S&P Index Futures (Daytrading SP) Message Board

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Strategies & Market Trends : S&P Index Futures (Daytrading SP)

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To: Jay Baca who wrote (15)	11/27/1997 2:33:00 PM
From: sergio	of 350

I dabble on SPX and/or OEX myself. Yes due to high VIX or volatilities my cost on the premiums are astronomical. For example, I paid 15 pts prior to OEX split, the underlying moved from 928+ to 916+ but yet I only gained 5 pts (my delta was .35? i bought the Dec 900 puts). It is hard to make money on indices. At least on options I dont have to watch it every minute, I just put stop loss to get out, and since I play OTM (below .5 delta) , it has to be a severe move to trigger it. Don't forget the FV of money or carying cost, this is what the arbs use all the time and triggers the computer buys. I agree with Patrick that you need to watch out futures movement in relationship with cash. My rule of thumb are 3 months away futures over cash I expect about 14 pts, 2 months about 9-10, and 1 month about 4.5 pts at least for a buy signal. I made this up on premise that volatility is high teens to low twenty. I still having difficulty understanding why futures should ever be lower than cash (backwardation?). I have seen it on SPX but off course too late for me to short. Happy ThanksGiving Sergio

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