Kudos to MMs

05/07/2012 11:58:31 OFV = 1373.80 Buy to Open at 1370.49 Spread = 3
05/07/2012 13:00:21 OFV = -1011.84 Sell to Close SPX at 1373.08
05/07/2012 13:38:02 OFV = 1374.98 Buy to Open at 1371.9 Spread = 3
05/07/2012 14:26:23 OFV = 1371.78 Sell to Close SPX at 1371.69 Spread = 3
 
05/08/2012 09:08:22 OFV = 1360.59 Buy to Open at 1357.28 Spread = 3
05/08/2012 09:59:11 OFV = 1351.90 Sell to Close SPX at 1351.85 Spread = 2.5
05/08/2012 10:43:29 OFV = 1355.20 Buy to Open at 1352.05 Spread = 2.5
05/08/2012 13:00:14 OFV = -1005.96 Sell to Close SPX at 1354.62
05/08/2012 13:41:49 OFV = 1354.55 Sell to Open at 1357.38 Spread = 2.5
05/08/2012 13:56:41 OFV = 1358.58 Buy to Close SPX at 1358.76 Spread = 3
05/08/2012 14:20:00 OFV = 1358.88 Sell to Open at 1362.03 Spread = 3
05/08/2012 15:00:14 OFV = 1359.79 Buy to Close SPX at 1364.04
 
Does anyone know where I can get the ebook "Who wants to be a stock millionaire by secret Mentalism method".I had it in my email sometime back and it was extremely good strategy. But I cannot find it now. Help!
 
05/09/2012 09:13:30 OFV = 1345.27 Sell to Open at 1349.54 Spread = 2.5
05/09/2012 09:17:43 OFV = 1346.75 Buy to Close SPX at 1346.29 Spread = 2.5
05/09/2012 09:39:18 OFV = 1343.88 Sell to Open at 1347.4 Spread = 2.5
05/09/2012 10:31:31 OFV = 1355.41 Buy to Close SPX at 1355.74 Spread = 2.5
05/09/2012 11:06:54 OFV = 1359.55 Buy to Open at 1356.27 Spread = 3
05/09/2012 11:50:41 OFV = 1354.63 Sell to Close SPX at 1354.62 Spread = 2.5
05/09/2012 11:59:40 OFV = 1353.17 Sell to Open at 1355.74 Spread = 2.5
05/09/2012 12:20:31 OFV = 1355.79 Buy to Close SPX at 1356.05 Spread = 2.5
05/09/2012 14:18:24 OFV = 1354.09 Sell to Open at 1356.69 Spread = 2.5
05/09/2012 14:54:23 OFV = 1356.06 Buy to Close SPX at 1356.21 Spread = 2.5
 
From time to time, I get PMs asking me to explain what this all means. Lets take a couple of entries from yesterday:

05/09/2012 09:39:18 OFV = 1343.88 Sell to Open at 1347.4 Spread = 2.5
05/09/2012 10:31:31 OFV = 1355.41 Buy to Close SPX at 1355.74 Spread = 2.5
05/09/2012 11:06:54 OFV = 1359.55 Buy to Open at 1356.27 Spread = 3
05/09/2012 11:50:41 OFV = 1354.63 Sell to Close SPX at 1354.62 Spread = 2.5

So the firtst column is time and is obvious. OFV is a model based on top of a FAIR VALUE "FV" model for the SP500. If you look back in this thread, you will see "FV" figures for the SP, which stands currently around 1200 SPX. I no longer post this number since it takes years to play out. The added "O" in front of FV is there for historical reasons, in that it stands for "Optimistic". This is a model that mostly correctly accounts for the added inflationary pressures on SPX due to the FED. On top of that, the model is self-calibrating during the day.

The next column are entries and is obvious. The last value is the Spread. This is how much edge (difference) above or below SPX by OFV we need in order to enter. It is driven by the level of VIX. The biggest the spread value can take is 3, and the smallest is 1.5. So if VIX is below 20, the model needs a spread of three between OFV and SPX to enter. If the spread between SPX and OFV falls back within a certain threshold (about .5 and is hard wired in the program), the trade is closed. The spread trigger goes lower the higher VIX goes, with a VIX above 30 the spread goes to its lowest value of 1.5.

So take the first line above. That means that at 9:39:18 CT, the OFV was at 1343.88. The SPX was at 1347.40. Since VIX was >20 at that time, the Spread needs to be >= +/- 2.5 ( as the last column shows) in order to be considered edge . Well, since 1347.40 - 1343.88 >= 2.5, and OFV is below SPX, we go short. On the second line, the spread between SPX and OFV converges (to within .5), so we close the trade (for a loss :( ). And so on...
 
05/10/2012 08:58:49 OFV = 1368.19 Buy to Open at 1365.07 Spread = 3
05/10/2012 10:31:09 OFV = -998.61 Sell to Close SPX at 1360.23
05/10/2012 10:43:11 OFV = 1364.09 Buy to Open at 1360.69 Spread = 3
05/10/2012 12:05:07 OFV = 1363.41 Sell to Close SPX at 1363.15 Spread = 3
05/10/2012 12:25:02 OFV = 1366.97 Buy to Open at 1362.93 Spread = 3
05/10/2012 13:00:15 OFV = -998.69 Sell to Close SPX at 1360.88
05/10/2012 14:30:30 OFV = 1356.88 Sell to Open at 1360.16 Spread = 3
05/10/2012 14:47:25 OFV = 1357.45 Buy to Close SPX at 1357.46 Spread = 3
 
05/11/2012 09:08:46 OFV = 1359.48 Buy to Open at 1356.3 Spread = 3
05/11/2012 09:31:56 OFV = 1360.98 Sell to Close SPX at 1361.6 Spread = 3
05/11/2012 10:20:32 OFV = 1360.73 Sell to Open at 1363.74 Spread = 3
05/11/2012 10:31:34 OFV = -996.01 Buy to Close SPX at 1364.42
05/11/2012 10:53:52 OFV = 1365.94 Buy to Open at 1362.46 Spread = 3
05/11/2012 12:33:27 OFV = 1361.02 Sell to Close SPX at 1360.93 Spread = 3
05/11/2012 14:08:27 OFV = 1358.41 Buy to Open at 1355.39 Spread = 3
05/11/2012 14:30:05 OFV = 1356.77 Sell to Close SPX at 1356.74 Spread = 3
05/11/2012 14:41:27 OFV = 1357.99 Buy to Open at 1354.7 Spread = 3
05/11/2012 15:00:25 OFV = 1357.55 Sell to Close SPX at 1353.76
 
05/14/2012 09:05:18 OFV = 1337.83 Sell to Open at 1340.38 Spread = 2.5
05/14/2012 09:09:28 OFV = 1338.50 Buy to Close SPX at 1338.22 Spread = 2.5
05/14/2012 09:14:15 OFV = 1339.43 Buy to Open at 1336.93 Spread = 2.5
05/14/2012 09:16:38 OFV = 1337.75 Sell to Close SPX at 1337.66 Spread = 2.5
05/14/2012 09:41:48 OFV = 1337.8 Sell to Open at 1340.43 Spread = 2.5
05/14/2012 09:44:10 OFV = 1339.32 Buy to Close SPX at 1339.67 Spread = 2.5
05/14/2012 09:51:56 OFV = 1338.35 Sell to Open at 1341.09 Spread = 2.5
05/14/2012 10:10:38 OFV = 1340.42 Buy to Close SPX at 1340.7 Spread = 2.5
05/14/2012 10:25:38 OFV = 1340.41 Sell to Open at 1343.23 Spread = 2.5
05/14/2012 10:31:02 OFV = -982.94 Buy to Close SPX at 1344.91
05/14/2012 10:37:40 OFV = 1347.05 Buy to Open at 1344.11 Spread = 2.5
05/14/2012 12:54:56 OFV = 1346.98 Sell to Close SPX at 1347.32 Spread = 2.5
05/14/2012 13:12:22 OFV = 1349.30 Buy to Open at 1346.51 Spread = 2.5
05/14/2012 15:00:30 OFV = 1342.84 Sell to Close SPX at 1338.01
 
05/17/2012 08:59:17 OFV = 1318.57 Sell to Open at 1321.16 Spread = 2.5
05/17/2012 09:01:40 OFV = 1318.77 Buy to Close SPX at 1317.8 Spread = 2.5
05/17/2012 09:02:22 OFV = 1318.80 Buy to Open at 1315.58 Spread = 2.5
05/17/2012 10:31:34 OFV = -962.25 Buy to Close SPX at 1318.31
05/17/2012 10:36:23 OFV = 1319.06 Buy to Open at 1315.2 Spread = 2.5
05/17/2012 10:41:10 OFV = 1314.59 Sell to Close SPX at 1316.18 Spread = 2.5
05/17/2012 10:53:49 OFV = 1313.31 Sell to Open at 1316 Spread = 2.5
05/17/2012 11:06:58 OFV = 1312.12 Buy to Close SPX at 1312.12 Spread = 2.5
05/17/2012 11:23:06 OFV = 1311.31 Sell to Open at 1314.46 Spread = 2.5
05/17/2012 11:47:08 OFV = 1315.22 Buy to Close SPX at 1315.42 Spread = 2.5
05/17/2012 12:07:33 OFV = 1315.24 Sell to Open at 1317.96 Spread = 2.5
05/17/2012 12:23:43 OFV = 1318.39 Buy to Close SPX at 1318.54 Spread = 2.5
05/17/2012 12:30:17 OFV = 1320.17 Buy to Open at 1317.43 Spread = 2.5
05/17/2012 13:00:04 OFV = -961.20 Sell to Close SPX at 1315.77
05/17/2012 14:02:49 OFV = 1311.00 Sell to Open at 1313.8 Spread = 2.5
05/17/2012 14:09:58 OFV = 1310.47 Buy to Close SPX at 1310.7 Spread = 2.5
05/17/2012 14:12:20 OFV = 1309.27 Sell to Open at 1312.02 Spread = 2.5
05/17/2012 14:23:04 OFV = 1311.94 Buy to Close SPX at 1312.19 Spread = 2.5
05/17/2012 14:28:25 OFV = 1308.68 Sell to Open at 1311.26 Spread = 2.5
05/17/2012 14:32:00 OFV = 1309.73 Buy to Close SPX at 1309.71 Spread = 2.5

Some days are magical.
 
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