73 Buy to Close SPX at 1343.93 Spread = 1.25
02/14/2012 12:24:42 OFV = 1342.55 Sell to Open at 1344.07 Spread = 1.25
02/14/2012 13:00:29 OFV = -923.04 Buy to Close SPX at 1345.56
02/14/2012 13:04:37 OFV = 1346.85 Buy to Open at 1345.5 Spread = 1.25
02/14/2012 13:06:59 OFV = 1345.83 Sell to Close SPX at 1345.71 Spread = 1.25
02/14/2012 13:11:07 OFV = 1346.27 Buy to Open at 1344.84 Spread = 1.25
02/14/2012 13:15:52 OFV = 1345.38 Sell to Close SPX at 1345.05 Spread = 1.25
02/14/2012 13:18:19 OFV = 1345.80 Buy to Open at 1344.38 Spread = 1.25
02/14/2012 13:21:54 OFV = 1344.42 Sell to Close SPX at 1344.12 Spread = 1.25
02/14/2012 13:23:06 OFV = 1345.34 Buy to Open at 1343.93 Spread = 1.25
02/14/2012 13:37:31 OFV = 1342.05 Sell to Close SPX at 1341.83 Spread = 1.25
02/14/2012 13:40:28 OFV = 1341.27 Sell to Open at 1342.54 Spread = 1.25
02/14/2012 14:24:31 OFV = 1340.81 Buy to Close SPX at 1340.83 Spread = 1.25
02/14/2012 14:27:49 OFV = Sell to Open at 1341.82 Spread = 1.25
02/14/2012 12:13:51 OFV = 1343.64 Sell to Open at 1343.98 Spread = 0
02/14/2012 12:16:53 OFV = 1344.01 Buy to Close SPX at 1344 Spread = 1.25
02/14/2012 12:19:16 OFV = 1342.72 Sell to Open at 1344.18 Spread = 1.25
02/14/2012 12:20:28 OFV = 1343.73 Buy to Close SPX at 1343.93 Spread = 1.25
02/14/2012 12:24:42 OFV = 1342.55 Sell to Open at 1344.07 Spread = 1.25
02/14/2012 13:00:29 OFV = -923.04 Buy to Close SPX at 1345.56
02/14/2012 13:04:37 OFV = 1346.85 Buy to Open at 1345.5 Spread = 1.25
02/14/2012 13:06:59 OFV = 1345.83 Sell to Close SPX at 1345.71 Spread = 1.25
02/14/2012 13:11:07 OFV = 1346.27 Buy to Open at 1344.84 Spread = 1.25
02/14/2012 13:15:52 OFV = 1345.38 Sell to Close SPX at 1345.05 Spread = 1.25
02/14/2012 13:18:19 OFV = 1345.80 Buy to Open at 1344.38 Spread = 1.25
02/14/2012 13:21:54 OFV = 1344.42 Sell to Close SPX at 1344.12 Spread = 1.25
02/14/2012 13:23:06 OFV = 1345.34 Buy to Open at 1343.93 Spread = 1.25
02/14/2012 13:37:31 OFV = 1342.05 Sell to Close SPX at 1341.83 Spread = 1.25
02/14/2012 13:40:28 OFV = 1341.27 Sell to Open at 1342.54 Spread = 1.25
02/14/2012 14:24:31 OFV = 1340.81 Buy to Close SPX at 1340.83 Spread = 1.25
02/14/2012 14:27:49 OFV = Sell to Open at 1341.82 Spread = 1.25
I did not change the code to reflect the more conservative spread values based on VIX. Hence, all the trades above when VIX went over 20. The [intuitively] right curve is given in a post somewhere above.
I am storing all the spread timeseries to a SQL server database for later study as to what the optimal spread is empirically, based on different criteria than just VIX level.
Code:
protected double GetSpread(Dictionary quotes)
{
double retVal = 0.0;
double VIX = quotes["^VIX"].Item2;
if (VIX > 25 && VIX < 30)
retVal = .5;
else if (VIX > 20 && VIX < 25)
retVal = 1.25;
else if (VIX < 20)
retVal = 2.5;
return retVal;
}I am storing all the spread timeseries to a SQL server database for later study as to what the optimal spread is empirically, based on different criteria than just VIX level.
You dropped 9 points here. Rarely do any of your trades make 9 points. Its telling you something, Nitro. The money is talking to you, but you aren't listening.
