14 June 2005 (Tuesday)

Session Start: Tue Jun 14 07:06:40 2005
Session Ident: #t1
[07:08:30] <guy> No commissions or exchange fees to trade ER2 equivalent on Eurex US for July: Eurex July offer
[08:13:53] <tuna> im thinking of letting the er2 rest,,during the rebalance
[08:53:43] <guy> when is the rebalance tuna? last day of this month? or today?
[09:09:52] <tuna> i heard its gonna be spread out this time,,and it will be finished at the eom
[09:13:52] <guy> ER2 will be reconstituted on June 24: ER2 reconstituted
[09:16:08] <tuna> http://www.russell.com/us/search/searchResults.asp
[09:16:24] <tuna> click on the first one
[09:22:20] <guy> Here are yesterday's ER2 charts...
[09:22:45] <signal>
[09:23:44] <signal>
[09:24:21] <signal>
[09:32:31] <guy> initial ER2 chart for today
[09:32:41] <signal>
[09:32:59] <guy> we're already 4 points off the spike high at 634.00
[09:33:13] <guy> k-line and alpha are negative
[09:37:41] <guy> ER2 chart showing VA and POC from yest. as well
[09:37:45] <signal>
[09:40:59] <guy> ER2 at VAH - this is a short here but i have no alpha confirm yet...
[09:41:24] <signal>
[09:42:05] <guy> ES chart:
[09:42:12] <guy> The long off the VAL worked
[09:42:18] <guy> but no alpha confirm there either
[09:42:18] <signal>
[09:43:54] <guy> on ER2 alpha is now on positive side confirming this move up
[09:44:18] <guy> but alpha is not "over" positive so considers that ER2 is fairly priced
[09:44:28] <guy> but still confirms up move
[09:44:47] <guy> we're trading above VAH here in ER2 so looking for longs on pullback
[09:44:51] <guy> pullbacks
[09:45:34] <guy> yest. hod in ER2 was 633.3 if my figures are correct
[09:45:50] <guy> but our spike pre-market this morning had ER2 up at 634.0
[09:52:24] <guy> i have no confirmations on these dips so not getting long...
[10:14:26] <guy> up against a very old single there on the ER2 - single from 3/15
[10:14:32] <signal>
[10:20:27] <signal>
[10:20:43] <guy> This is the second time that the single created on this day has been a perfect place for a reversal
[10:20:55] <guy> There were 2 singles created on the 3/15
[10:21:12] <guy> and both of them have been perfect reversal points for the ER2
[10:21:22] <guy> even though they are 3 months old
[10:21:55] <guy> The single print strategy that I am testing has a rule that states that singles have to be less that 20 trading days old to be able to use them
[10:22:12] <guy> this strategy has completely failed so far this month
[10:22:24] <guy> however the 2 old single prints have worked perfectly
[10:22:44] <guy> this reverses the logic that the more recent price action is more relevant
[10:23:01] <guy> i'm not sure if this is just an anomally or if there is something more to this...
[10:31:19] <guy> rotation factor
[10:31:22] <signal>
[10:33:54] <mikee-away> puter problem, sorry
[10:34:23] <mikee-away> es downside now=1205
[11:01:21] <signal>
[11:01:22] <guy> rotation factors / split counts
[11:09:50] <guy> ER2 chart coming up...
[11:10:00] <signal>
[11:10:22] <guy> ES chart coming up....
[11:10:34] <signal>
[11:46:51] <guy> Doing It Your Way
[12:33:04] <signal>
[13:54:22] <guy> i missed that move up - looked like a stop run
[13:54:28] <guy> here's the ER2 chart
[13:54:32] <signal>
[13:54:36] <guy> alpha providing support for another move up
[13:55:02] <guy> we have RE to the upside and so I'm looking to go long at IBH and DVAH
[13:55:26] <guy> these lines cluster with the previous single at 634.3
[14:00:20] <guy> ER2 chart coming up...
[14:00:29] <guy> I had the right idea but the pullback wasn't enough
[14:00:30] <signal>
[14:00:45] <guy> Notice the yellow dotted line that appeared on the chart after 14:00 ET
[14:01:01] <guy> that shows that we have an unconfirmed single at 634.6
[14:01:20] <guy> this line will automatically be removed if we touch that price before 14:30 ET
[14:17:54] <tuna> spoos singles are still there
[14:40:06] <signal> in the big contact tuna? still there now?
[14:43:55] <guy> this is starting to look long here
[14:45:03] <guy> bidding 633.2
[14:45:06] <tuna> no
[14:45:22] <tuna> filled long ago
[14:45:35] <tuna> sorry shoulda posted it
[14:46:45] <guy> np tuna
[14:47:56] <guy> I didn't get a fill on that dip
[14:48:04] <signal>
[14:48:05] <guy> it ticked 1 tick above my bid
[14:48:22] <guy> and then took off like a rocket
[15:52:11] <guy> ER2 no entry trade:
[15:52:19] <signal>
[16:01:49] <guy> gn all - hopefully back to my normal self tomorrow...
[16:01:58] * Disconnected
Session Close: Tue Jun 14 16:02:01 2005