prem, futures, program trading

[Fari-
Do you do basket Arb? Are you saying that you calculate the cash Index yourself based on the last trade in the components. Do you have a program that puts in the CAP weightings? I was on the conference call the day that you were drilling the host about his methodogy. You were making some quite valid criticisms but he didnt seem to have any answers.
 
Thank you Fari-
Do you do basket Arb? Are you saying that you calculate the cash Index yourself based on the last trade in the components. Do you have a program that puts in the CAP weightings? I was on the conference call the day that you were drilling the host about his methodogy. You were making some quite valid criticisms but he didnt seem to have any answers.
 
Originally posted by chasinfla
on the futures and the cash rising simultaneously:

Is it not possible that front month spoo and cash are bought (cash to push up the futures), and the far months sold?
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No liquidity in the back months. Except during roll, 99% of index volume is in the fronts.
 
Originally posted by LouiseJefferson
Thank you Fari-
Do you do basket Arb? Are you saying that you calculate the cash Index yourself based on the last trade in the components. Do you have a program that puts in the CAP weightings? I was on the conference call the day that you were drilling the host about his methodogy. You were making some quite valid criticisms but he didnt seem to have any answers.
More...


No, we use the simple SPX cash.

I want to know what SP & ND locals and dealers are looking at when they look up into the boards at the MERC. I stood two weeks next to Lewis "Big Italy" Borsellino at the MERC in April and August of 2000.

I thought the host was drilling me BIG TIME !
 
Originally posted by Fari

I want to know what SP & ND locals and dealers are looking at when they look up into the boards at the MERC. I stood two weeks next to Lewis "Big Italy" Borsellino at the MERC in April and August of 2000.
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Fari-

They are looking at the minis. If you are standing next to L. Borsellino they are at a 90 degree angle, right above the monitors. But if you are talking about the quote boards near the SPU options they were probably looking at the Nasadq. In 2000 and 2001 the minis were always ahead by a tick or two. This is about the time that the locals realized that if they didn't watch them they would get hosed.
 
Where Lou stands, to his left, where the price reporter is, the SPX is there on that board......

SP LOCALS watch the CASH not ES. ES is too close to SP even for scalpers.

pls do not read more into this......let's move on & concentrate on the BIG PICTURE......OK?

Fari
 
has any one done a study of the relationship of where the prem closes to the opening of the futures the next day.
some days the prem goes out at a big number.is there any consistant follow through the next day? would like to back test this but dont think any one has historical prem data.
 
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