Are there any exchanges in the world open throughout the weekend? Primarily, i'm looking for something tightly correlated to the S&P500 and accessible via Interactive Brokers. If not, is there anything OTC? I need to hedge against extreme negative tail events that might happen once every few years and my math is telling me buying DOTM puts won't pay off with my strategy. I know that futures (GLOBEX) are open 24hrs during the week but closed for 48 hours on Saturday and Sunday. I've googled but seriously could not find anything. Thanks for any tips.
Why would you need to trade on the weekends? If you want to hedge with something that closely follows the S&P500, why not use the IB platform to place your hedge in the last 5-10 minutes of the S&P500 E-mini Futures just before it closes, and then exit that position when the Futures re-opens? I'm not exactly sure what your time zone is, but the E-minis close Friday night and re-open Sunday night in time for the Asian sessions. You would need to place and remove your trades near the close and opens of the weekend period.
I would only need to hedge if there is an extreme down move. Shorting ES every Friday and closing on Monday would most likely add a big negative to my PnL and substantial standard deviation on daily returns. It's a rare-event hedge i'm looking for, i.e. shorting if the ES is down 6% to 8% or more since the last close.
Exactly. It's already bad enough that the markets are virtually 24 hours Sunday afternoon to Friday afternoon.
So you want something for the price of nothing? Firstly, the S&P futures close friday night and re-open Sunday afternoon/night depending on where you live. The futures opens first before the the Asian market session closes. It doesn't deviate too much from its close the previous session. How about you do your research and planning and look at the historical charts to see how far the open/closing price of the E-minis deviate from that weekend? Also, you are probably going to make money over the long-run if you sell an E-mini contract over the weekend, because in the event of a bad incident like a terrorist attack or default, the E-mini futures will open wildly out of control as everyone scrambles to sell at market. But in the event of a positive-news sentiment like a bailout, before everyone pays up, they'll read over the news and calculate how much they're winning to pay up with a $100 billion euro bailout for example. If you want to hedge, you must pay for the insurance. It's simple as that. How much value is your position worth to you? How much is at risk? I can't answer these for you. Good traders work these things out themselves. Good luck friend.
I pay my data feeds so it is not a price of nothing. I am looking for information, in the form of tickers. I don't look at historical charts, i write Matlab programs that do that for me. It is a fact that markets move less over the weekend (the mean is lower) but there were a few tail events (the std dev is about the same) compared to working days. One comforting fact is that the 1-minute charts show the biggest moves happen when the market is indeed open, which makes sense and lowers my worries. However, i just wanted to secure that tiny tail risk during a weekend. I didn't ask you to answer these questions for me, i just asked if any exchanges or OTC are open during the weekend. Thanks for your opinion that there are none, but you could have possibly made your message far shorter with no utility loss. I "work things out" 10 hours a day on average so i don't need "luck" but thank you.
There are options for hedging o/n or weekend gaps. Google for 'daily cliquets' or 'crash notes'. They are traded OTC so probably not accessible for smalltimers. And why would you think an exchange with weekend trading would help you with this. Price would just gap down on high impact news. Its not like they would be waiting for braincell until he got out of his position. Actually, there was a retail FX broker (Oanda) who would quote 10 pip wide markets during the weekend. They were sitting there with their dicks in their hands while the euros fked up yet another weekend crisis meeting and everyone went short. They stopped doing that.
Hehe, yeah that's true, my first thought was "if it existed, there would be liquidity issues" but i would look at those separately. It's better to have something than nothing i guess. It's just an idea at this time which, if feasable, would really help out with my model, even if the high impact news wouldn't wait for my trade. Thanks for a useful post, i'll google those and see what i can get access to.
You can't access them through IB but middle eastern exchanges should be open over the week end, or at least on sunday, including Israel's.