Kudos to MMs

03/05/2012 09:19:34 OFV = 1364.85 Buy to Close SPX at 1364.78 Spread = 3

 

03/05/2012 09:41:19 OFV = 1358.86 Sell to Open at 1362.31 Spread = 3

 

03/05/2012 09:47:45 OFV = 1361.74 Buy to Close SPX at 1361.94 Spread = 3

 

03/05/2012 09:59:16 OFV = 1365.19 Buy to Open at 1361.88 Spread = 3

 

03/05/2012 10:11:57 OFV = 1362.89 Sell to Close SPX at 1362.56 Spread = 3
03/05/2012 10:16:08 OFV = 1364.10 Buy to Open at 1360.92 Spread = 3

 

03/05/2012 10:31:09 OFV = -999.71 Sell to Close SPX at 1360.91

 

03/06/2012 08:57:23 OFV = 1345.23 Sell to Open at 1348.04 Spread = 2.5

 

Note that spread is 2.5. This is different because VIX is above 20. Above 25, it drops again. The higher the VIX, the more responsive the model becomes.

 

03/06/2012 09:22:44 OFV = 1344.00 Buy to Close SPX at 1344.27 Spread = 2.5

 

03/06/2012 09:27:31 OFV = 1343.10 Sell to Open at 1345.62 Spread = 2.5