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While working on my weekly charts, I thought I would share the following
info and expand upon my recent address to Bill Saxon's post.
SYM week 4 wk ATR 1 wk ATR
ES98U 8/7 49.08 83.04
7/31 38.06 33.04
7/24 40.00 64.08
SPDR 8/7 4.05 6.13
7/31 3.14 3.11
7/24 4.00 6.06
SPX 8/7 43.06 64.07
7/31 36.06 33.00
7/24 37.09 61.08
SP98U 8/7 46.11 67.14
7/31 39.10 36.14
7/24 40.08 63.14
(All prices to the nearest sixteenth)
Since the SPDR is 1/10 of the SPX, then the price changes and therefore,
the ATR should, theoretically, be the same. The ES is 1/5 of the
SPfutures. While I am not spending time trying to determine why there is
this descrepentcy, I sure would like to develop a way in which to trade off
of it. Anyone can work a formula and backtest? Watch these 4 symbols on a
10 minute basis, and
you can see the disparities. (CME globex prices for the ES, CME RTH for
the SP98U, Yahoo for the SPX and any on line broker for the SPDR)
Al Taglavore
> To: metastock@xxxxxxxxxxxxx; Fasttrack EMail List
<fasttrack@xxxxxxxxxxxxxx>
> Subject: Re: Spiders
> Date: Saturday, August 08, 1998 2:17 PM
>
> Also, the Spyders trade much like a future, that is, you do not need an
> uptick to go short. The disadvantage of the Sypder/futures is the lack
of
> leverage. You do not have the premium, however.
> I have been trying to develop an arb methodology watching the SPX, the
ES,
> and the SPX futures.
> Amazing! They do NOT trade in lock step, as one might think. I also use
> Brown&Co.
>
> Al Taglavore
>
> ----------
> > From: Bill Saxon <bsaxon@xxxxxxxxxxxxxxx>
> > To: Metastock EMail List <metastock@xxxxxxxxxxxxx>; Fasttrack EMail
List
> <fasttrack@xxxxxxxxxxxxxx>
> > Subject: Spiders
> > Date: Saturday, August 08, 1998 7:11 AM
> >
> > Might I slip a few words edgewise on TA (as opposed to MS)?
> >
> > I use Rydex for a portion of my portfolio to trade Nova and Ursa. I
> think most
> > are aware of the calculations that show Nova to go up a percentage
point
> less
> > than an Index Fund like Vanguard (adjusted for the 1.5 factor) and down
a
> > percentage point more (and perhaps a little more than that).
Apparently
> this
> > has to do with the Futures Premium involved or perhaps the fact that
> dividends
> > are not being paid.
> >
> > In addition there is no intraday trading (witness Tuesday when the S&P
> was up 6
> > pts in the AM when many would have exited, but by the time Nova could
> have been
> > traded was down 40 pts.)
> >
> > My understanding is that I can trade long and short S&P Spiders with
the
> > following advantages.
> > 1. Intraday trading just like a stock
> > 2. If traded at a place like Brown it is only $5 a trade. This has to
> be less
> > than the management fee at Rydex, of course depending on the dollar
> amount
> > traded.
> > 3. What ever percentage that they go up would be equal to the
percentage
> they
> > go down in relation to the S&P.
> > 4. The money would be in place at a brokerage where other vehicles
could
> be
> > used at an appropriate time as opposed to being locked in to the funds
> offered
> > by Rydex.
> >
> > There is always some downside. What is it??
> >
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