This is FASCINATING... 1. "You compare to the outrights and you realize just how much bullshit price action there is! Retail getting stacked, flipped, crossed, and re-crossed all day long." Yes... Amen to that... Exactly... Random 'Brownian Motion' Retail Suicide... arrrghh !! 2. Maybe we could create a long running ET: Pairs/Spreads/Fly's journal thread where we & others share ? 3. Your (ES-SPX) & (RTY-RUT) - Do you trade these as an ARB capture. When out of line ? 3. Yes, the 2s/10s, NOB, BOB & Index premiums. Straight forward monster volume pairs but... 4. If I have this right...You reverse engineered a pair spread to match an EXISTING Exchange Dow Index Indicator (the $TIKI). By createing a SynNQ (Synthetic NQ).. So presumably you have your SynNQ pair on a left chart and $TIKI on a right chart (or vice-versa) and I would gather that your edge is when the $TIKI leads your SynNQ Pair enough to trade n' profit ?? 5. A Question to You: The Spread Professor guy who use to post here on ET said any trader could create 10s of Thousands of Futures spreads (100K ++ Pairs ??) that could each be modeled for Standard Dev Z Score trading. Do you think there are that many possibilities... Just curious what you take on that was ? Not sure if you saw that thread ? Thanks for your Sharing... Edgy...
pros trade futures spread is because of leverages they can use for particular viewpoint, not necessarily to screw retails. make lot of money if the view is right, lose lot of money if the view is wrong. after all someone takes the opposite side of the trade.
I think, not sure, that he quit ET because of harassment over his brokerage statement of profits... ??
No. You can't trade this as retail, but it's so important, and its used in so many high profile algos that it can give you edge in the outright markets. Just think about it, the futures premium is arb'ed against a floating interest rate. It requires instantaneous execution of (when I say cash&carry and reverse cash&carry, people get confused) the futures/cash basis. Retail has no cross margining. The guys trading this are market makers on globex. In other words, Goldman, Morgan, UBS, or others like Citadel, Virtu, Peak6, etc. No. Actually you can trade the dow mini outright using $TIKI, and the other indexes too. But, yes you can use $TIKI to get edge on the dow leg of that synthetic! Generally speaking, if you can replicate NQ with a ES/YM spread, it will give you an unbiased take (when compared to the outright action) for any directional read you have [This is the same thing I use that XLK/XLF spread for]. With all of those, it's just like the interest rate butterfly approximates the outright futures payoffs, but is hugely resistant to market noise and the chop/manipulation (to max out the traded volumes). That's the stuff that supports the liquidity system for those heavy levered butterfly trades in rates. You can also create a synthetic ES, if you chart 100*/ES - 20*/NQ. That one is based on inverting the vol ratio. As for $TIKI, I tend to put it in a formula $TIKI - EMA($TIKI,20). If you remember calculus, this is just like differentiation. You can use it for entry/exit, timing, or just as a confirming/invalidating signal. (Below chart has that formula in white and Dow in green). Yea, I learned a lot from that guy. He's talking about the forward curves and calendars/fly's there. I guess he really likes the softs/metals/energies forward curves. I think he had some serious automation going on with that stuff as well. I remember him saying he was a nuclear engineer ($$$$), so I imagine it would be tough to match his trading style. IMO, that guy's posts are solid gold.