Esignal- Fair value & Value area

Discussion in 'Technical Analysis' started by Nana Trader, Jan 11, 2004.

  1. I know fair value and value area are two different trading
    arsenal, but i don't know about them much, here is my

    -How to find what's fair value for the day?

    -How to find out about todays level for buy and sell
    differance on real time?

    -Which symoble to look for at esignal to find out when
    S&P futures are trading at "primimum or discount" to fair value?

    I heard Realtick software has this feature that will calculate
    for you when to go long and short with green and red
    up/down ticks?

    I would like to be able doing all these at esignal


    -Which Efs script can plot for you the are the UVA, LVA, POC
    for volume plotted on prices veritcaly?

    Is there any article on ESignal that we can learn about VA?
  2. I need some explaination on how to use and make these
    strategies work (if step by step), and if they are usefull
    for daytrader using 1,3 5 timeframe?
  3. Hi! Fair value for s&p500 index where most programtrading occur is just s&p500 + interest for all stocks you buy - dividends. Formula is: FV = S [1 + (I - D)] according to

    They publish their levels for programtrading each day.

    Esignal use: $prem but it´s like a snapshot every 6:th second.

    If you have futures realtime you can of course calculate premium yourself.

    But i did not find much value in this...
    Maybe i missed something
  4. Thank you. But I know about this link and several others
    sites. But i want some one to tell me how to calculate and
    use it in real time?

    In Esignal charting it show value of :
    $EPREM: -186
    What are these, and how to be used in real time?

    I appriciate if someone can explain it in details from
    A-Z like what is prem, fair value, primium, discount,....
    when to be prepered for buy and sell, how....

    aren't all these crazy ... :)
  5. Nana:

    when you talk of fair value and value area, you are confusing two separate concepts.

    Fair value, as found each day at, provides the "fair value" of the S&P futures contract compared to the cash index. Today (monday), it lists fair value as -1.14 with program buying at -0.54 and selling at -2.14. This means that the futures contract should be trading at a slight discount to the cash index in order to nullify any advantage from arbitrage between the two. You can buy either a futures contract on the S&P or you can hold the basket of 500 stocks that comprise the index. Essentially, this amounts to the same thing, so the basket of stocks and the futures contract should be priced to offer no advantage to preferring one over the other. If there is a price discrepancy (i.e. they are trading above or below "fair Value")then there is an arbitrage opportunity - I can sell the overpriced instrument and buy the underpriced one and profit from the differential. The program buying levels represent the price differential necessary for it to be worthwhile for the large arbitrageurs to make the arbitrage play - including accounting for the transaction costs and cost of money.

    On esignal, the $PREM is the current difference between the futures and cash. To take advantage of it, set alerts in esignal for $PREM levels of -54 and -214 today. At the first number, expect program buying to occur, so be ready to buy stocks; at the latter number, be ready to sell. Market moves generally start in the futures (it's easier to buy/sell an S&P futures contract than to buy the basket of stocks) so the program buying level indicates when it is worthwhile for arbitrageurs to sell the overpriced futures and buy the underpriced stocks. $EPREM is the difference between the cash index and the e-mini rather than the big contract.

    Value area is a different concept related to Market Profile. You can read Dalton's book "Mind over markets" to give an overview of this.

  6. A negative fair value differential (i.e., futures premium) indicates that the expected interest rate to the banker/broker is less than the dividends to be paid during the period were you to hold all S&P500 stocks in the correct proportions.

    HL Camp shows their planned buy/sell premium levels. Every program trading firm has their own and they can all be somewhat different depending on their own internal cost/rate structures. So there won't necessarily be a cascade of buy/sell programs just because Camp's buy/sell premium was hit.
  7. Thanks, but where to find daily interst rate and divident
    for future contracts? When need to have these info first.

    I appericiate if some one can provide a link for these daily
    published rates of S&P
  8. Thanks Ian for info on how to use set $PREM alart based on
    program selling levels and book recommandation. I will come
    back if i need more details.
  9. Thanks again for sharing info. I will not trade of those signals,
    but somtimes keep an eye on $PREM alarts just to know if
    sudden small price jumps has been result of any program
    buy/sell and doesn't mean any reversal.
  10. nkhoi

    nkhoi Moderator

    any out of line fair value will be corrected by program trading in a flash, unless you have your own program it's hard to exploited this 1/10th of a sec opportunity.
    #10     Jan 13, 2004