Kudos to MMs

Nitro, are you still short 4 units?

 

He is not going to reply.
1) If the market tanks, he will claim to exit.
2) If the market never reaches that level, he will ignore your question forever.

 

Calculated to EIGHT decimal places?

 

02/10/2012 08:52:50 OFV = 1342.93241683992 Buy to Open at 1341.59 Spread = 1.25
02/10/2012 08:54:02 OFV = 1342.139726912 Sell to Close SPX at 1341.9 Spread = 1.25
02/10/2012 08:58:56 OFV = 1341.54996747153 Buy to Open at 1340.2 Spread = 1.25

Note that the take-action spread has dropped to 1.25. That is because VIX > 20.

 

SPX, 1338.52. FV, 1135.86. OFV, 1340.49. POFVF, 1247.90.

 

02/10/2012 09:27:27 OFV = 1340.18330953619 Sell to Close SPX at 1339.93 Spread = 1.25
02/10/2012 09:28:08 OFV = 1340.85089535745 Buy to Open at 1339.54 Spread = 1.25
02/10/2012 09:30:56 OFV = 1339.63773071034 Sell to Close SPX at 1340.1 Spread = 1.25

Even with a spread of 1.25 (as opposed to 2.50), the number of trades increases quite a bit, and you get silly trades that take action one second apart. 1.25 may be too low on a VIX of 20. The VIX threshold for 1.25 may need to be increased to VIX 23 or higher.

 

Yup, that's my Boy

 

02/10/2012 09:41:46 OFV = 1337.91337531959 Sell to Open at 1339.37 Spread = 1.25

 

Nitro, are you still short 4 units? I'm just curious because you keep posting the fair value numbers.