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<DIV>Would anybody know the total number of shares issued for QQQ as well as how
to calculate the possible short/long overnight positions?</DIV>
<DIV> </DIV>
<DIV>Thank you </DIV>
<DIV> </DIV>
<DIV>Vadim Vinitsker </DIV></BODY></HTML>
</x-html>From ???@??? Tue Feb 08 12:49:28 2000
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From: gary@xxxxxxxxxxxx (Gary Funck)
Message-Id: <10002081245.ZM11401@xxxxxxxxxxxxxxxxxxx>
Date: Tue, 8 Feb 2000 12:45:14 -0800
In-Reply-To: The Torch <iceman_nrg@xxxxxxxxx>
"[RT] Re: Gen: Fair Value and program buying" (Feb 8, 10:45am)
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Subject: [RT] Re: Gen: Fair Value and program buying
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Status:
On Feb 8, 10:45am, The Torch wrote:
> There are variations that impact the specifics of
> program trading, but your primary concern is to know
> when program trading will affect your day trading.
>
> This is the formula for fair value:
>
> Fair Value (FV) = S{1 + ( I - D )}
>
> Where
>
> S is the S&P 500 index;
> I is the amount of interest paid to the broker to
> borrow the money to buy all of the stocks in the S&P
> 500 index;
> D is the amount of dividends paid to you from all of
> the companies you own in the S&P 500 index.
>
> The interest is calculated on a percentage lending
> rate from today until the date the S&P futures
> contract expires. The dividend income also is
> expressed as a
> percentage rate.
>
> The short version of the fair value formula is the
> value of the S&P 500, plus the interest to buy the
> stocks, minus all of the dividends you get.
>
> Actual premiums used for real-world program trading
> must include the cost of money(which can vary with
> different firms), execution slippage and any NYSE
> trading curbs(buy minus, sell plus), and commissions.
> CNBC does not calculate any of the real cost that
> determines the dollar premium you use, which even
> varies amongst program traders because of different
> costs.
These guys post what they think are the correct buy/sell
levels:
http://www.programtrading.com/buysell.htm
> For Execution of Buy/Sell Programs
> Our FairValue for today is $6.76. That price does not change during
> the day. Our computers are set for program buying at $8.94 and set for
> program selling at $4.58.are the proper buy/sell levels
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