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# :::grimReaper:::

Members

17

## Personal Information

• First Name
grim
• Last Name
reaper
• Country
United States

• Vendor
No
1. ## "In the Money" Definition Accounting for Underlying Spread

In terms of the underlying's bid/ask, what makes an option ITM? For example, if the underlying's bid/ask is at 99.97/100.05, and we're considering a strike of 100, is a call/put option ITM? Or does the bid have to exceed the strike for calls and vice versa for puts?

3. ## Who Makes More Money?

According to table (attached pic) from this paper: https://sceeto.zendesk.com/attachments/token/nakjp4gnkvimi8a/?name=The+Trading+Profits+of+High+Frequency+Traders-+Baron-Brogaard-Kirilenko.pdf HFT ainec, at least when just measuring the ES
4. ## Treasury Futures: Why at Such a High Premium?

Conceptually, fixed 6% coupon makes sense but my #s don't tie. As of Friday, ZF closed at 124-225 and according to Bloomberg, 5 Yr Treasury traded around 100-5.5, yielding 0.59% According to my calculations, 5 Yr Treasury that pays 0.625 coupon yields 0.607% (close enough to 0.59 I guess). But when I calculate the yield of ZF trading at 124-225 at 6% coupon, I get 3.09%, much higher than 0.607%. Why?
5. ## Treasury Futures: Why at Such a High Premium?

Thanks Ninja. I think you might have the right answer, but can you elaborate mathematically about the "6% yield." Still a little confused:crap:. For example, I thought market prices for bonds mathematically determine the yield, but here it seems like CBOT set the yield to 6%.
6. ## Treasury Futures: Why at Such a High Premium?

Always wondered why this was so. For example, according to bloomberg (http://www.bloomberg.com/markets/rates-bonds/government-bonds/us/): 5 Year US Treasuries trade at 99-0975. But ZF is trading at 123-31
7. ## Why the S&P E-Mini Stinks

However, don't you have more "smaller moves" the smaller the ticks are? For example, if ES had 0.01 ticks, price could fluctuate +/- 0.10 several times, whereas our 0.25-tick ES wouldn't budge.
8. ## Why the S&P E-Mini Stinks

No need to worry: http://www.cmegroup.com/globex/files/PriceBanding.pdf The FIFO in NT is just an accounting mechanism that you can choose to use or not when scaling in/out contracts. The FIFO in the context of matching algorithms means it's first-come-first-serve in getting your limit orders filled.
9. ## Why the S&P E-Mini Stinks

Does anyone know which matching algorithm CME uses? Here's a list: list:http://ftp.cmegroup.com/globex/introduction/features-and-functionality/elements/matching-algorithms.html And do those who have seats have priority in getting filled?
10. ## Why the S&P E-Mini Stinks

I doubt it, I believe HFT have an edge (you're implying) when the spread is several ticks wide. 0.20 ticks are large enough to seal the spread. I wasn't saying otherwise. I mentioned "spread of one" because I believe the reason the tick size are so large is to allow the big boys to trade with minimal slippage. As I recently found out, the tick size use to be 0.10 and the contract size us to be \$250. Increased the tick size and decreased contract size is consistent with my theory. Btw, do you believe ES is tradable if the tick sizes were 0.50 or 1 point?
11. ## Why the S&P E-Mini Stinks

True. I believe the spread is 2 55-75% of the time and 1 the rest of the time. But I'm not that considered with a spread of 2, I can place an order inside the spread and be first to be filled. I wish the ticks were 0.20 on the S&P. Small change, but it would it allow better fills and more # of ticks to play with, while likely still maintaining 1 tick spread. Has CME ever made changes like this?
12. ## Why the S&P E-Mini Stinks

I made a few trades on the YM this week and some in December. I feel there is more flexibility in entering/exiting trades. And if one's scalping (profit target ~1pts on ES), they should obviously trade YM, b/c the YM will go 10pts, giving 10 areas to exit the trade, vs. 4 ticks on the ES. In fact I looked at 5min bars from 11/28 (after Thanksgiving) to 12/21 (when volume died out) during RTH, the YM has a range of 16 ticks on average while the ES has an average of 8 ticks. However, as mentioned a few times itt, ES is more technical (S/R) and suits me. Since I'm pretty sure YM and ES are the most closely correlated equity futures, hypothetically you could trade YM looking at the ES, which was sort of what I was doing, but it felt awkward and there's less screen space. I'm looking forward to going solely back to ES.

But how exactly does it work? A broker who wants to go long joins the sweaty pit trying to find enough locals who are selling? If so, then how does the exchange know the best bid/offer? Oops, I meant the big S&P. Of course, just interested in how things were/worked.