w******s
发帖数: 16209 | |
d**********g
发帖数: 5335 | |
w******s
发帖数: 16209 | 3 和期望差不多
【在 d**********g 的大作中提到】
: 解读PLEASE
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h******o
发帖数: 6113 | 4 大盘今天要PIA JI PIA JI , nod...
【在 w******s 的大作中提到】
: 和期望差不多
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a*****e
发帖数: 1717 | 5 CL/QM很刺激，比ES刺激多啦。
【在 w******s 的大作中提到】
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w******s
发帖数: 16209 | 6 hehe. I know. 我不太习惯。。
【在 a*****e 的大作中提到】
: CL/QM很刺激，比ES刺激多啦。
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h******o
发帖数: 6113 | 7 今天是绝好的天气做空，快。
【在 w******s 的大作中提到】
: hehe. I know. 我不太习惯。。
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a*****e
发帖数: 1717 | 8 挂了一个VIXM1@ 19.70，filled了。
【在 w******s 的大作中提到】
: hehe. I know. 我不太习惯。。
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s*****2
发帖数: 1035 | 9 请问哪里看见的?
【在 w******s 的大作中提到】
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f********n
发帖数: 1560 | 10 试试ng，也许更适合你。
【在 a*****e 的大作中提到】
: CL/QM很刺激，比ES刺激多啦。
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a*****e
发帖数: 1717 | 11 无法不联想起那个Amaranth Advisors.
35%的资产交给一个牛trader管理，一笔天然气亏掉65亿。
【在 f********n 的大作中提到】
: 试试ng，也许更适合你。
|
b*******e
发帖数: 24532 | 12 房屋最近半年基本上没有影响股市，村长。
似乎已经定调要 QE2.5.
【在 w******s 的大作中提到】
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H********7
发帖数: 2369 | 13 any link? thanks
【在 b*******e 的大作中提到】
: 房屋最近半年基本上没有影响股市，村长。
: 似乎已经定调要 QE2.5.
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w******s
发帖数: 16209 | 14 你现在四面开花呀。。
【在 a*****e 的大作中提到】
: 挂了一个VIXM1@ 19.70，filled了。
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h******o
发帖数: 6113 | 15 现在主流报纸都在说
【在 H********7 的大作中提到】
: any link? thanks
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a*****e
发帖数: 1717 | 16 好玩。
【在 w******s 的大作中提到】
: 你现在四面开花呀。。
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f********n
发帖数: 1560 | 17 我玩了它半年，那叫一个无序。最后没赚几个字，不过很锻炼人。
【在 a*****e 的大作中提到】
: 无法不联想起那个Amaranth Advisors.
: 35%的资产交给一个牛trader管理，一笔天然气亏掉65亿。
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b******r
发帖数: 16603 | 18 ORZ
那要冲到1400了？
【在 b*******e 的大作中提到】
: 房屋最近半年基本上没有影响股市，村长。
: 似乎已经定调要 QE2.5.
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b*******e
发帖数: 24532 | |
b*******e
发帖数: 24532 | 20 我还是很诧异的，外面的inflation都已经置之不理咯。
【在 b******r 的大作中提到】
: ORZ
: 那要冲到1400了？
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w******s
发帖数: 16209 | 21 大蜜蜂，ons 系统上周说了，mm不开心，要跑路
【在 b*******e 的大作中提到】
: 房屋最近半年基本上没有影响股市，村长。
: 似乎已经定调要 QE2.5.
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w******s
发帖数: 16209 | 22 vix 动的太慢，qm 动的太快
我觉得还是es节奏好
【在 a*****e 的大作中提到】
: 好玩。
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b*******e
发帖数: 24532 | 23 我现在都很奇怪，上周能够低量搞出一个向上跳空缺口，很诧异，看不懂了。
连续缺口这种盘面特征都是有些突发消息，仅仅是ER是不可靠的，虽然我现在还没有
办法identify是什么信息，等几天看看，村长，呵呵
【在 w******s 的大作中提到】
: 大蜜蜂，ons 系统上周说了，mm不开心，要跑路
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a*****e
发帖数: 1717 | 24 你有做个股的期货吗？
这个在报税的时候算commodity还是算equity？
【在 w******s 的大作中提到】
: vix 动的太慢，qm 动的太快
: 我觉得还是es节奏好
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b******r
发帖数: 16603 | 25 村长，ONS都那么长情啊？
【在 w******s 的大作中提到】
: 大蜜蜂，ons 系统上周说了，mm不开心，要跑路
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w******s
发帖数: 16209 | 26 我觉得就算往上空还是可能要半补一下的
【在 b*******e 的大作中提到】
: 我现在都很奇怪，上周能够低量搞出一个向上跳空缺口，很诧异，看不懂了。
: 连续缺口这种盘面特征都是有些突发消息，仅仅是ER是不可靠的，虽然我现在还没有
: 办法identify是什么信息，等几天看看，村长，呵呵
|
w******s
发帖数: 16209 | 27 没做过。。 只有过试图上GE的futures 结果还上成euro dollar的了。。
【在 a*****e 的大作中提到】
: 你有做个股的期货吗？
: 这个在报税的时候算commodity还是算equity？
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w******s
发帖数: 16209 | 28 赶了个长周末。。我也不知到该算神么了。
【在 b******r 的大作中提到】
: 村长，ONS都那么长情啊？
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w******s
发帖数: 16209 | 29 还是盯中概和重金属吧，可能比大盘容易点儿？
【在 b******r 的大作中提到】
: 村长，ONS都那么长情啊？
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w******s
发帖数: 16209 | 30 我觉得你可以算commodity 的吧
【在 a*****e 的大作中提到】
: 你有做个股的期货吗？
: 这个在报税的时候算commodity还是算equity？
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b******r
发帖数: 16603 | 31 嗯，中概最近故事多。
【在 w******s 的大作中提到】
: 还是盯中概和重金属吧，可能比大盘容易点儿？
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a*****e
发帖数: 1717 | 32 saw one article about this
Options Highest Since 2007 Shows Gains Intact Amid Hedging (1)
(Updates with today’s S&P 500 level in seventh paragraph.)
By Jeff Kearns and Whitney Kisling
April 25 (Bloomberg) -- The end of the Federal Reserve’s
Treasury repurchase program is prompting options traders to pay
the most in four years for protection against stock declines, a
signal that proved bullish in the past.
The cost of three-month put options to sell the Standard &
Poor’s 500 Index is almost twice the price of calls to buy, the
highest ratio since July 2007, according to data compiled by
Bloomberg. The last 17 times that so-called skew rose as high,
the benchmark gauge for American equities climbed a median 3.9
percent over three months, data compiled by Bloomberg show.
Traders are loading up on insurance in the options market
on speculation policy makers will halt their program of
quantitative easing in June. Similar purchases preceded gains in
the past because they meant professional investors who use the
contracts as hedges are buying stocks, said Pam Finelli, head of
European equity derivatives research at Deutsche Bank AG.
“Risk management and portfolio protection is a huge theme
in the market and it’s not unusual to see people expanding their
equity allocation, but doing so with a hedge in place,” Finelli
said in an interview from London. “The equity market goes up
but the puts stay bid because there’s an underlying hedge that’s
being put on at the same time. This has been a major trend.”
Sergi Martin Amoros, chief executive officer at Credit
Andorra Asset Management in Andorra, added to equities following
the March 11 earthquake in Japan, he said in a telephone
interview on April 21. He’s also buying protection on the firm’s
4 billion euros ($5.8 billion) in investments.
‘Question Marks’
“We made the most of the March sell-off to add to
positions as equities had weakened,” he said. “There were good
prices and we took the opportunity. We are buying puts and
protection across the board. There are many open fronts, too
many question marks.”
The S&P 500 fell 0.2 percent to 1,334.60 as of 9:42 a.m. in
New York. It climbed 6.3 percent this year through April 21 as
the U.S. unemployment rate unexpectedly dropped to a two-year
low of 8.8 percent in March as companies created more jobs than
forecast, the Labor Department said this month. The economy
probably expanded at a 1.9 percent annual pace in the first
quarter and will grow at an average rate of 3.1 percent though
2013, according to the average of estimates in a Bloomberg
survey.
China, Oil
China’s decision to raise its reserve requirement for the
biggest lenders to a record 20.5 percent to cool inflation sent
the S&P 500 down 1.1 percent on April 18, the most in a month.
Oil climbed for a third day to $112.29 in New York April 21,
bringing its advance in the past year to 32 percent. Japan’s
Nikkei-225 Stock Average plunged to a two-year low of 8,605.15
on March 15 after the earthquake and ensuing tsunami.
“Skew is really driven by net buying pressure of index
puts and as that buying pressure increases, the skew gets
steeper,” said Robert Whaley, a finance professor at Vanderbilt
University in Nashville, Tennessee who designed the Chicago
Board Options Exchange Volatility Index, or VIX. “There’s a
significant effort going into managing the economy and people
are more confident than they were, but there’s still that demand
for protection.”
The S&P 500 rose 1.3 percent to 1,337.38 last week, the
most in almost a month, after the biggest U.S. companies
reported better-than-estimated profits. Of the 121 S&P 500
constituents that have reported earnings since April 11, 82
percent have beaten analysts’ per-share earnings estimates,
according to data compiled by Bloomberg.
Earnings Surprises
The gauge climbed 1.4 percent on April 20 after Santa
Clara, California-based Intel Corp., the world’s biggest
chipmaker, forecast second-quarter sales above analysts’
estimates. Cupertino, California-based Apple Inc. reported
profit that almost doubled amid rising demand for the iPhone.
United Technologies Corp., the Hartford, Connecticut-based maker
of Carrier air conditioners and Pratt & Whitney jet engines,
said 2011 sales will be at the high end of its forecast.
“Earnings are still good,” said Mark Bronzo, who helps
manage $25.5 billion at Security Global Investors in Irvington,
New York. “With China raising rates, higher fuel prices and the
tragedy in Japan, people have gotten concerned that with all of
these disruptions earnings could be impacted as expectations
were high. The worst fear has not been realized.”
Implied Volatility
Implied volatility, the key gauge of option prices, for S&P
500 puts 10 percent below the index was 21.20, 1.86 times the
level for the equivalent calls, on April 20. That ratio is in
the 83rd percentile for the past five years, the data show. In
the 17 occurrences of skew exceeding 1.86 before this year, the
S&P 500 gained after all but two with a median increase of 3.9
percent, data compiled by Bloomberg show. The biggest gain was
9.2 percent in three months after the skew reached 2.03 in July
2006.
The VIX, which measures the cost of S&P 500 options with a
30-day maturity, is down by half from this year’s peak of 29.40
on March 16 to 14.69 last week, the lowest since June 2007. The
three-month VIX is down 32 percent from the peak to 18.35.
The skew ratio reached 2.32, its highest level of the past
five years, on April 13, 2007. Six months later, the S&P 500
peaked at 1,565.15 then plunged 57 percent over the next 17
months, wiping out $11 trillion in U.S. equity value. The lowest
skew during the period was 1.16 on Nov. 20, 2008, the same day
that the VIX soared to a record 80.86 following the bankruptcy
of New York-based securities firm Lehman Brothers Holdings Inc.
Adding to Hedges
Traders are adding to hedges after being caught off guard
by Japan’s earthquake and tsunami, said Mandy Xu, an equity
derivatives strategist at Credit Suisse Group AG in New York.
S&P 500 skew was 1.62, the lowest in two months, on March 10,
the day before stocks plunged and volatility soared worldwide.
The VIX and its European counterpart, the VStoxx Index, jumped
to the highest levels since July, while Japan’s Nikkei Stock
Average Volatility Index surged to a two-year high of 69.88.
“While some macro risks have subsided in recent weeks,
such as Japan and the Middle East, and that has driven implied
volatility lower, other option signals suggest investors remain
nervous and continue to hedge,” Xu said. “This is why skew
remains elevated despite the lower VIX.”
The S&P 500 has risen 28 percent since Aug. 26, the day
before Fed Chairman Ben S. Bernanke said in Jackson Hole,
Wyoming, that he was willing to do “everything in his power”
to stimulate growth. In November, the central bank pledged to
complete $600 billion in bond purchases by the end of June.
“We’re definitely in a bull market,” said Randall Warren,
chief investment officer at Warren Financial Services &
Associates Inc., which trades VIX options and manages $65
million in Exton, Pennsylvania. “People are worried about a lot
of things, from geopolitical risk to earthquakes in Japan to the
downgrading of U.S. debt, and there are a million things to be
worried about. But the market is climbing that wall of worry.”
【在 w******s 的大作中提到】
: 大蜜蜂，ons 系统上周说了，mm不开心，要跑路
|
w******s
发帖数: 16209 | 33 你可以做做gc，我觉得gc还算reasonable。。 呵呵
还有si，农产品的可以和dba结合做。
我觉得有etf结合做的比较好。
【在 a*****e 的大作中提到】
: 好玩。
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w******s
发帖数: 16209 | 34 被胖手吓的？
【在 a*****e 的大作中提到】
: saw one article about this
: Options Highest Since 2007 Shows Gains Intact Amid Hedging (1)
: (Updates with today’s S&P 500 level in seventh paragraph.)
: By Jeff Kearns and Whitney Kisling
: April 25 (Bloomberg) -- The end of the Federal Reserve’s
: Treasury repurchase program is prompting options traders to pay
: the most in four years for protection against stock declines, a
: signal that proved bullish in the past.
: The cost of three-month put options to sell the Standard &
: Poor’s 500 Index is almost twice the price of calls to buy, the
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a*****e
发帖数: 1717 | 35 if so, it's much better for short-term traders.
40/60 rule
【在 w******s 的大作中提到】
: 我觉得你可以算commodity 的吧
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a*****e
发帖数: 1717 | 36 我觉得是近期不确定性因素太多了吧。
大部分人都觉得new high该考虑别让纸上富贵飞了。
【在 w******s 的大作中提到】
: 被胖手吓的？
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w******s
发帖数: 16209 | 37 个股futures每天能trading的时间不是特别长吧？
【在 a*****e 的大作中提到】
: if so, it's much better for short-term traders.
: 40/60 rule
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a*****e
发帖数: 1717 | 38 嗯。新手。没做过个股的futures。
【在 w******s 的大作中提到】
: 个股futures每天能trading的时间不是特别长吧？
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w******s
发帖数: 16209 | 39 哈哈，别那么心虚呀，不是说你
我是说个股futures的trading 时间没有个股和emini的时间长吧？
【在 a*****e 的大作中提到】
: 嗯。新手。没做过个股的futures。
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w******s
发帖数: 16209 | 40 还有这个spread
你看ge
个股是20。00／20。01
futures 上是19。80／19。91
感觉不太好搞。。
【在 a*****e 的大作中提到】
: if so, it's much better for short-term traders.
: 40/60 rule
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a*****e
发帖数: 1717 | 41 承认自己不足是好事儿呀
我不知道hours，
我看问题可能是spread太大了。刚看了一下AAPL的，
是标准的9：30-16：00EST |
w******s
发帖数: 16209 | 42 但没有bm am的交易了。
所以少了好多判断的时间。
【在 a*****e 的大作中提到】
: 承认自己不足是好事儿呀
: 我不知道hours，
: 我看问题可能是spread太大了。刚看了一下AAPL的，
: 是标准的9：30-16：00EST
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w******s
发帖数: 16209 | 43 为了让你获利。我送了mm 一些weekly put
几个1330的es put
和
百来个132 spy 的put
mm拿到小礼物，马上就动起来了
【在 a*****e 的大作中提到】
: 挂了一个VIXM1@ 19.70，filled了。
|
w******s
发帖数: 16209 | 44 看来卖的不够。已经被迅速消化了
【在 w******s 的大作中提到】
: 为了让你获利。我送了mm 一些weekly put
: 几个1330的es put
: 和
: 百来个132 spy 的put
: mm拿到小礼物，马上就动起来了
|
a*****e
发帖数: 1717 | 45 太感谢了. VIX 动了3，4个tick， 然后迅速平静了
【在 w******s 的大作中提到】
: 为了让你获利。我送了mm 一些weekly put
: 几个1330的es put
: 和
: 百来个132 spy 的put
: mm拿到小礼物，马上就动起来了
|
w******s
发帖数: 16209 | 46 132 put still up fro 30 cents to 34/35cents
【在 a*****e 的大作中提到】
: 太感谢了. VIX 动了3，4个tick， 然后迅速平静了
|
a*****e
发帖数: 1717 | 47 VIX liquid掉了。刚才点错了，按照bid卖掉了。悲剧。
【在 w******s 的大作中提到】
: 132 put still up fro 30 cents to 34/35cents
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w******s
发帖数: 16209 | 48 你应该还是赚到一个tick
【在 a*****e 的大作中提到】
: VIX liquid掉了。刚才点错了，按照bid卖掉了。悲剧。
|
a*****e
发帖数: 1717 | 49 2个。最高的时候有4个。
liquidity不行，挂着卖不出去。
油太厉害了。一两个小时就-2%了。
后怕，虽然现在小赚。
【在 w******s 的大作中提到】
: 你应该还是赚到一个tick
|
w******s
发帖数: 16209 | 50 恩。。 我就觉得vix 太慢。。 想出出不动，油太快上下忽悠的太厉害。。
做油不如做金子。。 金子基本一头倒，没有那么多忽悠。。
【在 a*****e 的大作中提到】
: 2个。最高的时候有4个。
: liquidity不行，挂着卖不出去。
: 油太厉害了。一两个小时就-2%了。
: 后怕，虽然现在小赚。
|
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a*****e
发帖数: 1717 | 51 对的。不过油真的非常适合risk taker。
对了，你看COT吗？
【在 w******s 的大作中提到】
: 恩。。 我就觉得vix 太慢。。 想出出不动，油太快上下忽悠的太厉害。。
: 做油不如做金子。。 金子基本一头倒，没有那么多忽悠。。
|
w******s
发帖数: 16209 | 52 不看，你说了才看了下。
【在 a*****e 的大作中提到】
: 对的。不过油真的非常适合risk taker。
: 对了，你看COT吗？
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H**********g
发帖数: 1312 | 53 啥是cot？
【在 a*****e 的大作中提到】
: 对的。不过油真的非常适合risk taker。
: 对了，你看COT吗？
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a*****e
发帖数: 1717 | 54 weekly report
【在 H**********g 的大作中提到】
: 啥是cot？
|
H**********g
发帖数: 1312 | 55 哪里瞧？
【在 a*****e 的大作中提到】
: weekly report
|
a*****e
发帖数: 1717 | 56 真懒呀。
let me summarize:
following the hedgers, if hedgers are the same direction as speculators,
and smaller non-reportable takes the opposite.
But I want to test it as market evolves so quickly.
No rule holds forever.
【在 H**********g 的大作中提到】
: 哪里瞧？
|
H**********g
发帖数: 1312 | 57 还没怎么睡醒，呵呵
【在 a*****e 的大作中提到】
: 真懒呀。
: let me summarize:
: following the hedgers, if hedgers are the same direction as speculators,
: and smaller non-reportable takes the opposite.
: But I want to test it as market evolves so quickly.
: No rule holds forever.
|
a*****e
发帖数: 1717 | 58 注意身体，钱钱不是一切。
【在 H**********g 的大作中提到】
: 还没怎么睡醒，呵呵
|
H**********g
发帖数: 1312 | 59 烂苹果今天很挺呀
【在 a*****e 的大作中提到】
: 注意身体，钱钱不是一切。
|
H********7
发帖数: 2369 | |
