Hi Kevin ? on your Fair value post....
After you calculate the fair value and +/- 1.13 index points to determine the upper and lower bounds, you then calculated the spread between the cash index and the actual futures contract...762.00-755.22 =6.78.
Do the upper and lower bounds change along with fair value as the futures and the cash index change? How long would the fair value be valid if it is calculated at 9:30am est... at 10am, would the same boundries apply for the buy/sell to kick in or would you have to recalculate it on going throughout the trading day.
Is there any place that you are aware of that individuals could access this information on the internet on a real time basis?
You referred to Bloomberg to obtain this information, Is that Bloomberg.com?
Since program trading deals with S&P 500's, are you aware of certian stocks w/in S&P 500 that are more actively traded during program trades?? IBM, MSFT, INTC, DELL, CPQ, GE etc...?
I got lucky and played the OEX on Wed with puts, My broker follows fair value and we got on just before the ride started, the spread got below 180.
Got close this afternoon then turned around about 3:45est.
I appreciate any info.
Thanks and good trading
Jim |
