Kudos to MMs

02/08/2012 10:57:28 OFV = 1342.10722553424 Sell to Open at 1344.63 Spread = 2.5
02/08/2012 11:40:20 OFV = 1345.87983090205 Buy to Close SPX at 1345.54 Spread = 2.5

 

02/08/2012 12:14:48 OFV = 1348.90252656762 Buy to Open at 1346.32 Spread = 2.5
02/08/2012 13:00:22 OFV = -1003.19156233151 Sell to Close SPX at 1346.58
02/08/2012 13:55:56 OFV = 1347.18121355058 Sell to Open at 1349.76 Spread = 2.5
02/08/2012 14:24:53 OFV = 1348.46069884333 Buy to Close SPX at 1348.81 Spread = 2.5
02/08/2012 14:43:46 OFV = 1346.99947184081 Sell to Open at 1349.54 Spread = 2.5
02/08/2012 16:00:25 OFV = 1348.01608158391 Buy to Close SPX at 1349.96

 

02/08 results: -6.84

 

SPX, 1349.56. FV, 1171.31. OFV, 1349.20. POFVF, 1291.25.

No trades thus far.

 

02/09/2012 09:36:45 OFV = 1347.32441334447 Buy to Open at 1344.77 Spread = 2.5

Storing the values in a database to see if some spread values are better than others. Also it will allow me to run backtests on any spread value.

 

02/09/2012 09:42:21 OFV = 1345.93576086 Sell to Close at 1346.75 Spread = 2.5

 

02/09/2012 09:46:41 OFV = 1344.42428040 Sell to Open at 1347.27 Spread = 2.5
02/09/2012 10:34:27 OFV = 1349.32910781 Buy to Close at 1348.98 Spread = 2.5

 

02/09/2012 10:47:07 OFV = 1349.99356894389 Buy to Open at 1347.43 Spread = 2.5
02/09/2012 10:50:10 OFV = 1349.44395726807 Sell to Close SPX at 1349.29 Spread = 2.5

 

Current values:

SPX, 1351.58, FV, 1169.92. OFV, 1350.22. POFVF, 1291.49

 

SPX, 1353.61. FV, 1172.63. OFV, 1353.46. POFVF, 1294.57