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TheDude

Market Wizard
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Everything posted by TheDude

  1. you should read up on volatility expressed as a standard deviation. try a google of that and/or black-scholes pricing model which basically assumes prices are random, and the current price is the mean. it does pretty much what your asking for as tams implies, prices are not normally distributed - if your market is trading at $20 my bet is it cant go below $0, but could go way beyond $40, so you have an lognormal distribution (i think thats the term)
  2. Hi, I used to trade options professionally almost 12 years ago now, and am looking at them again. I used to trade them on European listed fixed income futures, and I was marked to market every settlement. i.e. it was exactly like the underlying futures. However, and this is my question, I understand that on American listed options on Futures (in my case CME and some CBoT stuff), they are settled like equities. Is this right? ie I buy 1x British Pound Dec 11 1.6500 call for 0.10. at $6.25 a tick, I will see my account $625 lighter to cover the full value of that purchase. The fact they settled at 0.14 makes no difference. If I sell the call the next day for 0.12, I will see the $625 + $12.50 (ie 2 ticks) hit my account. When I was marked to market, I'd only see the debit/credit difference of the options from where I traded them and the settle - or the previous settle to todays settle if I was holding. Thanks, Dude
  3. Hi, I'm getting into options on futures a bit more - mostly as a longer term positions. Does anyone know of a platform that lets you know the margin requirements of different strategies/structures, or failing that, a quick, dirty method or 'rule of thumb' of calculating approx margin requirements? My platform just lets me execute and give p&l and I'm getting fed up with asking my broker with every idea I get.... Thanks
  4. ive used mfg for futures for years. they are pretty good as youll get institutional service levels - although they may not be the cheapest - they will fight your corner for you at the exchange should something go wrong like on the wrong side of a busted trade. couldnt comment on fx - but then i think 90% of fx 'brokers' are bucket shops
  5. That was the original reason for the research I mentioned earlier. I was looking at the put & call open interest at 3 ATM strikes for Bonds, EuroFX, S&P, Corn, Gold and Eurodollars.I also noted the strikes where OI was significant eg OI in the 10's of thousands where most strikes had OI of thousand or so. If the ATM ratio was extreme, then often there would be a reversal, if there was a healthy bias to one side, then price tended to continue. The general context has to be taken into account (no big surprise eh?). eg if Gold had 99% more ATM calls, it wouldnt reverse. Eurodollars were balanced at the time didn't seem to have any significant behaviour. In short, it would seem call/put ATM OI seems to give similar results to volume behaviour re extreme reading, and healthy growth.
  6. Ive looked at put and call strikes noting which strikes have significant open interest. It would seem these strikes do seem to provide some sort of support/resistance until expiry, but to be truthful I havent followed for long enough to deduce any significant findings. Having said that, the logic would seem to make sense. Interesting subject....
  7. BEAN OIL: Funny I should notice this thread as Ive been trying to get short bean oil over the last few days as a position trade. You get some crazy opening spikes, and the overnight action is pretty crazy too (much to my detriment) - stop running extravaganza! I can see why it would be ideal for day traders - especially those who like the russell 2k Bean Oil is like ER on crystal meth! and at $6 a tick it may not be so damaging to the pocket book.
  8. Hmm. 2 points: 1. If you want to trade YM, I'd focus on YM bid/offer, not the stocks. Futures can get out of whack with their underlying which is where arb traders make their money. 2. Personally, I'd disagree with the concepts you read. Study the market for your self and you will find that if the bid is larger than the offer, the market will tend to fall, not rally. This is because large traders will look at the size as an opportunity to execute their large trades. Also, look for spoofing where large size is placed in the book hoping locals/algo's will lean against it. the order is then pulled and the market jumps a few ticks and carries on. Think of active/passive trading. If I want to buy I can either: a. Join the bid with a limit order, I'm being passive. It means I can wait for a lower fill/better price. But, I may not get filled, especially if the market is volatile. b. I can lift the offer to buy. This will ensure I get my fill, but I pay the spread for the privilege. This is actively aggressive. It means my desire/demand to get the product is greater than the people sitting on the bid. Thats more telling of demand than size in the book. You may want to look at TICK or TRIN (cant remember which). This tells you how many stocks in the index are trading at the bid/offer.
  9. i bet you just watch porn all day on that :shocked: :o
  10. the book is now out of print, so its pointless me telling you the name or the author. all i will say is that the book contained a system that included the indicator settings and money management rules. it even told you exactly where to place your stops. following the rules in the book was so easy. i still use the system today and am making millions. who ever thought trading would be as easy as finding a set of rules in a book to make so much money. trading is like following a recipe. easy.
  11. Anyone else get a legal notice in the post re the class action between Breakwater and Pimco Investment Management? "All persons and entities who purchased a June 2005 10 year T Note futures contract between May 9, 2005 and June 30 2005, inclusive in order to liquidate a short position" If you did, it looks like you can claim as part of a $59 million deposit in escrow due to artificial prices and violations of the exchange act. Apply to United States District Court of Illinois Eastern Division. Judge Ronald A Guzman. Proof of claim (ie a statement) is required. Good luck if you did your beans in the 10 yr during this period!!! :helloooo:
  12. sorry if ive misunderstood you, but from your post i seem to get the impression you look at these vp levels as some kind of magic numbers. theyre not. they are simply reference points. the idea is to see how the market trades around them. apparently there is a big trader in london called david kyte. EL may know of him. i heard once that he trades the bund and uses the val and vah to scalp around, knowing so many look at these levels as as targets and stop levels, so the orders at these levels offer rich easy pickings. of course, you hear so many rumours coming out of kyte group, and a lot of it is clearly rubbish.
  13. mslk - i dont think anyone would argue futures arent a better day trading vehicle than stocks. well ok then, some people would, but there we go. i say tom-at-oh, you say tom-aye-toe.
  14. 1. stay away from t2w. fools damn fools. 2. i used to be a local on the floor and have adapted. (most of the time, it was dull to be honest. memories are like the TV stories - only recollect the busy exciting times when the pit was full before a figure) when the floor closed, they all started scalping upstairs on x trader. some did really well, others got hosed. same old, same old... now these clickers are all gone, or, have again adapted as there is no money in clicking/scalpin any more as its a high freq game now 3. youll never be successful at anything if your heart isnt there. if youve lost the passion, take a break. 4. trading isnt actually that hard. the difficult bit is the self awareness and understanding yourself is the hard bit. discipline - youve heard it all before.... 5. dont be a hero. go for smaller objectives on a more frequent basis to get the feel good factor, using a simple trade idea. 6. theres nothing holy about being a trader. the sacrifices are huge, and the rewards for the few. i know as many people who have been successful in other ventures as trading, but i havent met as many people who have quit in disgust in other ventures as i have trading. 7. good luck in what ever you decide.
  15. 1 - they have less emotional attachment apparently, and make good traders in general though few are attracted to a male dominated industry 2 - nothing to lose and so little fear. if they screw up, they just find another career. They have more objectivity but their ego can destroy them if theyre not cut out for it. 3 - these guys tend to have more street smart. more instinct. they dont have the education that blinds college kids into believing theory, laws, natural order, the world owes them a living attitude that just doesnt exist in the market. 4- may get scammed, but also may have the money/nest egg for it to be a hobby and not care, thus benefiting from #2. Depends if they have a good nest egg or not 5- sound desperate to change their lives and unhappy with the 9-5 job/rat race. Too eager to win rather than understand to change their lot in life. I dont think they can win if desperate - they are more likely to gamble in the hope of the dream. Keep throwing money into accounts and losing it. Probably the biggest demographic of losers. The fact is, if you trade for the money/American dream, the odds are slim. Those who win dont worry about the money. Its only if you can look at the market without a care that you can see what the market is doing and put a position on and manage it with a clear head. Thats why the boards are full of paper trader millionaires, but as soon as it comes to real money, it all falls apart. Be happy with what you have in life now. Appreciate it. You have a lot more than 2/3 of the world who live in poverty. Youre lucky. Markets dont matter. Be happy with what you have, truly happy, then you can move forward. Read the Bible. Understand Gods Word. The Dude abides.
  16. it has some merit, but not THE answer. Believing your a winner wont help if your strategy is flawed. eg I dont think its worth learning from/reviewing losing trades where you went wrong. You just enforce/remember mstakes. I found it more productive just recalling my good trades and remembering what a good trade looks like so then i just recognise good set ups, and the bad arent in memory to even contemplate/consider
  17. Youre 100% right. BUT - what you describe is a winners attitude - someone with discipline - a good trader. In nature, all successful predators have the following instincts: Patient in selection Quick in decision Fast in action Spiders, snakes, lions, Buffet, Sorros, you? As for stops, you should stop yourself out when the dynamics have changed, not at a certain price/level. That takes confidence and knowledge. Seeing if there is follow through/acceptance or rejection of your stop level. Again, Patient in understanding Quick in decision Fast in action Its all the same - property development, restaurants, trading, franchise start ups.....
  18. All very well looking at these high volume markets and looking at the aggregate of order flow with some indicator.... If you really want to learn to trade order flow though, then look at contracts that trade a few thousand contracts a day with the ideas above. It may not be as heroic as making a killing is 6e/es/nq etc, but youl learn more quickly and make more money IMO. Its easier to keep track of who is doing what and what they are doing when trading a market with fewer participants and more simplistic participants (understanding their objectives) if you look and the chart and follow T&S knowing who is doing what & where (MP theory) than trading ES/6e etc and seeing a load of 1 lots go off on the bid, then another load go off at offer etc, due to HFT & his brother & the big participants who can cover their tracks with such algos. Trade Ags, softs, meats. Back to basics! Proper trading when you can understand who is doing what and who has what and where they did it. These markets are dominated by commercials with proper business objectives rather than overloaded with other speculators trading each others noise.
  19. good basics tams, but things have changed since dow theory was first published - different forces in the economy, but the premise is correct. transports then was the leading growth sector. Id argue now perhaps its IT/comms as that is where ideas/growth are distributed rather than railroads as weve moved from manufacturing to services based economy (in the western world anyway - could still be true for emerging markets/BLOC who are growing by building shit like USA was when Dow theory was first formalised) my $0.02
  20. lol song from my youth. Love it! I was gunna be him when I grew up with all those chicks - didnt happen though
  21. Well yes they will because there are more index followers who trade these few stocks, so they make the move first, then the basket buyers move in....domino.... im shot - probably not explaining it well. anyway, its the algos man i tell you. its all their fault. id tell you why but no one would understand its just too complicated. just blame it on the algos and be done with it. hehehehe.
  22. Yep. A market is a market, is a market. Houses, land, ES, MSFT, it's all the same. The wise man buys low. He then sells to the noob who buys the high (resistance) expecting a breakout, thinking hes being clever waiting for prices to come off the lows and show a little momentum before committing. A fools and his money were lucky together to get together in the first place. The Dude abides.
  23. If you algo junkies want to get a real hard on, look at: Unified Latency Management for Financial Markets - Corvil Complex Event Processing, Event Stream Processing, StreamBase Streaming Platform While you tug yourselves off, I'm gunna make me some real coin trading lean hogs, corn, soy beans, all the dull boring stuff that only the farmers trade. Candy from a baby springs to mind.....
  24. I dont think the Canuks will want to have a single currency with the USA. Why would a solid economy (Canuks) want to merge their currency with a bankrupt corporation? Besides, with China becoming the next economic super power, thats only good news for the Canuks given they are a resource driven economy like Oz, and China needs all the natural resources it can. One thing is for sure - USA is BUST!!!! its just a matter of time now before we move from sub-prime households to sub-prime countries like Greece, Portugal, Iceland, Ireland, USA, Spain..... Despite the slightly anti-semite stance, I think this nutter conspiracy site has a ring of truth to it... (scroll down to the time of the American Civil War if you dont have time to read it all) Timeline of the Rothschild family
  25. Interesting. Many funds will use a subset of an index to trade rather than every index component. The subset will be those stocks that have a closer/higher correlation to the index than the others. They do this to lower transaction costs, but the slight downside is increased tacking error (something some ETF's suffer badly from). Generally, the smaller the fund, the smaller the subset will be. A very small fund may just use an ETF rather than a basket for their basis trades. Hope that may be some food for thought.
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