augieboo....where are u?

1065 SPX daily

COMMERCIAL DATA SOURCES, (for creating indicators via Excel, or whatever).

***************************************************************

Tick-by-Tick Data
http://www.tickdata.com/index.html
Details: #msg-1109831

***************************************************************

CIS Data -- Historical Data
http://www.csidata.com/csi/data/index.html
Details: #msg-1109836

****************************************************************

MODULUS FINANCIAL ENGINEERING
Historical Data CD-ROM for Research
Details: #msg-1109836

****************************************************************

Pinnacle Data
Historical Stock & COT Data -- Pinnacle Data
http://www.pinnacledata.com/products.asp
Details: #msg-1109846

****************************************************************

"TRACK-DATA"
http://www.trackdata.com/
Details: #msg-1222208

****************************************************************
Reuters DataLink
http://www.equis.com/Products/ReutersDataLink/Default.
NOTE: This is the only one of these I've ever used myself. It's not perfect, but it's worth the fairly low price to subscribe for a month at a time and download a lot of data.

Scholarly Article on the VIX:

For more information on VIX, see this article by Duke University Professor Robert Whaley: "Derivatives on Market Volatility: Hedging Tools Long Overdue," Journal of Derivatives, 1994, pp. 71-84 or visit http://faculty.fuqua.duke.edu/~whaley/vix

LG ON MARGIN & MARGIN CALLS, #1

Posted by: LG
In reply to: augieboo who wrote msg# 11447 Date: 12/16/2003 4:22:44 PM
Post # of 11458

augie: Given some of the talk about NENG and whether margin selling is going to effect it I thought I add a couple of thoughts.

Some brokerages have lowered their price threshold for margin-able stocks from 5 to 3 bucks now, due to the declines in so many NASDAQ issues. The norm for margin-able stocks is a 50% margin maintenance requirement. Of course the margin maintenance requirement can vary per equity depending on your brokerage and its analysis of the equity. Some equities that have been deemed risky or volatile will have higher margin maintenance requirements say 70% and higher.

Most brokerages will evaluate each margin-able stock once its drops below their price threshold to be margin-able. If the stock has been doing a slow grind down, it will likely be reviewed the first day it falls below. Stocks that tumble sharply and fall beneath the margin price threshold are often given up to a five-day period to see if they are going to rebound. However, it depends on each stock, how far it fell below the brokerage's margin price threshold, how it fell and why. A stock in dire straights could be subject to an immediate margin call. Simply put, it is at the discretion of the brokerage. So you never know for sure.

Usually when a margin call is made, you are given three days to pony up more cash or reduce holdings to satisfy the call, but those calls can be deemed immediate. Margin calls with exceptions to liquidating assets to satisfy the call or the ones for falling below the pattern day trader minimum 25K balance or failing to bail out of pattern day trader 4X margin before the close. As I understand the pattern day trader regulations, you cannot satisfy either of these margin calls by liquidating existing positions, you must satisfy those calls by sending in cash.

And remember, non margin-able securities do not count toward the 25K minimum balance for pattern day trader accounts. So if you decide to buy a boatload of non margin-able stocks one day, keep in mind how those purchases are going to affect your minimum balance.

You may want to contact your brokers to find out what their margin price thresholds are now. You may be surprised to find that its been reduced from 5 bucks to 3. Of course even if a stock is margin-able, you always want to check to see what the margin maintenance requirements are for that particular stock.

You can't go short unless you have a margin account and if you do have a margin account, you use margin with every trade.

If you make four day trades a week, say only one each day for four out of five days, your account is supposed to be tagged as a pattern day trader account. Fortunately a new reg allows you to reduce trading for a week or so to get the tag lifted (depending on the brokerage), but it will go right back on if you start day trading again.

Well that's how I understand it anyway...gg

Regards,
LG

HOLIDAY SCHEDULES FOR NASDAQ & NYSE:


NASDAQ Holiday Trading Schedule

2003 Dates - Unless noted, the following dates are holidays that The NASDAQ Stock Market is closed.

January 1 - New Year's Day
January 20 - Martin Luther King Jr.'s Birthday (Observed)
February 17 - Presidents' Day
April 18 - Good Friday
May 26 - Memorial Day
July 4 - Independence Day
September 1 - Labor Day
November 27 - Thanksgiving Day
December 25 - Christmas Day


Early Closings - Market Will Close at 1:00 p.m. ET
November 28 - Day After Thanksgiving
December 24 - Day Before Christmas
December 26 - Day After Christmas



2004 Dates

January 1 - New Year's Day
January 19 - Martin Luther King Jr.'s Birthday (Observed)
February 16 - Presidents' Day
April 9 - Good Friday
May 31 - Memorial Day
July 5 - Independence Day
September 6 - Labor Day
November 25 - Thanksgiving Day
December 24 - Christmas Day



NYSE Holiday Schedule

The New York Stock Exchange is open from Monday through Friday 9:30 a.m. to 4:00 p.m. EST and will observe the holidays below:


2003

New Year's Day January 1
Martin Luther King, Jr. Day January 20
Washington's Birthday February 17
Good Friday April 18
Memorial Day May 26
Independence Day July 4*
Labor Day September 1
Thanksgiving Day November 27*
Christmas December 25*

*Early Closings:
The NYSE will close at 1:00 p.m. EST on:
Thursday, July 3, in honor of Independence Day,
Friday, November 28, in honor of Thanksgiving,
Wednesday, December 24 and Friday, December 26, in honor of Christmas.


2004

New Year's Day January 1
Martin Luther King, Jr. Day January 19
Washington's Birthday February 16
Good Friday April 9
Memorial Day May 31
Independence Day (observed) July 5
Labor Day September 6
Thanksgiving Day November 25
Christmas (observed) December 24


2005

New Year's Day January 1**
Martin Luther King, Jr. Day January 17
Washington's Birthday February 21*
Good Friday March 25
Memorial Day May 30
Independence Day July 4
Labor Day September 5
Thanksgiving Day November 24
Christmas December 26*

* Observed
** New Year's Day 2005 falls on a Saturday. The Exchange will be open for trading on Friday, December 31, 2004 and on Monday, January 3, 2005.


2006

New Year's Day January 2*
Martin Luther King, Jr. Day January 16
Washington's Birthday February 20*
Good Friday April 14
Memorial Day May 29
Independence Day July 4
Labor Day September 4
Thanksgiving Day November 23
Christmas December 25

* Observed

Commercial Timing Service used by Warpfactor:
http://www.investorshub.com/boards/read_msg.asp?message_id=1779606

Post copied verbatim below:

***************************************************************
***************************************************************

Here is the timing service that I subscribe to:

http://www.qqq-trading-system.com/trade_history.asp

There are 4 or 5 other timing services out there, most charge $30 per month (The Timing Cube, et. al.). I subscribe to this one because:

1) They focus on ST scalp type trades, otherwise they stay in cash. This is what my model does. Some of the other services make only a few calls per year, then stay either long or short until the next signal.

2) It is cheap. $95 per annum and they give signals for QQQ, SPY, DOW and "Mutual Funds".

That said, my personal model provides much better results. It is my perception that all of these timing services are targeting "couch potato" investors. People who go to work during the day and come home and night. After a night of "Joe Millionaire" and the kids are sent to bed, the couch potato can logon and review the signal from the subscription service. If there is a recommended trade, he can place a "buy at open" trade with his broker.

So these subscription services are focused on making it easy on their subscribers. And for some reason they seem to have the idea that the fewer trades the better.

In my case, I want a little more action. I have the ability to trade EOD, which provides better results over time than trading the next day at the open. Since my life allows me to make trades at EOD, I have constructed a scalp model which is torqued to providing what I want - frequent scalp trades at EOD prices.

Also, these subscription guys, once a signal is generated, will advise investing 100% (or 200% if you do margin) of your funds on the date of the signal. With my own model, I can ladder in my purchases and mitigate swings in portfolio value.

Warp

ohhh...

Can't use 'em, Rich. Augieboo is allergic to wheat. ):

Augie you tried these yet...
http://www.greenies.com

MY CURRENT CANSLIM SCREEN, adopted from the education section of the IBD web site.


01 Country: USA

02 Exchange: Nasdaq or NYSE

03 EPS % Change MRQuarter / Same Q Last Year >=25%

04 EPS % Change TTM >= 24%

05 EPS % Chg Annual >= 23%

06 EPS 3 Year Cumulative Growth Rate >= 22%

07 Return on Equity TTM >= 17%

08 Sales % Change MRQuarter / Same Q Last Year >= 25%

09 # Institutional Investors >= 10

10 Institutional Net Purchase (of shares most recent quarter) >0

11 Inst % Ownership of stock <= 75%

Thank you ponkap and augieboo, I need data in .txt format for the purpose of quantitative analysis. So tickdata.com can provide something I need.

Ken

Augie's CANSLIM Screen Criteria (as of this date)

EPS % Change Quarter over Quarter >35%

EPS % Change Trailing Twelve Months over Previous Twelve Months >= 25%

EPS % Change Most Recent Fiscal Year Over Previous Fiscal Year >= 25%

EPS 3 Year Average Growth % >= 20%

EPS 5 Year Average Growth % >= 17%

Sales % Change Quarter over Quarter >= 25%

Sales % Change Trailing Twelve Months >= 20%

Sales % Change Most Recent Fiscal Year Over Previous Fiscal Year >=18

Sales 3 Year Average Growth % >=15 %

Sales 5 Year Average Growth % >=10%

Float <= 250,000,000 Shares

Number of Institutional Owners >=10

Institutional Net Purchase over previous Quarter >= 250,000

% of Stock Owned by Institutions <= 75%

"echo bubble after 1932" by Culmus
Original at #msg-1534729

Just because the Nasdaq had a comparable percentage decline to the Dow during the period of 1929 to 1933 does not mean that the two periods are similar and that the aftermath will pan out in a similar way (as the Dow Jones Industrial Average indeed quadrupled from 1934 to 1938).

The bubble of the late Twenties was followed by a total collapse of American industry.

The U.S. Index of Manufacturing Production declined by 47% (!!!) from the peak in 1929 to the trough in 1932:

http://www.nber.org/databases/macrohistory/rectdata/01/a01007b.dat

On a monthly basis the decline was 57% from June 1929 to March 1933:

http://www.nber.org/databases/macrohistory/rectdata/01/m01054.dat

Production of machinery was down a staggering 75% peak to trough. Index of US machinery production:

http://www.nber.org/databases/macrohistory/rectdata/01/m01277a.dat

"CAPITAL EXPENDITURES FOR MANUFACTURING PLANT AND EQUIPMENT" were down by 84% (!!!) from the peak in 1929Q2 to the trough in 1933Q1 (in $ millions):

http://www.nber.org/databases/macrohistory/rectdata/10/q10096.dat

In fact, National Income (!) in Current Prices more than halved from 1929 to 1932/33 ($ millions):

http://www.nber.org/databases/macrohistory/rectdata/08/a08167.dat

Sure enough disposable personal income of US households also halved between 1929Q3 and 1933Q1 (seasonally adjusted, in $ billions):

http://www.nber.org/databases/macrohistory/rectdata/08/q08282a.dat

...as US nonagricultural employment declined by 27% from 1929 to 1932 (in million persons):

http://www.nber.org/databases/macrohistory/rectdata/08/a08170.dat

While the US manufacturing industry as measured by "U.S. Net Profits of Manufacturing Corporations" was bleeding red ink for almost three years from 1930Q4 to 1933Q2 ($ millions):

http://www.nber.org/databases/macrohistory/rectdata/09/q09025b.dat

Corporate profits in the finance business were down by almost 90% between 1929 and 1933 (in $ millions):

http://www.nber.org/databases/macrohistory/rectdata/09/a09024.dat

In 1932 just four in ten US companies (in manufacturing, mining, trade and services) were turning a profit:

Data description:

http://www.nber.org/databases/macrohistory/rectdata/09/docs/q09079.txt

Time series:

http://www.nber.org/databases/macrohistory/rectdata/09/q09079.dat

The losses of the companies that were bleeding red ink exceeded the profits of the profitable companies by about three times in 1933.

Peak to trough the net dividends of US industrial corporations declined by 86% between January 1930 and August 1932 (in $ millions):

http://www.nber.org/databases/macrohistory/rectdata/08/m08239.dat

What you had in the aftermath of the burst bubble following 1929 was a catastrophic collapse of the economy, employment, investments, personal income, corporate profits and dividends. The decline of stock prices about matched the declines of corporate investments, profits and dividends in percentage terms. At the same time you had a total disillusionment among investors as JP Morgan for instance exited the asset management business altogether in 1934 after losing 70% of customer assets (which actually was above average).

In stark contrast total US industrial production declined a mere 6.7% peak to trough from September 2000 to December 2001. Employees on nonfarm payrolls declined from 132.6 million in February 2001 - the last peak - to 129.8 million this last August, if that should be the trough. A similar decline comparable to the 1929 burst would have cost about 36 million jobs today!

According to S&P profits for the S&P 500 Index components declined by 39% peak (2000Q2) to trough (2001Q2) and for the current fourth quarter are expected to only be 3% below peak earnings. That decline was exaggerated as companies during the bubble included financial income in regular income (for Intel financial income reached 40% of reported profits in 2000 for instance) while they are now excluding eventual write downs. Excluding financial income also in 2000 the decline was much more muted.

In the "real bubble" we had a total collapse of the economy, corporate earnings and valuations. The quadrupling of the Dow Jones from 1934 to 1938 started from a PE ratio of less than 6 based on depressed earnings while the S&P now trades at a PE ratio of about 20 with much less earnings upside percentage wise than in the Thirties.

Back then stocks were considered just about the most speculative thing there was, nobody wanted to own stocks, while today investor optimism is higher than it was in 1987.

In my humble opinion you are comparing apples to oranges when assuming that we are in for a repeat of the post 1934 bubble burst rebound.

Culmus

dear augie, I have determined that the stock market is really a wash with evil forces. once the evil is washed away, truth and beauty come to the forefront.

For your inspection enjoyment I wish to offer three charts.
ABB
avnx
comp
atml

make a 4 year chart of each semi log

draw a downward trendline everywhere you can
note that in each case the stock bounced a lot when the evil downward trendlines were removed either by price or time.
Abb wont be perfect because of currency differences.

ps you can also add hdtv and dcgn and a bunch of others

ps I think there is a cup and handle on cphd

I have also determined that the reson for the spring 2002 bull run existed was to turn everything into a down wedge

Longer Term Picks -- wahz's "Fabulous Fifteen"

I have nearly full positions again in my "fabulous fifteen:"

ascl,
vrsn,
vrst,
fnsr,
cien,
avnx,
nok,
hill,
neng,
rfmd,
dgin,
dctm,
jdsu,
qcom,
bkhm.

#msg-1503544

Article on "Float Analysis"

Interesting concept, but I have no real opinion about it yet. (Putting it here just because I don't want to lose the link.) These guys have a product to sell, so be aware and all that kind of stuff...

http://www.floatanalysis.com/technical_anlysis.htm

NYSE Paper on Technical Analysis:

Technical Analysis and Liquidity Provision

ABSTRACT:

The apparent conflict between the level of resources dedicated to technical analysis by practitioners and academic theories of market efficiency is a long-standing puzzle. We offer an alternative explanation for the value of technical analysis that is consistent with market efficiency - specifically, that it reveals information about limit order book liquidity. We find evidence consistent with the hypotheses that support and resistance levels coincide with peaks in depth on the book and that moving average forecasts reveal information about the relative position of depth on the limit order book. These results help to reconcile the widespread use of technical analysis with the traditional academic wisdom, and provide a practical method for estimating the level of liquidity on the book.

http://www.nyse.com/pdfs/2002-04.pdf

My List of Books on Stock Trading, Indicators, TA, etc.

1. Reminiscences of a Stock Operator by Edwin Lefèvre

augiebooboo's comments:
Anyone who wants to understand Wall Street needs to read this and/or The Wall Street Jungle.


2. The Wall Street Jungle by Richard Ney (Author)

augiebooboo's comments:
A bit outdated now, but still quite relevant for anyone who wants to know how "da boyz" can pick your pocket and make you pay for the priviledge. Hard to get, but my library has it. Try yours.

For a preview of the ideas in the book, see the article The NYSE Specialist #msg-424179

For some more stuff about Ney and his system, see http://home1.gte.net/simres/e1-ney1.htm


3. Technical Analysis of Stock Trends by Robert D. Edwards, John F. Magee

augiebooboo's comments:
THE "Bible" on stock trading. Beginners usually start here. Great basics and background, but look elsewhere for "how to" info.


4. TECHNICAL ANALYSIS OF THE FINANCIAL MARKETS
by John J. Murphy

augiebooboo's comments:
The other "Bible" on stock trading. #2 for beginners. A broad survey with very little depth anywhere and, again, no practical/how-to stuff.


5. Technical Analysis Explained by Martin J. Pring

augiebooboo's comments:
Another fairly comprehensive work a la Murphy or E&McGee, but much more practically oriented, IMHO. Great for beginners or as a brush-up for intermediates.


6. Trading for a Living: Psychology, Trading Tactics, Money Management by Alexander Elder (Author) (Hardcover)

augiebooboo's comments:
At least one of these two Elders should be on everyone's list. I like this one best.


7. Come Into My Trading Room: A Complete Guide to Trading
by Alexander Elder

augiebooboo's comments:
Another important book by Elder.


8. Essential Technical Analysis: Tools and Techniques to Spot Market Trends by Leigh Stevens

augiebooboo's comments:
Intermediate level overview with lots of practical application.


9. Martin Pring on Market Momentum by Martin J. Pring

augiebooboo's comments:
Intermediate level book on indicators (for the most part). If you are willing to get some data & learn a little bit of Excel, this book can help you learn a TON about how & why indicators work.

Note: Pring's pride and joy is what he calls the "KST" system, which is essentially a momentum-based indicator system for timing the markets in the short, (days to weeks), medium, (weeks to months), and long, (months to years), terms. You can play around with the KST system for free at Pring's web site, http://www.pring.com/KSTchart.htm

Note 2: I don't use the KST system, but I played with it a great deal and learned quite a bit in the process.


10. Encyclopedia of Chart Patterns by Thomas N. Bulkowski

augiebooboo's comments:
Valuable resource. Bulkowski is the only author I know of who has studied chart patterns systematically & mathematically. Bulkowski studied 500 stocks from mid-1991 to mid-1996. Keep this time frame in mind when using the book, as this was definitely a BULL market, and chart patterns have a way of adjusting themselves to general market conditions, IMDO. In other words, bullish patterns work better during bull markets, and bearish patterns work better during bear markets.


11. JAPANESE CANDLESTICK CHARTING TECHNIQUES by Steve Nison

augiebooboo's comments:
Most traders -- even those who think otherwise -- don't know beans about candlesticks. Read this and you'll be one of the few.


12. Point and Figure Charting: The Essential Application for Forecasting and Tracking Market Prices by Thomas J. Dorsey

augiebooboo's comments:
Good system for the conservative trader or the investor who wants to trade now and then

Note: Dorsey has an excellent, free, online tutorial on PnF charting. http://208.149.108.67/cgi-bin/foxweb.exe/fwuniv


13. The Master Swing Trader: Tools and Techniques to Profit from Outstanding Short-Term Trading Opportunities
by Alan S. Farley (Hardcover)

augiebooboo's comments:
THE book for the serious, hard-core trader looking to become a true master. Not an easy read. Much knowledge (on the part of the reader) is presumed & necessary to put it to good use.

Note: Farley has an awesome website packed full of great trading tips. http://www.hardrightedge.com/

Note 2: Farley sometimes hangs out on Silicon Investor, where he goes by the handle "Trader Alan." http://www.siliconinvestor.com/stocktalk/profile.gsp?id=4851003


14. Beyond Candlesticks : New Japanese Charting Techniques Revealed by Steve Nison

augiebooboo's comments:
More content than most people seem to think, but only recommended for those who really want to learn 'sticks.


15. Arms Index by Richard W. Arms, Jr.

augiebooboo's comments:
TRIN & nothing but TRIN. Essentially a long (just under 100 pp) journal article in book form. Useful info if you get it cheap. Otherwise skip it unless you're really into the TRIN.


16. The Research Driven Investor: How to Use Information, Data and Analysis for Investment Success by Timothy Hayes

augiebooboo's comments:
Excellent for the longer-term trader, (i.e., weeks to months or longer), as it covers LT market modeling with market internals, sentiment, etc.

Note: Hayes is affiliated with Ned Davis Research, which has a very nice web site where they give absolutely NOTHING away for free. (BOO!) http://www.ndr.com/public/container/bio_tim.html

Harmonic Analysis links, (Butterfly & Gartley patterns and the like):

The Phoenix has a thread on SI. He's a really good fellow and posts lots of charts of butterfly & gartley patterns. http://www.siliconinvestor.com/stocktalk/subject.gsp?subjectid=53441

Here is a post by the phoenix on the Bearish Three Drives pattern. http://www.siliconinvestor.com/stocktalk/msg.gsp?msgid=17905662

Commercial sites with at least a bit of free info:

http://www.dynamictraders.com/visitor_survey.asp?intSurveyAreaID=6

http://www.harmonictiming.com/

http://www.harmonictrader.com/chart_examples.htm

http://www.tradingtutor.com/tow.shtml

Reuters DataLink

http://www.equis.com/Products/ReutersDataLink/Default.aspx

"TRACK-DATA"
http://www.trackdata.com/

Their "Dial Data" service has the following historical stats:

 
 		MARKET STATISTICS		 
 MARKET STATISTICS ARE NOT AVAILABLE IN WEEKLY OR MONTHY FORMATS.			 
 			 
 ALL ISSUES, NUMBER & VOLUME:	START DATE 
 *NIS	NYSE STOCKS		880104 
 *AIS	AMEX STOCKS		880104 
 *OIS	NASDAQ STOCKS		880104 
 *BIS	NYSE & AMEX BONDS	890901 
 			 
 ALL ISSUES, VOLUME ONLY:			 
 *NISVO	NYSE STOCKS		880104 
 *AISVO	AMEX STOCKS		880104 
 *OISVO	NASDAQ STOCKS		880104 
 			 
 ADVANCING ISSUES, NUMBER AND VOLUME:			 
 *NAZ	NYSE STOCKS		700105 
 *AAD	AMEX STOCKS		880104 
 *OAD	NASDAQ STOCKS		880104 
 *BAD	NYSE & AMEX BONDS	890901 
 			 
 ADVANCING ISSUES, VOLUME ONLY:			 
 *NAZVO	NYSE STOCKS		700105 
 *AADVO	AMEX STOCKS		880104 
 *OADVO	NASDAQ STOCKS		880104 
 			 
 DECLINING ISSUES, NUMBER & VOLUME:			 
 *NDZ	NYSE STOCKS		700105 
 *ADE	AMEX STOCKS		880104 
 *ODE	NASDAQ STOCKS		880104 
 *BDE	NYSE & AMEX BONDS	890901 
 			 
 DECLINING ISSUES, VOLUME ONLY:			 
 *NDZVO	NYSE STOCKS		700105 
 *ADEVO	AMEX STOCKS		880104 
 *ODEVO	NASDAQ STOCKS		880104 
 			 
 			 
 UNCHANGED ISSUES, NUMBER & VOLUME:			 
 *NUZ	NYSE STOCKS		700105 
 *AUN	AMEX STOCKS		880104 
 *OUN	NASDAQ STOCKS		880104 
 *BUN	NYSE & AMEX BONDS	890901 
 			 
 			 
 UNCHANGED ISSUES, VOLUME ONLY:			 
 *NUZVO	NYSE STOCKS		700105 
 *AUNVO	AMEX STOCKS		880104 
 *OUNVO	NASDAQ STOCKS		880104 
 			 
 			 
 			 
 NEW HIGHS, NEW LOWS			 
 *NHI	N.Y. NEW HIGHS		700105 
 *NLO	N.Y. NEW LOWS		700105 
 *AHI	AMER. NEW HIGHS		700105 
 *ALO	AMER. NEW LOWS		700105 
 *OHI	NASDAQ NEW HIGHS	860808 
 *OLO	NASDAQ NEW LOWS		860808 
 			 
 			 
 ADVANCE / DECLINE VALUES			 
 OPEN, HIGH, LOW, CLOSE, VOLUME-  
 (ADV, DEC, UNC, ADV VOL, DEC VOL)			 
 *NADV	NYSE STOCKS		700105 
 *AADV	AMEX STOCKS		880104 
 *OADV	NASDAQ STOCKS		880104 
 *BADV	NYSE & AMEX BONDS	890901 
 			 
 ALL ISSUES TRADED, AVERAGE PRICE 
  AND AVERAGE PRICE CHANGE (100THS):			 
 *NTP	NYSE STOCKS		890301 
 *ATP	AMEX STOCKS		890301 
 *OTP	NASDAQ STOCKS		890301 
 *BTP	NYSE & AMEX BONDS	890301 
 			 
 ALL ISSUES TRADED, AVERAGE PRICE  
 CHANGE (100THS)& AVERAGE VOLUME:			 
 *NTV	NYSE STOCKS		890301 
 *ATV	AMEX STOCKS		890301 
 *OTV	NASDAQ STOCKS		890301 
 *BTV	NYSE & AMEX BONDS	890301 
 			 
 ADVANCING ISSUES, AVG PRICE:			 
 *NAP	NYSE STOCKS		890701 
 *AAP	AMEX STOCKS		890701 
 *OAP	NASDAQ STOCKS		890701 
 *BAP	NYSE & AMEX BONDS	890701 
 			 
 ADVANCING ISSUES, AVG PRICE CHANGE  
 (100THS) & AVG VOLUME:			 
 *NAA	NYSE STOCKS		721006 
 *AAA	AMEX STOCKS		721006 
 *OAA	NASDAQ STOCKS		721006 
 *BAA	NYSE & AMEX BONDS	721006 
 			 
 DECLINING ISSUES, AVG PRICE:			 
 *NDP	NYSE STOCKS		890701 
 *ADP	AMEX STOCKS		890701 
 *ODP	NASDAQ STOCKS		890701 
 *BDP	NYSE & AMEX BONDS	890701 
 			 
 			 
 DECLINING ISSUES, AVG PRICE CHANGE  
 (100THS) AND AVG VOLUME:			 
 *NDA	NYSE STOCKS		721006 
 *ADA	AMEX STOCKS		721006 
 *ODA	NASDAQ STOCKS		721006 
 *BDA	NYSE & AMEX BONDS	721006 
 			 
 UNCHANGED ISSUES, AVG PRICE:			 
 *NUP	NYSE STOCKS		890701 
 *AUP	AMEX STOCKS		890701 
 *OUP	NASDAQ STOCKS		890701 
 *BUP	NYSE & AMEX BONDS	890701 
 			 
 AVG COMBINED STOCK PRICE (NYSE,  
 AMEX & NASDAQ) & CHG FROM PRIOR:			 
 			 
 *TOT	AVERAGE COMBINED PRICE	890705 
 (AVERAGE PERCENT PRICE CHANGE IN VOLUME FIELD)		 
 			 
 10 MOST ACTIVE STOCKS VOLUME & AVG. PRICE			 
 *NAC	NEW YORK EXCHANGE	721017 
 *AAC	AMERICAN EXCHANGE	721017 
 			 
 10 MOST ACTIVE STOCKS, LOW =  
 NUMBER OF ADVANCING, VOL =  
 NUMBER OF DECLINING			 
 *NAV	NEW YORK EXCHANGE	721017 
 *AAV	AMERICAN EXCHANGE	721017 
 			 
 			 
 TRADING INDEX:	TRIN		 
 100 * ((ISSUES ADVANCED/ISSUES DECLINED)  
 / (UP VOLUME/ DOWN VOLUME ))		 
 *NTRIN	NYSE STOCKS		881207 
 *ATRIN	AMEX STOCKS		890301 
 *OTRIN	NASDAQ STOCKS		890228 
 			 
 CBOE	 
 TOTAL VOLUMES & OPEN INTEREST:		 
 *CBVOL	PUT+CALL	890207 
 *CCVOL	CALL		890207 
 *CPVOL	PUT		890207 
 			 
 OEX TOTAL	 
 VOLUME & OPEN INTEREST:		 
 *TOEX	PUT+CALL	890628 
 *TOEXC	CALL		890628 
 *TOEXP	PUT		890628 
 			 
 AMERICAN EXCHANGE AVERAGE CLOSE:			 
 *ACAV	CALL		850901 
 *APAV	PUT		850901 
 	TOTAL PREMIUM:		 
 *ACTO	CALL		850901 
 *APTO	PUT		850901 
 			 
 PHILADELPHIA EXCHANGE AVERAGE CLOSE:			 
 *BCAV	CALL		850901 
 *BPAV	PUT		850901 
 	TOTAL PREMIUM:		 
 *BCTO	CALL		850901 
 *BPTO	PUT		850901 
 			 
 CHICAGO BOARD AVERAGE CLOSE:			 
 *CCAV	CALL		850901 
 *CPAV	PUT		850901 
 	TOTAL PREMIUM:		 
 *CCTO	CALL		850901 
 *CPTO	PUT		850901 
 			 
 PACIFIC EXCHANGE AVERAGE CLOSE:			 
 *PCAV	CALL		850901 
 *PPAV	PUT		850901 
 

PIMCO on Bonds -- Here are excerpts from two recent Pimco pieces on the bond market. The authors, Lee Thomas and Paul McCulley, have rather different takes: Thomas says "sell bonds" while McCulley says don't short the bond market, but stick to short maturities.

Both good pieces IMDO.

*************************************************************
The Road Ahead
Global Markets Watch
Dr. Lee R. Thomas, III June 2003

Where will it all end? Well, wherever it ends, it is unlikely to be bond heaven. Today’s investor confronts as undemanding a bond decision as he or she ever is likely to face. Consider the case against bonds:

Among the chief problems facing the U.S. economy today is debtors with not enough equity to support their liabilities. A little inflation will make it easier for debtors – individuals and corporations alike – to repair their balance sheets.

So you might conclude that the nation’s economic leaders would like to see inflation rise. You would be right. This country’s head central banker has said he would like companies to have more “pricing power.”

The Fed’s rhetoric has been matched by action. Not only is the Fed very loose, it has signaled it is willing to get even looser.

At the same time, the U.S. is moving from a modest federal government surplus to a substantial deficit. The administration is committed to new defense spending and also to cutting taxes. So common sense says the deficit is likely to grow further.

The dollar is falling.
Putting it all together, the bond market’s fundamentals are as one-sided as they ever will get. The Fed-on-steroids policy of the past few years always was likely to create another bubble in something, and many observers (myself included) expected the bubble to appear in real-estate prices. It has, at least in some property markets. But a much bigger bubble has developed in bonds. That is where the greater opportunity for wealth destruction now lies. Bonds are priced for perfection. In the upside-down world of bonds, “perfection” means economic collapse. So, unless you expect the U.S. to do a Japan-like swoon, you cannot rationalize long-maturity bond yields where they are today.

Sell bonds.

LINK TO FULL ARTICLE: http://www.pimco.com/leftnav_generic_frm.asp?page=/gmw/June03/index.htm


**********************************************************
Promiscuity In The Pursuit Of Virtue
Paul A. McCulley
July 10, 2003

The Bottom Line
I believe the Treasury market is in a “rational” bubble, because the intermediate term global economic outlook is a bi-modal one, rather than a “normal” bell curve. Put more bluntly, Keynesian reflationary policies will work and inflation will go up, or they won’t work and deflation will unfold. A perpetual muddle-along scenario, the easiest one in the world to predict, is also, I think, the least likely.

As long as this is the lay of the economic land, Treasuries (swaps) are both too rich to buy and too cheap to sell. Not a pleasant place for an active portfolio manager: If it’s a bubble, playing it on the long side is a bigger fool game, but if it is not a bubble, playing it on the short side is a foolish game. The “truth” will be revealed only in the fullness of time.

Until it is, a close-to-index duration stance is the right posture for active fixed income managers, particularly after the vicious sell-off of the last several weeks. In a world of a “rational” bubble, the rational portfolio manager must worry more about being wrong than being right.

The name of the game must be to stay in the game, until time is full.

LINK TO FULL ARTICLE: http://www.pimco.com/leftnav_generic_frm.asp?page=/ff/July03/index.htm

Thanks Chris, I had that link a while back but lost it. (:

Free tick data for NDX, S&P:

http://www.traders2traders.com/linkindex/Default.asp?CategoryID=3&OrderBy=ResourceName&Order...

FYI regarding Thomson i-Watch, http://www.investorshub.com/boards/read_msg.asp?message_id=1211819

think about it... do you really think "Big Money" traders are going to openly advertise if they want to buy a large position???... if they really wanted to buy, wouldn't it make sense to "advertise" a large sell order?

case in point... http://iw.thomsonfn.com/iwatch/cgi-bin/iw_ticker?t=MIR&range=7&hdate=0&i=2&l=1056119...

look at all those large "buy" orders... bullchit

COTS Reports & Charts Links

MarketSwing
-- Tables & Charts
http://marketswing.com/COT/COT.htm

VTO Report
-- only reports large contracts ):
http://www.vtoreport.com/sentiment/cot.htm

MarketPit
-- No NDX coverage
http://www.marketpit.com/

Sharlynx
-- No Mini-NDX
http://www.sharelynx.net/Markets/Charts/COT.htm

Commodity Futures Trading Commission (CTFC)
-- The source for all COTS raw data
http://www.cftc.gov/cftc/cftchome.htm

Index & Weights for the Following Indices:
http://www.cboe.com/OptProd/IndexOptions.asp#broadbased

Broad Based Indices
EYR - CBOE Asia 25 Index
EOR - CBOE Euro 25 Index
DJX - Dow Jones Industrial Average
OEX® - S&P 100® Index
XEO® - European-style S&P 100
SPX - S&P 500® Index
SML - S&P® SmallCap 600 Index
NDX - Nasdaq-100® Index
GTC - GSTI™ Composite Index
NYA - NYSE Composite Index® Options
RUT - Russell 2000® Index
NFT - Morgan Stanley Multinational Company Index


Dow Jones Indices
DJX - Dow Jones Industrial Average
DTX - Dow Jones Transportation Average
DUX - Dow Jones Utility Average
DJR - Dow Jones Equity REIT Index
MUT - Dow 10 Index
ECM - Dow Jones Internet Commerce Index


CBOE Sector Indices
GOX - CBOE Gold Index
INX - CBOE Internet Index
CBOE Internet Index (Reduced-Value)
OIX - CBOE Oil Index
TXX - CBOE Technology Index


Goldman Sachs Technology Indices
GHA - GSTI™ Hardware Index
GIN - GSTI™ Internet Index
GIP - GSTI™ Multimedia Networking Index
GSM - GSTI™ Semiconductor Index
GSO - GSTI™ Software Index
GSV - GSTI™ Services Index
GTC - GSTI™ Composite Index


Morgan Stanley Indices
MVR - Morgan Stanley Retail Index
MVB - Morgan Stanley Biotech Index
MGO - Morgan Stanley Oil Services
NFT - Morgan Stanley Multinational Company Index


International Indices
EYR - CBOE Asia 25 Index
EOR - CBOE Euro 25 Index
MEX - CBOE Mexico Index

Osprey posted the following:
==========================================================

Posted by: osprey
In reply to: Zeev Hed who wrote msg# 122274 Date:6/22/2003 11:21:16 AM
#msg-1130365

Trader wipeouts as Paul and Zeev are discussing, is an eerie subject as I've seen the same thing many, many times since the bubble broke. A huge number of people aren't ever coming back to this market because they can't, they lost it all. I know one guy who bet his house literally on nufo a high flying com laser company that went from the 60's to single digits, one old guy who lost a million USD (all he had), one guy who lost 2 million out of 3 million, there is more but you get the picture. I've come to believe the hard way that capital preservation and limiting risk are more important than maximizing gains. Some of my rules FWIW

1. Risk no more than 1% of your portfolio in a trade. In practice sometimes I'll go up to 4%.

2. Never average down, average up.

3. Stop losses of course. I use mental because every time I use a real, the MM's fish for them.

4. Never let a profit turn into a loss.

5. When you go into a trade long or short (plan A), always have a plan B, exit strategy.

6. Lose your opinions not your money (thanks LG). There is more but you get the picture.

One of the three disciplines a trader needs IMO, is emotional control to follow the rules. I don't always do it myself and occasionally have a blowup, none that big lately. I consider myself as liking a challenge and a serious amateur, mostly swing and position trade and actually make most of my money on LTBH (not LTB&hold forever). But I've been up every year since the crash, although not a lot. Just my perspectives and style but watching people get burnt to the ground was a sobering lesson. Good and careful trading.

===========================================================
Zeev replied:
===========================================================

Posted by: Zeev Hed
In reply to: osprey who wrote msg# 122283 Date:6/22/2003 12:34:20 PM
Post #of 122308

My rules don't differ much than yours, except that my typical trading (or longer term) position is 2% rather than 1%. The reason is quite simple, if I go 100% into equity, at 1% I'll need to have 100 different stocks, too much to monitor and also requires a screen of about 200/300 stocks to chose from (right now my screen is typically 100/150 stocks plus few special groups like Dow stocks and SOX, some are duplicated in both).

I will double up and sometimes even triple if I think a company has a great potential. Sometimes, I will let a position grow above 2% (like the bu$$ which is now at around 8% and sometimes during the day it could jump to 12%, but very rarely stay that way overnight), but that is because it has grown so much on me in the last five months or so.... Eventually, it will come back to its norm, but as long as it is strong, I don't mind a somewhat higher concentration in strong stocks....

Zeev

============================================================
Osprey answered:
============================================================

Posted by: osprey
In reply to: Zeev Hed who wrote msg# 122291 Date: 6/22/2003 12:53:57 PM
Post #

Zeev, we are not so far apart. I will open a position at 1-4% and average up if it seems justified. My main account is mostly LTBH (gasp, horrors, laughter >G<, not Hold Forever) and I will hold investment grade as long as the trend and reasons I bought are intact. In practice some of my better choices, amgn, wash mutual, mogn have grown to a rather high percentage of my account. I like to hold 10-20 stocks, enough for diversification but not enough to dilute gains by ending up averaging to like the market.

Like many people, I have several accounts, one investment and one for trading. I actually make more money in the investment account but the trading account is for fun, learning and forces me to focus and pay attention to the market. Some of the discussions about trading styles I see is silly. There are as many styles as there are traders and whatever works for someone works. Avoiding the obvious errors is just common sense which is of course, not always common. Good luck and careful trading.

“A dogs life” I’ve always considered it, a good thing when I heard it, but was never in my jeans.

Scalping MIR, by Bruce Thompson, (cont.)
#msg-1125511
*************************************************************

Posted by: Bruce A Thompson
In reply to: augieboo who wrote msg# 7853 Date:6/20/2003 8:00:28 AM
Post #of 7860

Good Morning Augie,

MIR seems to be in an uptrend. This trend is probably short term. Watch IWATCH this morning set to 5 mins. If the buys build up like they have the last 3 days, then pull the trigger either premarket or right out of the gate. Watch for Elliot waves on the 1 minute chart during the first hour. Sell at the top of the third run.

BT

Neat time saving tip:

Pull up Iwatch for MIR. Set for 5 mins. When the page loads, right click on the interest messages chart and click properties. Cut & paste the URL into your browser's address bar and hit enter. Only the chart will load without the rest of the web page. It loads much faster and hitting the refresh button updates it. Then save it as a "Favorite"

AUGIENOTE: The ULR for IWATCH is http://iw.thomsonfn.com/iwatch/cgi-bin/iw_ticker?t=MIR&range=7&hdate=0&i=2&l=1056119...

"where DO you get the time"

It's simple. I have no life. {g/ng}

Thanks for your posting… where DO you get the time
Referring to man, dog, god, as an expression of “WOW!” But I think I get it common your good but not a God

Just plain "augie" is fine. (:

The funny thing is, the past few days a bunch of folks have been discussing/arguing about Max Pain and delta hedging on Zeev's board and [1] I realized that I had forgotten the definition of delta hedging that Mishedlo uses; and, [2] it dawned on me that there might be an actual, "official," definition of the term, and if so, I had absolutely no idea what that might be. (I've never played options.)

So I did a little searching on SI, and then a little Googling, and figured what the heck, I might as well share with all my cyber-buddies.

(:

man...I mean dog...ok lets use "god augie" you haven't been just laying around licking your but have ya? <G> Good doggie!...Good stuff!!!

A DETOUR FOR DELTA HEDGING
From http://209.41.12.102/cgi-local/shoptmc.pl/page=0600delta.html


Let me detour for a moment to explain this keystone to understanding the present silver market. What is "delta hedging"? When option holders see prices move a certain amount away from the strike price of options they hold, option theory demands that they buy or sell an offsetting amount to cover their increased risk. This "delta hedging" is that increased selling or buying, i.e., the option holder must hedge the delta ("change") in his position. For instance, if you are long by virtue of holding call options, accepted option theory prescribes that you sell so-and-so much more silver as the option rises further above the strike price, in order to maintain the same level of risk in your position. Conversely, if you are short through options you have to buy more as the price drops further from the strike price.

Intuitively this doesn’t make much sense until you realise what the option seller aims to maintain. Merchants of physical commodities never try to make a profit on the rise or fall of the market, but rather only from the transactions they perform. Therefore they manage their positions (inventory) so that they never grow or shrink. How do they do this? By adjusting their bid and ask prices. With the silver market at $5.00 an ounce, a physical merchant might be buying silver for $4.90 an ounce and simultaneously selling for $5.10 an ounce. If he owns an inventory of 10,000 ounces of silver, he will raise his buying and selling prices as he sells inventory, and lower his buying and selling prices as he buys inventory. This tends to keep his inventory stable ("flat"), and a flat position carries no risk. (Ignore the 10,000 that he owns. He doesn’t care what happens to the value of that inventory. He only wants to use it for making transactions. He’s not an investor, he’s a merchant, and he makes his living buying and selling that inventory, not on the rise or fall of the market.

Options merchants or sellers ("bullion banks" and "producers"), on the other hand show much different behaviour. Why? Because their leverage in their inventory is not one to one, but varies with the relation of the option strike price to the market price. As they lose, their leverage gears up the loss to increase at an increasing rate. As they gain, their leverage gears the loss to reduce risk. Their exposure remains relatively stable over a certain range of market prices, but violently increases outside that range.

Options sellers operate just like bookies. They know that most bets run against the bettor; the house usually wins. However, once in a while a long shot comes in and the house loses big money. Just like the house in a casino, the options seller he faces a risk curve where most of the time he collects free money (just back up the truck). What’s the downside? Outside a certain range, he faces terrifying, potentially annihilating risk.

Without resorting to any conspiracy theory, the last 20 years’ rise in options activity alone could explain why both gold and silver stagnate in a narrow price range with periodic violent moves outside that range. Increased options activity virtually guarantees that any market will act that way.

Why? Because the options merchants is not hedging an inventory so much as a level of risk. If you sell one call option at-the-money (same price where the market currently stands), it has a "delta" or risk of change of .5 or 50%. That is, there is a 50% chance the price will go up, and a 50% chance the price will drop. The further the price moves away from the option strike price in such direction that the seller loses, the faster the "delta" or risk rises. In order to maintain the same "delta," the option seller must buy more and more silver.

Suppose the market stands at $5.00, and you sell a call option for 5,000 ounces of silver with a strike price of $5.00. Your delta is now .5 or 50%. If the market drops to $4.50, the option moves farther out-of-the-money and the delta drops along a curve (not in one-to-one ratio). Say now the delta is .25 or 25%. Now you are short only the equivalent of 2,500 ounces of silver. To maintain the same delta you started with, you have to sell more options. As options activity increases, this will put more and more pressure on the market.

Now suppose the market goes the other way. It stands at $5.00, and you sell a call option with a strike of $5.00, i.e., at the money. You are now short the equivalent of 5,000 ounces. Suppose the delta is .75 for the 5.50 strikes, and 1.00 for the 6.00 strikes. The risk increases on a curve up at an increasing rate. Now when the price reaches $6.00, you are short the equivalent of 10,000 ounces, or twice as much as you intended. You have to somehow buy the equivalent of 5,000 ounces to restore your position to its original .5 delta.

What does this imply? That increased options activity (such as the Derivatives Revolution of the past 20 years) will (1) moderate prices (decrease volatility) over a certain range but (2) violently exaggerate price moves (increase volatility) outside that range.

What else does it hint? That futures merchants and hedgers ("bullion banks" and "producers"), once they establish an options position, have a colossal self-interest to protect. That self-interest is wholly wrapped up in the market price remaining in a certain range. That self-interest will be french-fried and incinerated if the price escapes that range. If one were a prosecuting attorney looking for a perpetrator, that would certainly give merchants and hedgers a motive to manipulate the market. Even if they weren’t operating in active, conscious concert, their behavior -- driven as it is by the logic of their position -- would make their actions look like a conspiracy.

-- F. Sanders

Delta Hedging: Academic Papers (DEEP)

http://www.wu-wien.ac.at/wwwu/institute/or/geyer/pdf/delta.pdf

Delta Hedging With the Smile
http://mfs.rutgers.edu/conferences/10/mfcindex/files/MFC-099%20Vahamaa.pdf

Delta Hedge, Delta Variable, Gamma Hedge, Defined

from http://www.anz.com/edna/dictionary.asp?action=content&content=delta_hedging

A strategy used by option sellers to protect their exposure, ie, to be 'delta-neutral'. delta hedging involves taking steps to offset price/rate risk by matching the market response of the underlying asset over a narrow range of price/rate movements. (option buyers do not need to worry about delta hedging because their potential loss is limited to the outlay of an initial premium.) To structure a delta hedge, an option seller takes into account changes in the spot price, the time to expiry and the difference between the strike and spot prices. The more an option is in-the-money the greater is the amount of delta hedging. A deep in-the-money option has a delta of close to 1, or even 1, because it is likely to be exercised; a deep out-of-the money option would be close to or at zero because the option has very little intrinsic value.


Delta variable

This measures the likelihood of an option being exercised and so determines how much an option writer should hedge to be delta-neutral, ie, covered.


Gamma hedge

A hedge taken by initiating option positions to reduce the risk of change to an options portfolio's delta in response to changes in the underlying over a narrow range of price movements.

Max Pain by At-The-Ask,

-------------------------------
From an SI post
-------------------------------


To:Joseph Silent who wrote (59650)
From: At_The_Ask Saturday, Nov 16, 2002 10:56 AM
View Replies (1) / Respond to of 76187

I'm going to chime in for mish here for a minute and try to give him a break.
If you first want to learn about max pain and how it works you need to learn a little more about the fundamentals of options and how they work from the pov of an option seller, and especially a market maker in options. You need to understand your greeks and how they all fit together, particularly you need to know about delta hedging. I'm not an expert on option pricing either but I'll try explain what I think I know. If you really want to understand pain then I would suggest studying option pricing and hedging strategies.

Max pain is not a slam dunk carved in stone phenomenon that always works everytime. Sometimes they win and sometimes they lose. If a certain issue has been well below pain for a month or so and it looks like a lot of puts are going to go out in the money it may be a safe bet that an attempt will be made to get that issue close to max pain in the two weeks or so before options ex. If it has already been delta hedged against further movement away from max pain then that creates a lack of selling pressure and perhaps even concentrated buying by option sellers or "they\them-the boys or whatever".

Modern option pricing models call for a certain offsetting position to be taken in the underlying whenever a call or put is sold. Call buying creates buying pressure in the underlying while put buying causes option writers to sell some. If the underlying moves further towards an in the money position additional purchases or sales of the underlying must be innitiated by the option seller as determined by complex mathematical formulas which I do not understand.

What I believe happens in highly optioned issues is that the delta hedging may actually create a fair amount of the supply\demand of the underlying issue at a given price and when supply dries up the issue will rally\sell off. Like I said perhaps even concentrated buying by hedge funds who target these situations or the option writers may also help it along. Also if an issue is heavily putted then it's a safe bet that it is heavily shorted also. Whenever there are victims in the market there is oppurtunity. Squeeze out the shorts and you make money, nothing mysterious about that. Max pain for IBM in oct was 65 or 70 a week or two before opex if I remember correctly and the issue was seventy five at opex. This is an example of how maxpain failed and delta hedging actually propelled the issue in the opposite direction as call sellers were forced to buy.

Let me know why you feel 24.5 is better than either 24 or 25. [Remember, I am not talking about Mr. Big Hand swinging stock price up from below or above etc to kill all strike 24 Calls and all strike 25 Puts etc. I am merely talking about the standard definition].


It doesn't make any difference. If you understand what precisely a call or put is then you will understand why. On or around op-ex day there may be buying or selling of the underlying issues by those who are pretty sure they will get exercised to prepare in advance of that event.




#reply-18241573

Max Pain by Mishedlo

---------------------------------
From an SI post by Mishedlo
#reply-18231349
---------------------------------



To:Joseph Silent who wrote (59410)
From: mishedlo Wednesday, Nov 13, 2002 11:13 PM
View Replies (1) / Respond to of 76187

not sure it is useful.
What would I do with that info?

I will offer this however:
Typically the move towards pain happens the Wed or Thursday the week before expiry.

One can position ahead of time or wait for the volume confirmation, then just hang on.

Does not matter whether or not pain hits on Monday Wed or Friday (as long as one did not play it with OTM front month options).

I will also offer this:
TUE WED of expiry week are often reversal days.

That is we hit pain, reverse and head back the other way.
If we keep rising or sinking after Wed then delta hedging has likley kicked in and the original move will be enhanced.

M

Max Pain & Delta Hedging, by Mishedlo

-----------------------------------
From an SI post by Mishedlo
#reply-18223976
-----------------------------------

To:Joseph Silent who wrote (59168)
From: mishedlo Tuesday, Nov 12, 2002 11:21 AM
View Replies (1) / Respond to of 76187

My final question is this: are their positions naked, fully covered, or partially covered?
If they have a LOT of control, then they need not fear having naked positions. They have the most to gain here, and less work to do.

If they have no control, they need to be covered. Here they have the least to gain, and most work to do.

If Mish is right about delta-hedging causing equity price to accelerate away from max-pain when it moves beyond a certain distance away from max-pain (i.e., the boys have lost control due to news etc) it seems reasonable to assume that they are a usually confident bunch of hoods who are initially naked.

This is a tough question but a hedge(by the option writers, the vast majority of the time) is not done with options but with common. That explains delta hedging. Stocks drop and there are tons of puts in the money thay have to short to prevent losing their ass on puts. Same thing in reverse last month with calls. Thus the eggagerated moves.

Now another problem comes in as in who did the option pits sell the options to. There is a big difference if average joe wrote a bunch of covered calls that the option pits own, or the option pits sold options to j6p. In the covered call case "da boys" want the stock as high as possible as they own the calls (assuming that all the calls were coverd calls that da boys own. Note that that is a horrid assumption but I show it for example purpose).

In general covered calls and naked calls are in the minority by far, but it is not always the case. Sometimes an institution or individual sell naked puts to acquire stock if it drops, banking on the collected premium to cover any loss.

From that point of view (the option writers may have written options on INTC as well as own options on the same strike of INTC).

In general one would have to believe that the vast majority of options are owned by j6P or a smaller hedge fund as opposed by "da big boys". On that belief, with the belief that "da big boy" seldom loses, and da big boy is going to succed at driving stocks to max pain (da big boys max pain, which can be different that what we guess at by lkooking at option chains). In general the more the options, the more this stuiff all balances out and the more likley pain is going to be hit.

Hope this is relatively clear.

M

Max Pain & Delta Hedging

From an SI post by Mishedlo

To:Joseph Silent who wrote (59280)
From: mishedlo Wednesday, Nov 13, 2002 12:35 AM
View Replies (2) / Respond to of 76187
#reply-18227058

The reason I ask for the precise definition of that action is because I want to know if they are merely trying to minimize their losses at that point and be covered (to prevent further loss), or recover their loss by price exaggeration and make loss zero.

Fisrt off, I prefer 20K options at a single strike on a single side for best reliability. You can fudge if the stock is very liquid (AMAT KLAC for example) and the overall trend based on QQQ pain would appear to be large, and the stock in general tracks reasonably well in the direction of QQQ (EXPE does not track well at all). It is also probably best if the option position is not completely one sided. I also consider how well a stock has tracked pain in the past.

As for delta hedging.
I belive the big option writer seldom lose.
They prefer to collect both halves of the option pie.
That happens when both puts and calls go up in smoke at max pain.

BUT...
When that does not happen, delta hedging kicks in to prevent a loss. If they need to short a zilllion shares of something or buy a zillion shares of something to prevent a loss, well thats what they do. Then if we fall thru the floor, all the calls still expire worthless but "da boys" are not losing anything on puts cause on the drop they added fat to the fire by shorting to prevent the stock from plunging without them on board (causing them to lose a ton of $ on puts). Da boys have to share the option pie in that sense. They only eat the call side of the option pie and put holders make out big time (helped by the delta hedging that sent it reeling). But da boys did not lose on the puts side (because they hedged short).

What happened last month was those delta hedge shorts were unwound, momo players piled on, and we overshot on the way back up as pension $ came in at the tail end of it all. Da boys made $ on all the puts that expired worthless and had enough longs to cover the calls they sold.

M

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SCALPING MIR by BRUCE THOMPSON

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BRUCE THOMPSON WROTE:
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Lets analyze yesterday's action.



I use the Medved streaming real time chart with Scottrade free data feed set for 1 minute candles. I also watch MACD set for 12,26,9 and also volume and OBV. I also watch the bid/ask. You can watch Island level II but it only shows the limit ECN orders. It does,however, give you an idea of the balance of the bid/ask orders.

My orders are market orders already input and with the order confirmation page up so all I have to do is push a button to confirm and it is in.

Now to the Friday's trade. As you can see from the chart the morning drop was punctuated with a fake bounce @ $2.50. Notice that the MACD did not turn. This is important as the bid/ask was still very heavy on the sell side and the bid did not increase with the bounce while the ask did. So I waited.

When the second bounce came @ $2.43 I knew it was the real bounce because the MACD turned up, the bid/ask spread closed in, and the bid jumped up to $2.48. The ask jumped to $2.49 and I pulled the trigger. I filled @ $2.50. Quick like a bunny but missed the bottom by $.06. Oh well. (g)

I was about to close out the trade @ $2.46 and again @ $2.45 for a 4 cent loss right out of the gate but the bid/ask stayed firm and it made higher lows and higher highs. I have been leaving a lot of $$ on the table this week so I grit my teeth and waited.

Around noon, the runs were loosing power. The bid/asks had topped out and I saw the beginnings of an intraday H&S pattern. At about 12:25, I pulled the trigger at the neckline and called it a day. I closed out @ $2.62 for $.12 or +4.8%. Three trades this week for +6,+12,+10 cents for a total of 11.2%

My trading philosophy with MIR is a little like Sammy Sosa cork bat and all. The difference being I only take one pitch. I either get a hit or I am out. I don't chase the stock. When I finish the days one trade I don't step up to the plate again until the next day. If I don't see the pitch I want, I don't swing at all. If I swing and miss, I am out. There is always tomorrow.

MIR has a Max Pain this month of $2.50. I am not sure what affect this will have on the price as there are less than a million shares worth of P/C contracts at that price. Even with 30 Mil shares trading yeaserday, Max Pain does have an effect on the trend. MIR brought another power plant on line in Illinois yesterday. They seem to be staying in business somehow. The drop in credit ratings will hurt but the threat of BK they are using in their refi negotiations will hurt the price more. I see the price working down to the low to mid 1's right after option expiry day. Refi negotiatons will be over by then.

After expiry day and refi negotiations, the ball game will change to the top of the next inning. The price will rise in the mornings instead of dropping and the trend will change to rising. This play will take overnight gonads (g) and longer term holding. I usually split up my working cash into swing money and trading money at that time. The swing money is for the doubles and triples and the trading money keeps on nickel and dimeing.

BWDIK (g)

BT

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Original Post #msg-1084198

Maybe it is time to update my TRIN study again. TRIN this week (yesterday specifically) exhibited its classic behavioral pattern. Or more accurately, the markets responded to the high TRIN in a classic manner. TRIN spiked up near 3.0 on some bad news. This signalled the end of the selling and the market almost immediately turned around.

After being largely on the "outs" for about the past 9 months, it may be a good idea to pay more attention when the TRIN reaches high levels intraday. This may be more evidence of the arrival of a new bull market.

Will see if I can get to it this weekend. . .

Warp

HUI vs XAU -- Components of Each as of 04/29/03

 
 HUI: 
 NEM   20.30%  
 GG    19.52%  
 FCX   14.83%  
 HL     6.13%  
 KGC    5.69%  
 GLG    5.67%  
 GFI    5.32%  
 GSS    5.32%  
 CDE    4.89%  
 HMY    4.88%  
 MDG    4.73%  
 FCX    2.69%  
 

  
 XAU: 
 NEM    24.88%  
 ABX    19.05%  
 AU     14.85%  
 GFI    11.39%  
 PDG     9.32%  
 FCX     5.88% 
 HMY     4.84% 
 GG      4.44%  
 MDG     2.32%  
 AEM     1.94% 
 SIL     1.09%  
 

VIX & VXN -- How they are designed and how they work.

The Investor Fear Gage by Professor Robert E. Whaley, Duke University. (Whaley is apparently the guy who designed the VIX and VXN for the CBOE.)

http://faculty.fuqua.duke.edu/%7Ewhaley/pubs/fear_gauge.pdf