The Opening Orders Thread

[eastside]

Quote from Don Bright:

Any reason to start a new thread for 2008? Your thoughts?


Don

Only reason I can think of would be to include all the links to your previous OPG threads on the first page for the new folks reading pleasure
But it's up to you...YOU'RE THE BOSS around here

 

[eastside]

Quote from Don Bright:

Any reason to start a new thread for 2008? Your thoughts?


Don

Also...it's a tradition

Scratched 1 fill short HD today (out too soon)

 

[sucre_estave]

3 long fills (one a small test position), 3 small wins, +214, 4600 shares.

No big deal on starting a new thread, but since this one has a generic title we could keep it for simplicity's sake. Don could always go and edit the first post to put in the links to the old threads.

 

[chiguy]

6 fills / 4500 shares

4 long / 2 short / +545.00

if i had waited 3 minutes it could have been 1200+...

still green...

 

[Alegnus]

was up $109 on 480 shares until the black box got a mind of its own and re-entered a position to give it all back.

 

[eastside]

The thread for 2008 is here...

http://www.elitetrader.com/vb/showthread.php?s=&postid=1735579#post1735579

 

[econometrics]

Don, could you elaborate on the FV? where do you get that 10.72 FV ?

Quote from Don Bright:

OK, take the spot price, add current day fair value (www.stocktrading.com/Tradinginfo.htm will help), and you get a number. Now check where the futures are trading (eMini's are trading), and determine the difference between your adjusted FV number and the actual futures number. Divide that by the spot price to ge an up or down opening percentage. Apply that number to previous day's close. Then, depending on how far the market is opening up or down, determine your envelope (between .2 and .8 generally). The envelope is the variable.

Using today (Tuesday) as an example (approx).

Previous SPX (spot close) = 1445.90

Today's FV = 10.72

Total (est. Parity) 1456.62

Emini's trading approx 1467.75

Opening up from FV 11.13

11.13 divided by 1445.90 = .007

.007 times (stock) AFL close 59.52 = .41 making predicted opening price of 59.93.

I put a . 4 sell envelope which gave me a 60.14 sell order. Stock opened at 60.23, I bought it back between 60.13-60.18 to make $160.00 this morning on Aflac.

(Don't get too bogged down in the number, focus on the concept of fading gaps).

This morning I ended up $320.

This morning, no buy orders.

Good luck!

Don

 

[total_keops]

Quote from econometrics:

Don, could you elaborate on the FV? where do you get that 10.72 FV ?

Don has it on his site;
http://www.stocktrading.com/Tradinginfo.htm
Alternatively you can get it at
http://www.indexarb.com/

 

[econometrics]

ok so thatz the F = S e^(r-q)t term in forward pricing.
but where do you get the q (dividend estimate) from?

how do you account for the vol of r?

 

[Shreddog]

Quote from econometrics:

ok so thatz the F = S e^(r-q)t term in forward pricing.
but where do you get the q (dividend estimate) from?

how do you account for the vol of r?

Good grief dude. It's the premium/discount that the futures trade from the cash value. Why they call it "fair value" I have no idea. But you need it to figure out what your stocks should be opening each morning based on where the futures are trading. Those websites are nice enough to save you the math. Ignorance is bliss.