This thread was replaced by Don's openings part 2 http://www.elitetrader.com/vb/showthread.php?s=&threadid=4323
ok, is the correct formula 4.55/1161.95 (previous cash + FV) or simply 4.55/1160.7 (previous cash only)? thanks Mark
I think it should be the previous cash or in this example, 1160.70 Maybe Don or rtharp can chime in for a definite answer.
Nitro has it right, but ...and a "big but" lately is that you should use the Eminis at about 25-28 minutes after the hour...there have been big swings in pricing the last 15 minutes... Don
Don, Do you adjust both side of the envelope, or just one side if the e-minis move ? Also, how much of an e-mini move would cause you to recalculate and resend the orders? Thanks a million and glad to have you back. nitro
Since I wait until the last minute, I don't have to "adjust" anything...I just his "send" at 6:28 and away they go....with the latest FV pricing from the Eminis. ESU2 these days... Don PS. Go listen to my radio show at Noon (Pacific) on the web....call in and chat.. Don
The correct divisor is the SPX cash + FV offset. Using just SPX cash is logically inconsistent considering that the FV differential that is divided through is derived from SPX cash + FV as base value. Remember that FV does not change during the day and the market relation is in euqilibrium whenever SPX Future = SPX cash + FV. For practical purposes using one over the other should not have any discernable impact given the small difference between the values. Dave
thanks to all for the feedback Dave, you seem to be saying what I suspected, although I do realize the difference is very minor either way. It just didn't seem logical. Mark