Discussion in 'Financial Futures' started by NYSE Trader, Feb 21, 2003.
anyone out there arbing SSF's against the underlying stocks?...please let us know how you're doing.
Always looking at it ...
This is interesting stuff. I have been thinking about this recently and was wondering if there is anyone out there doing it, or at least contemplating it. I'm sure no one wants to divulge secrets (especially if it's making them money) but I would like to see an open discussion on the topic.
Ive been looking at them for 2 weeks. It seems impossible to make money tradeing them. They are so illiquide its nearly impossible to get a fill. unlless your willing to do a market order. I tried a few sample limit orders and I never can get filled between the spread. They seem to keep the spreads min .10 apart.
The most unfortunate thing is they dont necessarly move with the underlying
I tried trading a few of these, and like swipe said it is tough to get filled between the spread. If you are patient and the market goes your way, you will eventually be at the inside and get filled. This is usually at a point where the MM can arb a profit - if you could be the one to get this fill, you could arb a few pennies. So, ime you would probably have to be a MM to be able to arb these consistently right now. Basically, the MM's are making the market by being able to arb a few pennies when they fill you. Fills at the bid or offer are instant though, and your order between the spread will be displayed immediately.
but SSF's in spite of the illiquidity
can serve as a way to hedge or initiate a position if the MM's
are too slow to read a fast moving market in a stock
anyone actually position trading single stock futures? I have thought it would be a great way to spread a small accounts risk with multiple positions instead of a single stock position.
Less capital required than an index future as well.
On the other hand, are the spreads really that cost prohibitive? I mean, does it take a 20% move on the underlying to get 10%?
I will start following a few of the larger nasdaq ssf's this week to get an answer for myself.
Good stuff so far guys!
Enjoying the thread so far. I imagine it would be all but impossible to arb the SSF's. MM's in the SSF's are looking at the underlying stock price constantly.
jaming5002 has it right . It's usually very hard to arb any product as a customer. Any arbitrage is usually done by sophistcated firms that have professional leverage, margin ,floor traders in all the pits.
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