S+P Rebalancing Play

Discussion in 'Trading' started by Babak, Sep 3, 2002.

  1. Babak


  2. I had some success playing these adds the last couple of years but I seemed to do better with the Nasdaq names. Very mysterious process but this might be a good one.
  3. Or not. Did you catch that 58 print?
  4. cashonly

    cashonly Bright Trading, LLC

    That was a slap in the face.

    Usually those things are ok to do or nearly a wash.

    Wonder what happened there?
  5. don't worry...you obviously weren't the only one that got smoked.

  6. Lehman stepped in as a seller. It hurt.
  7. When a strategy relies on an order imbalance and it's posted in detail on a very active message board ...........it helps pull that imbalance back to normal.

    Soon the strategy has no more imbalances at the close

    glad I had to sit this one out while waiting for my account to open.

  8. nitro


    1,211,200 went off at 57.98. I was long MO at 49.63 and short RJR at 59.76 and happy - I decided to close the trade out before the close with nice profit. Brilliant huh!?

    nitro :mad:
  9. hedgez


    after goldman sachs had a 20mm share imbalance and gapped up several points about 6 weeks ago, too many traders are trying to play the same game.

    700,000 share buy imbalance is very little considering rjr trader something like 17million shares on the day. the combination of sellers and off-setting market on close orders turned it into a sell imbalance by the close. i'm sure the specialist cleaned up.
  10. Trading the adds and deletes works more times than not.
    A couple of times per year, it doesn't work at all and you catch a severe beat down, today being a prime example. I got a look when I entered my MOC order, they were paired on a lot with not much of an imbalance.

    It is the right trade though, 7 million needed to be bought. When Lehman has an order for some institution to sell million on the bell and walks into the crowd at 3:57, you are dead.

    If you were short going into the close, it was pretty lucky, but not necessarily the smart trade. Then again, after looking at my p&l, being long wasn't too smart either, but it is the right trade and I would do it again.

    As for the GS trade taking away other good ones, TAP. A and TAP.B both worked very well, and that was a week and a half ago.

    The punishment dished out when they don't work deters enough people from "trying that again". No fun to see it print in the hole $1.
    #10     Sep 3, 2002