THE ARBITRAGE AND SPREAD TRADING THREAD
- Thread starter candletrader
- Start date
This has me thinking, but I'm having some trouble finding a bit of information I would like. Can anyone tell me where I can find a weighted list of the DJIA? I know it is price weighted, so maybe I should just calculate it, but I was hoping there might be a sight that kept a current list of weightings. Also, how often is the weighting recalculated? Thanks for any help.
I believe that Wade Cook has a new University of knowledge available on arb trading. Arbitrage trading and pair trading are to be the next explosion of profits, dooouuugh that is the sound of your account exploding. Not sold in stores and with three easy payments of $2995.00, all you will have to do is walk to the mail box and pick up your weekly checks.
inmate451
inmate451
Dow Jones Industrial Average Divisor 0.14279922
Eldredge, I got this off a cbot wesite - lost the link when I started to write this, sorry I'm sure you can find it. You couldn't calculate it yourself unless you went back to get every stock split in every dow average stock since like 1898 or something. From memory I believe it only changes when there is another split. Its a bad way to do an average and has only stayed that way because of tradition I guess.
Don't suggest any of the traditional types of arbitrage for retail or even small hedge funds. Most of these arb situations are interest rate related: Index, voting/non-voting, risk, converts, etc... spreads are set by the cost of $ and corresponding rebate for their shorts. With such low rates lower returns are acceptible -especially since these 'market neutral' trades are attractive in these difficult markets. To make up for lower returns, large hedge funds that participate in these trades often do multiples of the size that they traditionally do and lever them more highly, often using derivitaves, to increase returns squeezing spreads further.
I have a few favorite personal arbs for the small investor like single stock options arb which is a 'delta' trade where you can have a bullish or bearish opinion with your stock hedge - with a larger than usual position with limted risk if you're wrong. You can get a model for practically nothing to keep on top of your position. Another basic arb is 'beta' trading individual stocks with no news that have distanced themselves in the short run from the S&P and their sector. E.G. > CSCO sells off 6 or 7% in the last few days, more than the 2-3% that the group and overall mkt have traded off. I buy CSCO and short the corresponding # of e-mini's according to the current beta of CSCO/S&P. Works more often than not but requires a lot of tracking and research.
If you choose to do any of the arbs talked about on this thread I can give you one piece of advice. Do a matrix with expected risk/reward at differnet price points. An excel spreadsheet is ideal. You can even shade the areas where you will make a decent return or where you will need to adjust your deltas. I have done a lot of this type of trading and to be quite honest, I enjoy trading the intra-day market much more than watching paint dry waiting for a time/interest/event-driven arb to move in my favor. - Sorry for the long ramble, hope some of it made sense?
Eldredge, I got this off a cbot wesite - lost the link when I started to write this, sorry I'm sure you can find it. You couldn't calculate it yourself unless you went back to get every stock split in every dow average stock since like 1898 or something. From memory I believe it only changes when there is another split. Its a bad way to do an average and has only stayed that way because of tradition I guess.
Don't suggest any of the traditional types of arbitrage for retail or even small hedge funds. Most of these arb situations are interest rate related: Index, voting/non-voting, risk, converts, etc... spreads are set by the cost of $ and corresponding rebate for their shorts. With such low rates lower returns are acceptible -especially since these 'market neutral' trades are attractive in these difficult markets. To make up for lower returns, large hedge funds that participate in these trades often do multiples of the size that they traditionally do and lever them more highly, often using derivitaves, to increase returns squeezing spreads further.
I have a few favorite personal arbs for the small investor like single stock options arb which is a 'delta' trade where you can have a bullish or bearish opinion with your stock hedge - with a larger than usual position with limted risk if you're wrong. You can get a model for practically nothing to keep on top of your position. Another basic arb is 'beta' trading individual stocks with no news that have distanced themselves in the short run from the S&P and their sector. E.G. > CSCO sells off 6 or 7% in the last few days, more than the 2-3% that the group and overall mkt have traded off. I buy CSCO and short the corresponding # of e-mini's according to the current beta of CSCO/S&P. Works more often than not but requires a lot of tracking and research.
If you choose to do any of the arbs talked about on this thread I can give you one piece of advice. Do a matrix with expected risk/reward at differnet price points. An excel spreadsheet is ideal. You can even shade the areas where you will make a decent return or where you will need to adjust your deltas. I have done a lot of this type of trading and to be quite honest, I enjoy trading the intra-day market much more than watching paint dry waiting for a time/interest/event-driven arb to move in my favor. - Sorry for the long ramble, hope some of it made sense?
I've done mostly pairs and mergers, leaving the index arb to the big guys--although I did a lot of research on arbing the entire dow 30 against DIA, but found that the execution risk (particularly for NYSE market orders) was too great. Has anybody tried this strategy?
Quote from inmate451:
I believe that Wade Cook has a new University of knowledge available on arb trading. Arbitrage trading and pair trading are to be the next explosion of profits, dooouuugh that is the sound of your account exploding. Not sold in stores and with three easy payments of $2995.00, all you will have to do is walk to the mail box and pick up your weekly checks.
inmate451
Thanks, but you forgot the mailing address. Possibly something in the San Quentin area?
How would one go about buying a stock on one exchange and immediately selling on another. For instance, there are several stocks listed on the Canadian TSE that are also listed on Nasdaq or NYSE. I have observed many instances where because of currency rates an interlisted stock is mis-priced in one market relative the other.
So how would I go about buying it on say the TSE using $CDN and then immediately selling it on the Nasdaq for $US and taking advantage of currency rates? Can this be done? Is the stock bought in one market fungible in another? Would this require a special clearing arrangement? Any info is greatly appreciated.
MACD
So how would I go about buying it on say the TSE using $CDN and then immediately selling it on the Nasdaq for $US and taking advantage of currency rates? Can this be done? Is the stock bought in one market fungible in another? Would this require a special clearing arrangement? Any info is greatly appreciated.
MACD