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YM what is the absolute max liability one can incurr in?
- Thread starter Cereal
- Start date
Quote from shortie:
any precedence for a meteoric rise in an index? not 50% in a day, of course, but still a white swan. what has caused it?
Nothing meteoric but the pre-market suprise fed cut during the crisis was good for a quick 40-50 handles in the ES. Also the suprise cut in early 2001.
Can't really think of too many other "white swans".
make sure you focus on price action only when trading period but esp "white swans". remember how everyone said "when ubl is killed the mkt will soar". well he was killed, the es had a quick 10 point pop and sold off hard. it was the def of a bull trap. you have to look at the underlying reason for the mkt move (ir cut has diff effect than 1 terrorist killed).
For what it's worth, in case anyone following this thread might be interested, I have analyzed the Mini Dow Jones Industrial Future (YM symbol) mentioned in this thread and here are some figures regarding maximum High-Low Ranges and Average True Range:
1)Max Daily Range in last 10 years:
28 oct 2010: 1153
2) Max 1 Hourly Range in the last 120 days:
08 Jul 2011 at 08:00 Hrs. (EST): 181
3) Max. ATR(14) Average True Range using 14 periods:
Approximate figures:
Daily In last 10 years: 675 (28 Oct 2008)
Daily in last year: 200 (22 Jul 2010)
Hourly in last 180 days: 51 (14 Jul 2011)
15 Min. Chart in last 20 days: 38 (23 Jun 2011)
*
Note: I might have missed something, especially in the first figure as I didn't check every single bar, just where the ATR was highest, but in anycase it gives an idea.
1)Max Daily Range in last 10 years:
28 oct 2010: 1153
2) Max 1 Hourly Range in the last 120 days:
08 Jul 2011 at 08:00 Hrs. (EST): 181
3) Max. ATR(14) Average True Range using 14 periods:
Approximate figures:
Daily In last 10 years: 675 (28 Oct 2008)
Daily in last year: 200 (22 Jul 2010)
Hourly in last 180 days: 51 (14 Jul 2011)
15 Min. Chart in last 20 days: 38 (23 Jun 2011)
*
Note: I might have missed something, especially in the first figure as I didn't check every single bar, just where the ATR was highest, but in anycase it gives an idea.
Quote from Cereal:
For what it's worth, in case anyone following this thread might be interested, I have analyzed the Mini Dow Jones Industrial Future (YM symbol) mentioned in this thread and here are some figures regarding maximum High-Low Ranges and Average True Range:
1)Max Daily Range in last 10 years:
28 oct 2010: 1153
2) Max 1 Hourly Range in the last 120 days:
08 Jul 2011 at 08:00 Hrs. (EST): 181
3) Max. ATR(14) Average True Range using 14 periods:
Approximate figures:
Daily In last 10 years: 675 (28 Oct 2008)
Daily in last year: 200 (22 Jul 2010)
Hourly in last 180 days: 51 (14 Jul 2011)
15 Min. Chart in last 20 days: 38 (23 Jun 2011)
*
Note: I might have missed something, especially in the first figure as I didn't check every single bar, just where the ATR was highest, but in anycase it gives an idea.
Couple things: first ... typo on the first one - that was 10/28 of 2008, not 2010. Also, I would just point out that for your #2 the 1 hour bar (8:00-9:00) was 181, but that run was actually about 195 in 45 minutes, from 8:25-9:05 -ish. The move was NFP-related.
Good stats to know though ... thanks!
Any particular reason why one couldn't form an LLC to cap the risk at -100% loss? From what I've read, sounds like at least Interactive Brokers will allow LLC futures accounts without a liability cosigner.
Quote from LodeRunner:
Any particular reason why one couldn't form an LLC to cap the risk at -100% loss? From what I've read, sounds like at least Interactive Brokers will allow LLC futures accounts without a liability cosigner.
i'm not aware of ANY broker that will allow you to do this b/c they don't want to (and won't) eat that loss of greater than 100% (yes dorothy for the newbies you can lose more than your equity in a futures account). btw, this very topic has been discussed numerous times b4 re setting up an llc and everyone concluded it won't work. pls correct me if i'm wrong.
Been a while since I researched this, though a guy in this thread provides tentative (possibly outdated) confirmation: http://www.elitetrader.com/vb/showthread.php?s=&threadid=214042&highlight=llc .
What I can say for sure is that I was approved for an IB futures account (with full margin) while having pretty bad credit... open collection accounts totalling over $3k.
This means that if you can find someone else with bad or no credit, they could cosign (you'd ensure they don't get login credentials) and thus take the bullet for you. You give them a token payment or tiny percentage up front, and if the unthinkable happens they simply max out their credit cards (if any) and declare bankruptcy.
This is pretty much exactly what all the bankers did (or were going to do, pre-bailout) in 2008, except no one actually needed to trouble themselves with the personal bankruptcy bit.
On another note entirely... what are the odds of getting serious negative equity on YM and IB being powerless to liquidate beforehand? If that day comes, one might be more concerned about fleeing to the nearest mountains with canned food and shotguns than bankruptcy proceedings.
What I can say for sure is that I was approved for an IB futures account (with full margin) while having pretty bad credit... open collection accounts totalling over $3k.
This means that if you can find someone else with bad or no credit, they could cosign (you'd ensure they don't get login credentials) and thus take the bullet for you. You give them a token payment or tiny percentage up front, and if the unthinkable happens they simply max out their credit cards (if any) and declare bankruptcy.
This is pretty much exactly what all the bankers did (or were going to do, pre-bailout) in 2008, except no one actually needed to trouble themselves with the personal bankruptcy bit.
On another note entirely... what are the odds of getting serious negative equity on YM and IB being powerless to liquidate beforehand? If that day comes, one might be more concerned about fleeing to the nearest mountains with canned food and shotguns than bankruptcy proceedings.
Quote from LodeRunner:
On another note entirely... what are the odds of getting serious negative equity on YM and IB being powerless to liquidate beforehand? If that day comes, one might be more concerned about fleeing to the nearest mountains with canned food and shotguns than bankruptcy proceedings. [/B]
with IB and other brokers that don't provide suicide assitance (eg. 500 daytrade margins for es) there is less of a risk of you having neg equity b/c you're only given at most half of normal main margin in the first place. however there is still a risk of a black swan dropping the mkt 10% during normal mkt hours and all trading halts. to assume you'll be able to get out before is naive. if you're stupid enough to trade w/ 500 or 1000 per car at another broker there is a very real danger of having neg equity. what would happen if es drops 10%? you lose 50 (multiplier)x130 (points lost) = 6,500. if you only have 1000 per car you have negative equity of 5,500 per car. if you are trading 10 cars you can see the prob. my point is either trade abs min 5k per car (my pref is 7.5-10k) and/or hedge w/ otm puts on es/spx/spy.
Quote from tomahawk:
Couple things: first ... typo on the first one - that was 10/28 of 2008, not 2010. Also, I would just point out that for your #2 the 1 hour bar (8:00-9:00) was 181, but that run was actually about 195 in 45 minutes, from 8:25-9:05 -ish. The move was NFP-related.
Good stats to know though ... thanks!
Yesterday I detected this 114 range bar in ONE MINUTE !!!, in the /YM:
See 08:30 EST on Friday 8th July 2011.