Re: cash ,,,,

[Carroll Slemaker <cslemaker1@xxxxxxxx>]

The most reliable way to show the lead/lag relationship between the cash
and the future and to show how this relationship changes from moment to
moment is with an indicator which compares the current actual futures
price with the theoretical "fair" price.  My indicator tracks the
"excess" of the futures price over the fair price (negative when the
future is below the fair) expressed as a percentage.

Plotted as a histogram, this value wanders back and forth around zero,
spending most of its time within a narrow band defined by transaction
costs.  But any sudden, sharp move of the future causes the indicator to
jump (or drop) far outside this band, and the cash usually follows very
soon thereafter.

Carroll Slemaker


Clint Chastain wrote:

> Seems to me that the futures would be the most efficient
> and rapid vehicle available with which to allow the pros
> toexpress a change in sentiment. If that is accepted as
> fact, then stock prices would have to quickly follow
> futures prices or else there would be free money -
> arbitrage profits - left on the table. And of course that
> doesn't happen.
>
> Could it be that variations in individual user reception
> circumstances are at the root of the wide variance in user
> perceptions of which index leads which? For example:
>
> cable vs. modem vs. satellite vs. fm
> fast computer vs. slow computer
> good eyesight vs. poor eyesight
> good weather vs. bad weather
> near of far from exchange
> squirrel chewing on the cable insulation on the roof of
> data vendor A's building vs. no squirrel on data vendor
> B's building.