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Strategies & Market Trends : Classic TA Workplace

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To: UnBelievable who wrote (36058)	4/11/2002 10:12:09 AM
From: Paul Shread	Read Replies (1) of 209892

I emailed Hahn's comments to a guy who knows arbitrage/futures as well as anyone, and this was his response: Hahn's corner has a valid point, but there was a tremendous amount of activity all day above "fair value" in all of the equity index futures. ... If the Government used un-hedged "program trades," not "arbitrage trades," to push the market, it is a serious escalation and a sign of panic. At 7:00 NY time the Dow futures are 10,362 or about 28 points below "fair value." If the futures do not rally before or at the opening in New York, and the market still rallies substantially on "program trades" throughout the day, the government may actually be buying un-hedged positions. Rubin may have been one of the innovators of the use of "arbitrage trades" when he worked for the Government. FYI (my comments) - this same guy estimates current fair value on Dow arbitrage/futures positions at about 10,390, so the desire to get back to that level also no doubt played a role in futures trades yesterday. Once they got em above fair value they kept it there to drive it higher.

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