Nothing’s Changed – October 14, 2011

[Billy]

Forum Clusters 111014.xlsx

“The pros visualize what they can lose and how painful that will be, whereas the amateur sees only the opportunity and the joys of winning.” Michael Martin - http://www.huffingtonpost.com/willow...b_1007831.html

No edges, no positions and multi-pivots paths of least resistance still strongly biased to the downside for both IWM and GDX. But ATR is dropping fast, encouraging risk appetite and bulls to open new long positions.
Billy

[adam ali]

Billy,

This is an interesting chart (at least to me). Do you have some insight as to the use of opex pivot levels? I assume it has to do with market makers generally wanting to minimize their own risk by pinning indexes at certain levels, but not sure.

We've discussed how looking at outstanding contract expirations can indicate where option market makers will likely take prices at expiration. I'm curious whether opex pivot level work somehow works well in tandem with this.

Anyway, be interested in your (and others) thoughts

http://chart.ly/6j6carw

[Billy]

Billy,

This is an interesting chart (at least to me). Do you have some insight as to the use of opex pivot levels? I assume it has to do with market makers generally wanting to minimize their own risk by pinning indexes at certain levels, but not sure.

We've discussed how looking at outstanding contract expirations can indicate where option market makers will likely take prices at expiration. I'm curious whether opex pivot level work somehow works well in tandem with this.

Anyway, be interested in your (and others) thoughts

http://chart.ly/6j6carw

Adam,
What is the definition of opex pivot levels?
You wrote previously that you can't update your own normal floor levels for SPY. How will you use exotic opex pivots for SPY?
Billy

[adam ali]

SPY updated floor levels - it wasn't that I couldn't. It was that I was interested in your analysis of those levels.

Opex pivot levels - have no idea. That's why I thought I'd raise the question, to see if you or others were familiar with the concept.

[Billy]

SPY updated floor levels - it wasn't that I couldn't. It was that I was interested in your analysis of those levels.

Opex pivot levels - have no idea. That's why I thought I'd raise the question, to see if you or others were familiar with the concept.

The calculations are from opex to opex rather than fixed periods like weekly or monthly.
The power of floor pivots is that they are widely used by market makers and floor traders algorithms.
In this context, opex pivots are sounding like another distractory gadget to me. They seem to be very marginally used by professionals if by any.
I'm of course open to hear feedback and backtesting from any member using them.
Billy

[Andrei]

Billy, is there anything else widely used by professionals that we or common crowd don't really know about?

I mean you, with your experience should really write a book about it, and I bet it would be a best-seller, but I understand that it's too much to ask for...

So far, we've come to learn from you about pivots, floor levels, VWAP, TICK....


Thanks for you work!