If I exit half, I still use the original price for cost basis. The only time my cost basis changes is if i add to the positon at a different price. Do you use dollar stops instead of points ?
You're not offering a mechanism. Coincidence doesn't make it fact. You denied it was "pinning" but proceed to make an OE pinning argument. Option volume in index components was a large % of notional traded volume in the spot market, but this ended back in the late-80s -- the CRT days. Aggregate notional volumes [components to index] in index absolutely dwarfs any potential impact from OI. The tail cannot wag the dog.
I used a blended cost-basis to make it easier to read, that's all. I do use a VaR, dollar-stop as a lot of my stuff is OTC, and my VaR is a dollar/% figure.
Atticus & others of course, what is your view on pennant formations? I have been noticing that a pennant's resolution is often seen in either declining or rising histogram near the apex of pennant, basic stuff I know. Does anyone trade pennants?
Someone I know tried to program it into LIM, and he was satisfied with the results on high-frequency data [intraday]. From what I gather it's very difficult to define and therefore, backtest.
I disagree. You keep talking about pinning and all am talking about is the interest indicating the trading range. Pinning still plays out in some stocks, mainly nyse but it is not as strong as before. I don't believe pinning works in indices because there are to many big players try to shove it around due to the liquidity. But I do believe you can read option interest to help decide the range of the underlying. After today, they can tank this to sub 1440 because the big players more than likely covered their short puts today and sold calls. All I know is when you see the open interest stacked hard, you want to be selling premium and not joining the hopers. You still looking for 1500 this week ? Premium says 1496 cash max from my read.
Yeah, 1500 SPX. IMO, the atm straddle premium is the only reliable indicator of the forward distribution.
My read from spy options says max is 1496 on cash but I would not be the least surprised to see it stall at 85 - 90. Don't like the gap under us but maybe they hold it til next week.