What a squeeze!!

TheStudent · Sep 30, 2005

Are you sure of this Seth?

CME shows 986,210 for 29th on ES.

http://www.cme.com/daily_bulletin/Section01_Summary_Volume_And_Open_Interest_Futures_2005188.pdf

I think the reports come out the next day. Will check my screens to see if they reflect this new number.

Quote from SethArb:

I believe those totals ( CME ) reflect thursday's trading

the WSJ on friday will show this plus show the net change in O.I. ... from wed

there might be some other sites on the internet that do this too

Accountant_23 · Sep 30, 2005

can we not talk about indeces until the dow breaks either 10k or 10,800 and the S&P breaks 1180 or 1280. Until then its a worthless discussion, we've been in a range. When the dow gets down to 10,200 you buy when it gets around 10,600 you sell, when S&P gets down to 1210 you buy at 1240 you sell. Thats how tight this range has been all year so far, its very boring.

invaliduser · Sep 30, 2005

If the dow breaks out on price action like this weeks' that will be pretty sad.

just21 · Sep 30, 2005

If you want to see indices that have broken out, pick any european one. What is the outlook for next week? Squeeze gently unwinds before stagnation ahead of non-farm payrolls. Payrolls probably disappointing after hurricane adds to the jobless?

TheStudent · Sep 30, 2005

Quote from TheStudent:

Are you sure of this Seth?

CME shows 986,210 for 29th on ES.

http://www.cme.com/daily_bulletin/Section01_Summary_Volume_And_Open_Interest_Futures_2005188.pdf

I think the reports come out the next day. Will check my screens to see if they reflect this new number.

Yup, screens updated the OI. That confirms it - the numbers come out with the bulletin the next day.

So 985700, up from 964967. I guess it wasn't short covering in the spoos.

risktaker · Sep 30, 2005

These numbers are not reliable at all. Somebody short a lot of stocks for example, and needed to cover (temporarily) could just long the futures. This way they'd also have less of a hassle with the uptick rule when they eventually decide to once again go short. Hedge funds, especially follow this practice. These numbers are not as simple to figure out as some books and other old study material make them out to be.

Quote from TheStudent:

Yup, screens updated the OI. That confirms it - the numbers come out with the bulletin the next day.

So 985700, up from 964967. I guess it wasn't short covering in the spoos.

TheStudent · Sep 30, 2005

Quote from risktaker:

These numbers are not reliable at all. Somebody short a lot of stocks for example, and needed to cover (temporarily) could just long the futures. This way they'd also have less of a hassle with the uptick rule when they eventually decide to once again go short. Hedge funds, especially follow this practice. These numbers are not as simple to figure out as some books and other old study material make them out to be.

Not sure I follow you Risktaker.

The OI numbers are indisputable for most practical purposes.

Naturally, interpretation is another thing altogether.

But I think SethArb was asking whether short covering in the ES could be responsible for the big Thursday move, and it seems that based on the OI numbers, while there may have been short covering by intraday players to drive the move, there was certainly no covering of longer term short positions.

If you look at the SP OI figures, they agree. Which reinforced the argument since SP is used much more by positional players than intraday players since its OI dwarfs its daily volume, while in ES they are often equal.

Using the futures as a beta proxy for stock basket positions is a separate issue altogether.

areyoukidding? · Sep 30, 2005

from squeeze to climbing the wall.