"Index" Posts

How to Compute the Point of No Return Boundaries

By Lawrence

I have introduced the concept of Point of No Return some time ago here. It is not a complex concept but many traders find it difficult to apply the concept in their own trading. I will try to explain how point of no return is calculated in general and how to figure out the right […]

OpEx Friday

By Lawrence

Finally, the open gap that was not filled yesterday in ES and SPY are now filled as I type this post at 11 am. What’s next? Scenario 1 – stuck between here and 1090 fir the reset of the day if the intended settlement price by close is 1080 zone Scenario 2 – ES stays […]

OpEx Countdown

By Lawrence

It is 10:15 now and everything worked according to the usual OpEx behaviour. The gap fill we are seeing now in ES will take SPX down to 1070s area.

OpEx dynamics at works til Friday

By Lawrence

It is the last few days to option expiration Friday for July. Yes it is a bit early for a 3rd Friday and it does happen from time to time. What it means for S&P 500 and its related products? At least 5 to 6 swings of 10+ points Going back to previous month close […]

April’s Fool Day Phenomenon

By Lawrence

One of the very rare calendar date based statistical bias happens on April’s Fool. No joke! The Phenomenon March 30 and March 31 each date produces an accumulated -15% return (non-compound, close to close) on Dow or S&P 500. Then on April’s Fool, a whooping +15%. It is not the strongest performer in terms of […]

Trading with Tick Index: S&P 500 Tick16

By Lawrence

I wrote an article in the Futures magazine some time ago on S&P 500 Tick16 Index and a basic daytrading system that exploit the statistical bias on the index. Here is some supplement information about the concepts. What is S&P Tick16 Index? The classic NYSE TICK Index is the summation of a binary function over […]

Fascinating Volume and Open Interest Relationship in Emini S&P

By Lawrence

As of friday’s close, emini S&P has an estimated daily volume of 3,251,000 (more than 3 million), with prior open interest stands at 2,350,000 (more than 2 million). Think about the ratio. The daily turnover is more than the commited overnight positions by 30%. And the daily average volume to open interest ratio has been […]

The 10 Year Challenge on Index Future Trading Systems

By Lawrence

Going through a chart of the past 10 to 12 years in Emini S&P, I cannot help thinking if there is a trading model that can work well throughout the whole period of time with reasonable draw down and good performance year after year. There was the great bull run from 1997 to 2000. Then […]

The Black Swan

By Lawrence

The Black Swan: The Impact of the Highly Improbable written by Nassim Nicholas Taleb is an interesting book. One of the claims in the book talks about the return of the Dow Jones Industrial Average will be cut by half if a limited number of days (the ones with biggest gain) are removed from the […]