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Strategies & Market Trends : Trading the SPOOs with Patrick Slevin! -- Ignore unavailable to you. Want to Upgrade?


To: Gary E who wrote (6820)9/17/2001 6:09:39 PM
From: Patrick Slevin  Respond to of 7434
 
No idea at all, although I'm tempted to take a couple-three Dec Minis on a gamble.

I have to go to dinner, I'll check around later.

As for the gym, I have a set 8 AM EST appointment three times a week plus I go with my son twice more. I don't recall why I started it, I've been diagnosed as having a high risk of heart attack so probably it was something I decided to do in order to offset the risk in some manner. Whatever, I do feel much better when I sit down in front of the machines each day. Also my golf handicap dropped 4 strokes since the beginning of the summer. All in all it seems like it's working for me.



To: Gary E who wrote (6820)9/17/2001 6:24:35 PM
From: Patrick Slevin  Read Replies (2) | Respond to of 7434
 
Hank Camp seems to think the Premium is normal.

programtrading.com

For Tuesday September 18, 2001

For Execution of Buy/Sell Programs
Our FairValue for the S&P 500 today is $5.67. That price will not change during the day. Our computers are set or program buying at $6.92.


A heck of a lot of premium came out. I have not been watching closely, perhaps between the drop in the cost of money and the drop in the SPX the formula produces a lower number. Without asking Hank I do not know. If I think of it I'll call him tomorrow.



To: Gary E who wrote (6820)9/17/2001 6:57:02 PM
From: Louis V. Lambrecht  Read Replies (1) | Respond to of 7434
 
H.G - blame interest rates.
Fair value: cme.com
Interest used in the formula - at last the one used by the media and the data feed in order to calculate the premium PREM and EPREM - is the one of the 30 days fed fund.
3.195% as for today.

I have Dec spoo, FV = 1043.65, premium to cash 4.92, Naz FV = 1262.87, premium to cash 10.34

Indeed I also was used to jump 20pts in FV at rollover.