"China November HSBC Flash PMI Sinks to 32-Month Low" http://www.cnbc.com/id/45410635 SIFs are down in the AH with some force on the news. Below are the closing values. 1172 is a very very VERY strong support point, and a trader would probably buy back two units here and wait for a 20 to 30 handle bounce to pounce on it again. If I exited here, I would make (assuming I could exit around 1170 Dec ES ) 83 * 2 = 166 (2 units shorts from 1255) +48 (1 unit short from 1220) == +214 handles per unit But I simply cannot do that with OFV where it is. I may miss the wiggles, but I will get the overall direction right, and I think this lands at best, 1100 SPX. That is waaaaay too much money to leave on the table if this doesn't bounce. I know, I know, bulls make money, bears... SPX, 1188.04. FV, 1054.25. OFV,1070.33.
Your FV position is as follows: 10-05-11 03:34 PM S SPX 1140.65 10-07-11 08:31 AM Added S equivalent of SPX pre-market 1172 10-12-11 03:02 PM Short third unit 1220 SPX Thus your FV current basis is 1177.55 Using short-term OFV trades to close out your longer FV trades (causing huge realized losses at the time) and "reset" your basis higher is just plain wrong.
SPX, 1171.16. FV, 1046.18. OFV, 1064.27. This is a very strong support area. It extends to 1161 ish or so. Once we lose this area, there is nothing stopping 1142, and probably 1100. Can anyone be blamed for taking some short units off in this area, looking to sell higher on some bounce? No, imo. At this point, I have a very large gain, and maybe I should be looking to protect it, but I simply don't have a theory of doing it from within the system. If I take profit on 2 units, it is strictly based on S/R (support in this case) considerations only.
Took one unit off at SPX 1168. Matched against the 1220 entry, +52. Still holding 2 units short from 1255. Open PnL is 87 * 2 = 172 handles. This is a compromise with myself, respecting the trader and not just blindly following the model without respect for S/R. I know how markets react, and I just think there is a decent chance of a bounce here. I am looking to add this unit short again somewhere around 1192 - 1200 SPX. It is interesting all the voices inside a persons head, all vying to be heard. The "person" that insisted on that trade is the trader, not the mathematician.
"Fitch Downgrades Portugal Rating to Junk Status" http://www.cnbc.com/ Not surprised by any of this. 1142 is probable next stop.
The world is shitting its pants, puking its guts out, bankers are jumping out of windows, Ex Governors are embezzling billions, and you say you're not surprised at the downticking. Amazing ego. Only someone on the govt dole could be this sanguine.