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Wrong Fair Value Premiums

  1. Why is the real, true Fair Values so off from those published by some of those websites out there. What could possibly explain it? Isn't it just plugging in some numbers to a formula.

    http://www.programtrading.com/buysell.htm
     
  2. Programtrading is the best site for fair value calcs.

    Program levels will vary because the cost of money varies for each firm that uses it as a trigger. So if you watch carefully you will see programs trigger above and below fair value figures.

    Good luck
    Steve

    Please note: I am talking about program levels, not fair value
     
  3. I am just disappointed in all the websites. You cannot rely on any of them. They are always off 5 or 6 pts. I need to start calculating FV by myself. Which is hard to do since you have to put in the dividends and interest rates etc etc..
     
  4. Okay, I think you may be missing the point. Even if you calc Fair Value yourself, you will still see programs hitting above and below your figure. This is because the big brokerage houses all have different cost of money. This figures into WHERE they choose to activate program trading during the day. Also important to check out the info as to what stocks are subject to programs. That changes each day as well.

    Again I suggest you check out programtrading. Hank is a good guy and his services although expensive are worth it in my opinion, IF you want to learn to catch program trades.

    Good luck
    Steve
     
  5. The primary difference is the spread between "long money" (where you have extra cash and try to make a return of "X"), and "short money" (where you have to borrow $$ at a rate of "X+") to try to profit from the cost of carrying positions.

    Hank Camp (program trading) uses a "blended" rate, which is what I prefer...and it coincides very closely with the reality of eMini's and PREM.

    Don
     
  6. I think the best site (accurate) for fair value is

    www.indexarb.com


    Good luck
     
  7. Very close: 7.75 vs. 7.25 .....good site.

    Don
     
  8. which broker or data vendors support this information??? I have been looking for a company that will give me reliable and fast data including charts of the Prem. I know IB does not have this and was really hoping if someone can find tell us.

    TIA
     
  9. Anyone have yesterdays (Wednesday's) PREM values for ER2/RUT from either or both of these vendors. It seems like neither of the sites posts up the free numbers for the ER2.

    Just doing a little a little experiment.

    Thanks
    ozzy

    P.S this information is expensive, it doesn't seem to complicated to calculate these numbers (should be able to do this in house, no?). What else does this service provide to justify the cost of this data? TIA.
     
  10. We have our own DDE link charts that show this information. The raw data comes included in our RediPlus package. Check www.programtrading.com - as they list the vendor's and the symbols they use.

    Don
     
  11. eSignal has it under the symbol "PREM A0" which is real time and based off of the eMinis. Not sure if you can pull up a chart of it, though. It didn't work for me today.
     
  12. eSignal has it only for S&P, wish they had it for Dow..

    The emini symbol is EPREM A0
     
  13. No wonder I couldn't pull up a chart of it...the "E" portion of EPREM was cut off on my quote box.

    Correcting my prior post, the symbol is EPREM A0, not PREM A0.
     
  14. You can do a spread chart of the YM/$DJIA (esignal should let you do this), plug in the daily FV's provided from the vendors listed in this thread, add some alerts when they reach potential program buy/sell zones. Bada boom bada bing.

    ozzy

    P.S Anyone know where I can get the FV numbers for the ER2?

    Thanks.

     
  15. When i type $PREM on esignal, i get values that make no sense.... i get values in the hundreds... like 600 to 800 :confused:
     
  16. Ripley what do i need to subscribe to in order to be able to get data for that symbol? Right now it says im not entitled
     
  17. If you read the programtrading.com website properly, it mentions that the only place you can get all the correct PREM levels, inlcuding the Russell 2000 is from DTN IQ. Esignal only has the PREM for the S&P. All other $prem values from other vendors are wrong.
     
  18. Indexarb.com uses the following symbols as they have mentions here...

    [The S&P 500 premium can be seen on the CNBC ticker with the symbol of PREM, which precedes their FV, fair value. Other data feeds use the symbol of $PREM.X, $PREM, or SP-PREM. The NASDAQ 100 premium has the symbol of ND-PREM.]


    But according to an article I've recently read, those symbols are inaccurate. Here's the article.

    http://www.tradingmarkets.com/.site/Daytrading/commentary/lftw/09302005-46122.cfm
     
  19. today's data
     
  20. Hi, I wonder if anyone has attended the seminars by Hank at ProgramTrading and can give an opinion on the seminars? His 2-day weekend seminar looks interesting but does cost a bit.

    Thanks.
    :)
     
  21. It's an excellent program, that's why he's selling it.

    I also heard that the top trader at Goldman is offering a new course. Kind of expensive, around 50,000 dollars, but it has a money back guarantee if you don't get a million dollar a year job. Not sure though, still trying to decide if I really want to do that work.


    What's wrong with Yahoo finance fair value? It's posted each morning.


    There is only one, and only one way to calculate fair value. The OP was not talking about premium numbers, he asked about fair value. Just check bloomberg or yahoo.
     
  22. Hi Joe, thanks for your cryptic reply.

    By the way, what is OP?

    Thanks.:p
     
  23. (The) Original (thread) Poster works for most of us.
     
  24. Who cares what the OP was asking about? That was 5 years ago?

    HF, you seem to be pretty new here based on your # of posts, so here is the quick and dirty guide to how things work:

    1. There are some smart and probably successful traders here that, if the question is phrased to their liking, and isn't something like "If anyone has a successful method, please detail it for me?", they will offer some useful information.

    2. The guys in #1 are not very common. Most of what you will get in responses to a genuine question will vary between useless (but sometimes entertaining) sarcasm and verbal attacks, or misinformation.

    3. You will need to do some due diligence, and sift through all the responses to a question in order to find useful information from someone who might actually understand and willingly share the information you seek.

    4. Most importantly, if you ask any question about any PAID training or mentorship, be prepared for sarcasm, ridicule, suspicion, and general disapproval. The prevailing mantra is that nobody will sell (or give away) any training or knowledge that they themselves could make $$ using.

    There you have it, a primer for asking questions on ET, welcome. Oh by the way, if no one comes through with a useful reply on your question regarding Hank Camp's training, that probably means either no one here has tried it and therefore, have no opinion, or they have tried it and are making tons of $$ and don't want any more competition. Or its the weekend and they just haven't checked ET.

    Since the thread is old, and your question only generally pertains to the topic, you might try creating a new thread, if this goes nowhere. If you can get Don Bright's attention, he might be able to give you some idea as to whether the methodology in general has any edge in the current market climate. I don't think he will have any specific knowledge of the training that Hank is offering, but he and others at his firm have used fair value calculations for years on the open and throughout the trading day. I'm sure he has a very good idea of its usefulness.

    good luck.