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Last chart in the OEX series. This further
illustrates the basic system layed out yesterday where the TRIN and pivot and
support lines come into play. This chart has the classical pivot(yellow
dots) everyone knows about using one third of the previous day's
high+low+close and its 3 associated support lines(white). Resistance lines
are turned off to save screen space. The chart also has the "fib" support
levels(green cyan, magenta) used in FibonacciTrader consiting of the
previous day's close minus 0.5 times yesterday's range and likewise for 0.618,
1.0 and 1.382. There is a third set of support zones based on a
proprietary algorithm. Those are the Statistical Pivot Zones, green and
red sets of lines. Trin opened bearish and was still bearish after 30
minutes. After that time only one 5 minute bar closed below 1.0 neutral
line. From the negative issue and volume and price trend info on the other
charts it was only a matter of one bar before trin trended steadily upward and
it occurred when the OEX failed to reach the yellow dotted pivot. Thus
when the OEX was peaking above the CloseD(1)-0.5*(HighD(1)-LowD(1)) for 3 bars
you could be toggling the B/A with your order entry screen and see a lack of
sentiment to go higher. A zone cross below the 0.5 and 0.618 support
lines or the green Statistical pivot zone would have been encouragement to
buy puts for a 4 to 5 point gain depending on how soon you decided to
enter. Two 465 ATM puts gave you a delta of 1.0 for a minimum gain
of $400 to $500 dollars on two contracts. Let it be said, I did not
trade the OEX today and haven't for some time since the emini and qqq are my
choice. One interesting tool I ran into recently is from the <A
href="http://www.ez-pnf.com";>http://www.ez-pnf.com site see MaxPain in the
left column. It takes all the out of the money OEX calls and puts and
finds a "maxpain" point where the OEX might migrate to at expiration. This
point changes as the OI changes. Today the OEX closed on the 460
point. The theory would then say the OI bias is neutralized as a market
moving force for now.
bobr
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
BobR
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, January 08, 2003 3:38
PM
Subject: Re: [RT] setups
Michael, et al,
This gets a little more complicated in exchange
for a higher probability trade by using the future to time an OEX entry or to
trade the futures themselves. On the left side of the chart is Clyde's
version of market profil or Price Distribution Analysis. Today's open
was below Tuesday's value area low, so I am looking to short a rally to test
Tues va low or point of control. SP was so weak it could not even reach
the va low so with negative volume and issue trends and waiting for
synchronization of the system components things came together at that high
TICK. It is also helpful to use the 24 hour emini for perspective.
On the @ESH3 it was manifesting a "sell the midpoint and fib retrace
channels". It was also accompanied with a steady negative Chande Mkt
Thrust. Bill Blau's TSI picked off an entry on the short side when it
rallied to the zero line and then crossed below. The times on that chart
are in Pacific so add 2hr for Chicago and 3 for NY. You can see that the
TSI zero crossing was coincident with the short entry time on the other
charts. I'll make one more post using the older sets of
pivots.
bobr
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=bobrabcd@xxxxxxxxxxxxx
href="mailto:bobrabcd@xxxxxxxxxxxxx";>BobR
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, January 08, 2003 3:16
PM
Subject: Re: [RT] setups
Michael,
Even though the OEX has taken backseat in my
trading room, I still keep some charts on it. Today the CBOE call and
put trins were in a bearish configuration after 10:05 AM ET. Prior to
that they were mixed. Tick hit less than -600 but a long was
avoided because of the 30 minute rule and the cboe trin config and the
breadth information. So with this setup a long trade was avoided until
the OEX hit an upper distribution(red arrow) and turned south, everything
was in sync for a short, even a +800 TICK. Another rule was to buy
puts at the top of the hour +,-10 minutes depending on tick and prem and
some breadth info(in the posted system it was an intraday McClellan
Osc). I'll make another post following this one showing a more
sophisticated layout. There would have been no problems taking 5
points out today.
bobr
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=beeline@xxxxxxxxxxxxxx
href="mailto:beeline@xxxxxxxxxxxxxx";>Michael
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, January 08, 2003
2:26 PM
Subject: Re: [RT] setups
Bobr, thx for the email I trade options (on a
non US exchange ) & found your post useful...
one point I wld take issue with as
being a bit simplistic (from my experience) however was point
9...specifically ......
"Once you get the one point gain, don't
give it back. Move your stop as the option goes more in the
money."
This sounds nice in theory, but most here are
familiar with the concept of slippage in futures trading ....but in
options trading slippage is worse & can be much worse, than that in
futures trading in my observations anyway (& more so in
short dated options trading which is what you seem to be recommending
here....ie.. "If the trend
is strong and with your trade you can play closer to the
close. This is more significant during expiration week which gives
you the best trades because of the gamma
effect.")
<FONT
size=2>I realize you were only outlining these pointers from memory of an
old system so my comments may be unfair also you are referring to strongly
trending issues so this adds to the odds of success for your
method & makes slippage less of an issue..but obviously even in
strongly trending stocks you do get corrective retraces
..So I thought it worthwhile pointing out ...also by my penning this
email,somebody may be able to show me why slippage is not such a big issue
in trading US options trading(I have only traded on the Aust exchange) if
so I wld be interested to read the explanation & may switch
exchanges if true...but (in my experience)the concept of Implied
volatility combined with short dated vehicles...not too mention large
spreads in most issues normally can result in very savage pullbacks in the
option bid/ask in a v.short time ..if the basis stock has a quick
retrace/pullback etc..fwiw.
Despite these negative issues I
still find options trading worthwhile..but I have learnt only to trade
sparingly here & when odds are in my favour (I realize your list of
rules above were also towards that end btw & I concur ...but thought
it worthwhile mentioning one of the negatives that you appeared to
oversimplify ..(imo))..I think overall (& I realize this is not a
revelation)..but most options trading is more suited to position traders,
due to concepts like wide bid/ask spread & other factors some which I
have mentioned above while futures more suited to daytrading....But
if you feel you have a trading advantage in derivatives ..due to system or
whatever I guess that can help to even the score & keep you daytrading
options vs futures.
Thanks
MichaelO
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=bobrabcd@xxxxxxxxxxxxx
href="mailto:bobrabcd@xxxxxxxxxxxxx";>BobR
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, January 08, 2003
7:08 AM
Subject: Re: [RT] setups
Here is a rough draft from memory of how I
traded it a few years back. Some may recall statements being
posted on rt.
It is a discretionary, read not proprietary
and not coded, system. Thus it may be difficult to duplicate, but
here goes:
Requires a realtime datafeed, online broker
with discount commissions, and realtime OPRA with no funny stuff like
BMI used to do with options..Set up a chart with the 5 minute OEX in
subgraph one. TICK in subgraph 2 with 5 lines at zero, +400, -400,
+600, -600. Put the PREM in subgraph3 with the fair value, buy
level, sell level lines, updated each day. The CNBC levels worked
good, the w.programtrading levels didn't and seemed to be more useful
for breakouts than cycletrading.
1. Determine the daily trend of the OEX
midpoint, or the pivot trend, has it been going up or
down.
2. Make entries using at the money or one
strike out options in the direction of the trend, but make the
entries on pullbacks against the trend, thus your entries are in
sync with the MM's and not the general public.
2a. Trades can be made against the trend
with lower expectations of profit.
3. Apply classical pivots and fib pivots to
the OEX. Use a combination of the standard daily pivot and S/R
levels along with the FibonacciTrader half range, 0.618 range,
range levels for "fuzzy" entry levels, meaning close enough is good
enough. Some days the standard S/R levels are hit and other days
the FT levels are dominant. Seems to very depending on whether
everyone is trading or if there is a holiday period coming up or just
finishing.
4. Wait ~30 minutes after the cash open to
make the first trade.
5. Visualize a time sector at the top of
the hour and bottom of the hour(using a circular 12 hour
clock).
6. Enter puts in the time sector
at the top of the hour and enter calls in the time sector at the
bottom of the hour. This puts the odds in your favor of being
profitable for a short period of time. You might use a fast
oscillator as price approaches an S/R level, I didn't.
6a. Toggle the bid/ask quotes during the
time sector and watch for a change or peak in sentiment.
7. Monitor the TICK and PREM to determine
the quality(inhalation/exhalation) of price trend during those sectors
and as confirmation of intraday trend change. There is a dominant
30 minute half cycle in existance on many days.
When the power players are in
the game, the sector is wide(~+,- 10 minutes) and you can see money
coming in and leaving at the top and bottom of the hour plus minus about
ten minutes. When the sector is narrow(~+,-6 minutes) and the prem
and tick are inconclusive the trend is weak and there might not be
enough followthrough to be profitable. Put entries on strong
bullish days come after the top of the hour, and on weak days the
deterioration begins before the top of the hour. Likewise for
calls at the bottom of the hour.
8. Trade 5 contracts to start with and
set a minimum daily goal of $500.
9. Look for a one point gain from the
Ask entry to the Bid exit(only trade long calls and long puts).
Once you get the one point gain, don't give it back. Move your
stop as the option goes more in the money.
10. Don't hold overnight, and
especially don't hold over weekends or holidays to avoid time decay,
volatility change, and premium adjustments.
11. Increase the number of contracts
as the account grows.
12. Don't overtrade, two to four
roundtrip trades would not be overtrading.
That's pretty much it. Grind it
out day after day. Use stops based on the option premium.
Since you are daytrading, time decay will not be significant unless you
get into or out of a trade too close to the open or close of the day
when they are adjusted. Be wary of premium changes on Friday close
and Monday open. Thus wait at least 15 to 30 minutes after the
open and be careful going into the close. If the trend
is strong and with your trade you can play closer to the
close. This is more significant during expiration week which gives
you the best trades because of the gamma effect. Just be sure you
know what you are doing and what the name of the game is. No doubt
there will be controversy about this system, and it could be improved
with additional timing tools.
bobr
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Ray
Raffurty
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Sunday, January 05, 2003
3:08 AM
Subject: Re: [RT] setups
Hi Bob,
You wrote "<FONT face="Courier New"
size=3>I had an options system that could quintuple the account in 5
weeks of OEX trading. It was so boring I quite trading
it.
<FONT face="Courier New"
size=3>
Sent it
to me {;-)
<FONT face="Courier New"
size=3>
Good luck
and good trading,
<FONT face="Courier New"
size=3>
Ray
Raffurty
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=bobrabcd@xxxxxxxxxxxxx
href="mailto:bobrabcd@xxxxxxxxxxxxx";>BobR
To: <A
title=MedianLine@xxxxxxxxxxxxxxx
href="mailto:MedianLine@xxxxxxxxxxxxxxx";>MedianLine@xxxxxxxxxxxxxxx
; <A title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Tuesday, January 07, 2003
2:19 PM
Subject: [RT] setups
OK, this is the setup I am looking at for a long
exit/short entry. Todaymarks the 4th day of a positive NDX
net percent up down volume (up -down)/total. A lower high
on the 4th bar of a 4 bar set with a higher highon the NDX may
be a prelude to a down day the next day...at least that isthe
thesis being examined. Perhaps it is reinventing the wheel,
butdiscovery sure is fun as is the journey. I had an
options system that couldquintuple the account in 5 weeks of OEX
trading. It was so boring I quitetrading it, |;-)
.bobrTo unsubscribe from this group,
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