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Ray,
You're right about Fair Value apparently influencing buy and sell programs.
CNBC often states prior to the open that the combination of futures and
Fair Value will trigger buy or sell programs. But I have no idea where the
trigger point would be. Perhaps it is particular to each program. I also
don't know how to track those symbols.
Most frustrating is a situation like yesterday afternoon when the Dow
suddenly dropped about 30 points. A little later a CNBC reporter announced
that "a sell program was triggered" at 3:02 and led to the quick selloff.
Obviously he had the news about the sell program very quickly. I would like
to have access to the same news, too, to assist in decisionmaking.
Someone suggested the site programtrading.com but it seemed oriented toward
promoting seminars. I'll keep looking.
bob
----------
> From: TRaffertu <TRaffertu@xxxxxxx>
> To: rjn7@xxxxxxxxxxx; realtraders@xxxxxxxxxxxxxx
> Subject: Re: DETERMINING "FAIR VALUE"
> Date: Monday, March 02, 1998 6:06 PM
>
> In a message dated 98-03-01 13:19:57 EST, rjn7@xxxxxxxxxxx writes:
>
> << Fair Value changes during the day. Check the CNBC ticker: Look for
PREM,
> the actual spread or premium, followed by FV for Fair Value. When PREM
is
> more than FV there is a bias in the market to the upside, and when PREM
is
> smaller than FV the bias would be to the downside. >>
>
> Hi Bob,
>
> Excelent comment. Like you I also check fair value before the
open
> to give an indication of early market direction. However, as I
understand
> it, the relationship to fair value also indicates when computerized buy
or
> sell programs are likely to kick in. (Today they moved the market down
about
> 30 Dow points).
>
> This brings up two questions for you and other RT's:
>
> 1) Is there a symbol for Fair Value and Premium that can be
> downloaded and possibly charted for further study?
>
> 2) At approximately what point above and below Fair Value do
> buy/sell programs kick in? I know these programs are propritary and
include
> variables such as the cost of money (interest) paid, so no two are
exactly
> alike but there are similarities which can be estimated (averaged?)
>
> Any thoughts would be appreciated. Thanks.
>
> Good luck and good trading,
> Ray Raffurty
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