please share SSF intraday experiences

OneChicago seems to be not as bad as they were in the beginning about going down. It would be nice if the Single Stock Futures could all trade like the E-minis around the clock.

You can get 10 minute snapshots from OneChicago during the day for free. They list other sources for market data on their site:


10-minute snapshot quotes are available on OneChicago's Web site during regular trading hours.

Real-time and delayed price feeds for OneChicago products are also available through a number of different quote vendors. Vendors licensed to provide OneChicago market data currently include:

Data Vendor Contact Information
Belzberg Technologies, Inc. 416-360-1812
www.belzberg.com

Bloomberg 212-318-2000
www.bloomberg.com

ComStock 800-431-5019
www.comstock-interactivedata.com

CQG, Inc. 800-525-7082
www.cqg.com
salesusa@cqg.com (e-mail)

Data Transmission Network (DTN) 800-485-4000
www.dtn.com

eSignal 800-322-1339
www.esignal.com
customerservice@eSignal.com (e-mail)

FutureSource 800-621-2628
www.futuresource.com

Moneyline Telerate 800-997-9497
www.moneyline.com
info@moneyline.com (e-mail)

Reuters 800-REUTERS (opt. 6)
www.reuters.com
cmc.NewBusiness@reuters.com (e-mail)

Thomson Financial - ILX 888-644-5993 (sales)
800-225-5459 (customer support)
www.thomsonfinancial.com
sales@ILX.com (e-mail)

TrackData 212-943-4555
www.trackdata.com

TradeStation Technologies 800-808-9336
www.tradestation.com
 
well today I made my first trade in these SSF's MSFT NQLX May 03.
I never traded the stock either, hardly watch it . I slipped back into bad old daytrading habits, expecting a quick breakout on the 1min. I got out on a wiggle to breakeven. Incidentally I also liquidated part of my QQQ position of yesterday on this wiggle at 27.90 !

bot 1 25.95 10:30ish
bot 1 26.01 10:40
sold 2 25.98 10:42

it broke out for good soon after I sold but the stock moved only 20c. The spread is usually 4 cents but I have seen it 6 cents wide. As far as I am concerned I won't get back into daytrading individual issues because of SSF's. I am too used to one penny spread, tired of figuring out a stock and honestly I think scalping SSF's is as it is now a suckers game.

BTW QQQ fut spread is crap for intraday trading, for overnight there is a big problem: trading hours (8:30-4pm)
 
Well your entire adventure today spanned 12 minutes, and you basically got your first taste of it for the cost of commission on two contracts.

If you can increase your time frame to a few hours or even a few days, you might find some satisfaction with SSF.

MSFT is a good one to start out with, but when you're ready to move up to MXIM, QLGC, QCOM, KLAC, NVLS, LLTC, you'll find some good opportunities for profits almost every day.
 
Just made my first SSF attempt today (trying to capture dividend).

Sold 1 MO June SSF @ 30.62
Bought 100 MO at 31.09

Difference = -0.47

Dividend = 0.64
Ex-Dividend in early June (hopefully!)

Commission = $2.00

Net profit = $15 (unless they cancel the dividend)

Annual rate = 1.93%

Whoop-di-do...
 
Not bad but not exactly (especially if interest rates get increased)....

The June forward should be higher by the amount of interest you would otherwise earn with the $3000 bucks you could earn in the bank. ie. 3000 * int rate * #days/365) less dividends

i don't have exact numbers but take 3000 *.03 (50/365) = 12 bucks.

another way to look at it 30.40 (price of the stock) * 1.03 * 50/365 = 12 cents

(i'm assuming 3% int rates and 50 days of interest)
 
Def -- Thanks for the recalculation.

What I am wondering is: Once the stock goes ex-dividend, will the price of the SSF increase by the amount of the dividend? I thought it would have to, which basically means this is not an interesting play at all.

But looking at GM SSFs (May and June), I noticed that the June SSF is only about $0.05 higher than the May SSF, so maybe I am wrong about the dividend going back into the SSF price ex-dividend.

In that case, then I can effectively capture the dividend with no risk (less the market makers spread when I cover the short SSF position -- pretty hefty).

Anyway, this is probably just another novice dream: Dividend capture with no risk!
 
Quote from a_ooiioo_a hii:

Well your entire adventure today spanned 12 minutes, and you basically got your first taste of it for the cost of commission on two contracts.

If you can increase your time frame to a few hours or even a few days, you might find some satisfaction with SSF.

MSFT is a good one to start out with, but when you're ready to move up to MXIM, QLGC, QCOM, KLAC, NVLS, LLTC, you'll find some good opportunities for profits almost every day.
More...

.....Recently found and engaged a few plays : these are still minor plays for us though ... a bit more volume would help things. Still, not terribly bad progress for the SSF's markets thus far.

FYI for those considering these, here are the april volume numbers:
"
The top five security futures products by volume in April were: DIAMONDS® (DIA) with 15,014 contracts traded, Sun Microsystems (SUNW) 6,351, Dell Computer Corp. (DELL) 6,330, Microsoft Corp. (MSFT) 6,113 and Starbucks Corp. (SBUX) 3,868. Each contract is equivalent to 100 shares of the underlying stock or exchange-traded fund. "
 
Quote from garbo:

Def -- Thanks for the recalculation.

What I am wondering is: Once the stock goes ex-dividend, will the price of the SSF increase by the amount of the dividend? I thought it would have to, which basically means this is not an interesting play at all.

But looking at GM SSFs (May and June), I noticed that the June SSF is only about $0.05 higher than the May SSF, so maybe I am wrong about the dividend going back into the SSF price ex-dividend.

In that case, then I can effectively capture the dividend with no risk (less the market makers spread when I cover the short SSF position -- pretty hefty).

Anyway, this is probably just another novice dream: Dividend capture with no risk!
More...

No the price of the SSF already has the dividend priced in. I'm not sure what interest rate you'd get at the bank and you seemed to do ok with the spread. The key is knowing the true theoretical values and trying to arb from there.
 
You must log in or register to reply here.
Back
Top