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PureBytes Links
Trading Reference Links
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For info on premiums, fair value and index arbtrage program trading, see:
programtrading.com.
This is the HL Camp website. Their computer monitoring of the premium
levels triggers much of the program trading (index arbitrage) that takes
place through simultaneous trades on the NYSE (SnP 500 stocks) and the CME
(SnP futures).
This is clear as mud to me, I'd be interested to hear the more seasoned
members of the group expand on this.
John Stevenson
Ottawa, Canada
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> From: charles meyer <chmeyer@xxxxxxxx>
> To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
> Subject: Fw: GEN:Using S&P Futures to predict S&P Moves
> Date: Wednesday, September 16, 1998 9:36 AM
>
>
>
> ----------
> > From: charles meyer <chmeyer@xxxxxxxx>
> > To: HARELSDB@xxxxxxx
> > Subject: Re: GEN:Using S&P Futures to predict S&P Moves
> > Date: Wednesday, September 16, 1998 8:35 AM
> >
> > Mornin' Dan and Group:
> >
> > I have sat at my screen for the past several years and would like to
> > know the answer to that question myself. The more experienced
> > SnP traders (futures are not my specialty) can correct my statements
> > about this but my perception is that one of the keys is in analysis of
> > the premium. A lot of times the futures will go to a premium which
> > results in the cash market playing catch-up; or rather a coincidental
> > move. Unless you are actually on the floor it is probably next to
> > impossible to profit from the difference or resulting differences on a
> > very short term basis. Often, you will see the futures ticking at a
> > premium to cash accompanied by little upside movement in the cash
> > market. That has told me that the insiders are buying futures in an
> > effort to manipulate the cash market higher so they can unload and
> > go short. The invese relationship sometimes occurs at market
> > bottoms. Let me correct myself here by adding that what I am re-
> > ferring to are the levels at which buy and sell programs enter the
> market.
> > Perhaps the essence of this concept can be captured by looking for
> > divergences between premium and cash. A head scratching product of
> > this exercise is that I have seen sell programs enter the futures
market
> > accompanied by the cash market not going lower. (like yesterday).
> > Basically, I have typed a lot of words, but I don't have any easier
> > answers. If there was a way for us to ascertain the MOTIVES behind
> > the buy and sell programs as they hit the market we could better
> > judge the effort and results from a more accurate perspective of the
> > true supply demand equation; but this further begs the question.
> > Perhaps some of the more experienced traders can jump in on this
> > thread. I recall someone posting web pages which specialize in this
> > area but don't have that information.
> >
> > Charles.
> > ----------
> > > From: HARELSDB@xxxxxxx
> > > To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
> > > Subject: GEN:Using S&P Futures to predict S&P Moves
> > > Date: Wednesday, September 16, 1998 12:03 AM
> > >
> > > How are fluctuations in the S&P 500 futures market related in time
and
> > > magnitude to fluctuations in the S&P 500 cash market? In other
words,
> > are
> > > futures traders good or bad at predicting the future and is there a
> > simple way
> > > to analyze the futures market to predict the cash market?
> > >
> > > Thanks
> > > Dan
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