The ACD Method

justrading said:
ISEE below 100 for the first time in ages, but still coming in at 98.

Not too many bears out there.
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The ISEE was putting out extreme high readings almost every day for two weeks. I just cannot get my mind around how this market continues to bail out the bulls. I mean these call buyers are all in on high beta and yet we still can't tip this market over.

Many many pages back on this thread I put out a theory as to why I think this is and why this persists and it centered around the idea of the amount of hedging products out there now. You have all the vix products shattering volume records, the inverse etf's, the weekly options, etc. I really think people are just over hedged. That is why when we get these scary opens the market bounces back so fast because those hedgers became natural buyers of the market in massive size.
 
That is an interesting thought Mav.. There are just so many people willin to put short vix trades on in size/.....? Who knows maybe this is going to create the ultimate squeeze... Funny I remember you talking about where it starts (currency).. front page today was risk coming off in emerging market currencies. Every high I seem to have had that feeling "maybe now" but it just never happens..
 
Wow...50 cents!!!!!! These spreads are blowing out big time.

http://tos.mx/Kdu0LH

Kdu0LH
 
Man this is some crazy shit going on in the energy space right now. Options are distorted all over the place. I have a lot on trying to take advantage of this.

Heating oil also breaking out.

Next week is going to get crazier! More cold on the way.
 
oftrader said:
Here's how I have understood it and seen some really good results. This is for futures only.

I calculate the previous 10, 20 and 30 days average daily range (24 hour session). Then I take the min and max of those 3 values and discard the middle one. Then for the current day, add those 2 values to the current price to get the ADR high limit and subtract from the current price to get the ADR low limit for the day. As price makes new intraday highs/lows, the "ADR limits", as I call them, move closer to each other. When we have a confirmed A, the ADR limit almost always gets hit.

See attached chart for today's CL action. Just happened to be a confirmed intraday A up in CL today.

Hope this helps:
View attachment 142441
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Same thing today. I had 96.28 as the ADR lower limit and CL made a low of 96.25 on the day. But, I do get confused on days like today with a huge euro session range. Especially when we confirm an A down and then price retraces back above the A level and into the OR. I havent really thought about this scenario much. On most days, when price confirms an A in CL, it seems like there is a real battle to get price back into or towards the OR. Obviously, that changes the number for the day but I tend to think waaay too much so I just stop before the conspiracy theorist inside me comes out :)
 
running_bare said:
Did you go long the spread?
If not, why not?

This was a once in a generation-type trade...

I bet John Arnold wishes he was back in running a fund..
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Actually, these spikes are pretty common. Same thing happened last year. Seasonal spreads do this all the time, although the spike this year is higher then in years past.

I've got a lot of options spreads on right now that are leaning long deltas and short vol and a few differential spreads. The Mar/Apr spread was a great buy at par. It's not a good buy at these levels. You had to get in early for it to make sense.

There is a lot of opportunity in the options. Vol is bid through the roof on the front on short duration and the backs are giving them away. There are a lot of good plays here for an astute options trader.
 
running_bare said:
Did you go long the spread?
If not, why not?

This was a once in a generation-type trade...

I bet John Arnold wishes he was back in running a fund..
More...

Believe it or not, I shook hands with the man once. Obviously, he did it out of courtesy since we were all going up in an elevator with my CEO.

I thought he still runs Centaurus? No?
 
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