nitro what's the percentage of occurences that this thing reverts from nfv back to cash price, thanks for sharing
ammo I don't understand the question. NFV has nothing to do with the basis. Are you asking what % do we get convergence between NFV and SPX in the direction of NFV? So far 100%.
Another source of confusion I have found is that people think that the difference between chain add points is the most you can make on a trade. That is not correct. Remember "edge" is the difference between NFV and SPX, both of which are constantly updating in realtime. For example, say we short 1064 SPX with NFV at 1050, or 14 edge. Now, let's say that for the next five days straight, the difference between SPX and NFV stays above 7, which if this difference became less than 7 is where we would take profit. Nothing says that SPX for example isn't 1012 and NFV is 1000, giving us a profit of 1064 - 1012 = 48 handles (or equivalent points if you are using SPY), so far, and we are still in the trade! Granted this scenario is not likely, although it happened beautifully during the flash crash. Once NFV leads SPX, we roll in cash. A couple of people thought that the maximum profit on a trade was the difference between the chain action points. It could be this if NFV stands still and SPX goes towards it, but that is very unlikely, although it happens in late stages of a chain of add points.
i was asking about it reversing to the cash price ,for instance ,instead of heading to 1069,it(nfv) reverts to 1109,asssuming nfv was 1069 and it;s now trading at 1109
So far that has happened once in the last six months. Yep, in that case, we would unwind positions at a loss. Hopefully, when that scenario happens, we hope it is on two or max three add points so as to keep the pain level low. For example, if in our current scenario SPX stayed at or neat 1105 and NFV went up to it, we would be forced to lose about a grand assuming 1 unit = 1 ES contract per add point.
It is not really the cost, but the fact that you do book a loss when you roll, there is no way around it. Right now we have an upgap in the futures the Sept ones around 1115, so your booked LOSS if you roll right now is about: 29 pts on first entry 19 pts on 2nd entry 8 pts on the 3rd entry at 1107 Am I correct? And your new position is 3 units/ctrs short from 1110 Dec.... Now we might sell off next week, so maybe it is wise to wait with the rollover, there is no advantage in doing it early. You don't lose more if you wait until Friday, but you might avoid a loss if the market turns...
A dummies question for the thread - What is NFV and what ticker I used to get data for it? I tried going through last 20 pages but could not find it... Thank you for your help...
Man, you wasted your annual allowed post limit on this? It is New Fair Value (as compared to the earlier old, even less accurate one) and Nitro calculates it using secret ingredients....
To me there is no difference between a booked loss or a loss on paper. We are losing on this trade period. We are short from approximately 1089, 1104 and 1107, so at 1115 SPX we are down 26, 11, and 8, for a total of 45 handles, or $2250 per contract assuming one contract per add point. I hope we get to add at 50 edge, let it keep going higher.