merlino II
Nuovo forumer
Complimenti Arsenio per essere diventato papà
e complimenti anche per il resto
e complimenti anche per il resto
FTSE Mib Futures operatività in derivati del 19 novembre
- Creatore Discussione arseniolupin
- Data di Inizio
:smile: 
gualti
Forumer storico
è un pò di giorni che studio l'apertura di posizioni inverse sullo STOXX e mini
e durante la giornata (sarà c..o) quasi sempre si ottiene un gain
naturalmente il gain è piccolo,(proporzionato al numero di contratti che si aprono) ma è un tipo di operatività meno stressante, e non devi lanciare la monetina o ....... per stabilire la direzione del mercato da li a pochi minuti ore o giorni...
quella di questa mattina aperta alle 9.55 (prima di partire in bici per i boschi con un amico)
short mini a 29990 long stoxx a 2924
chiusa alle 11.49
mini a 30000 stoxx a 2924 gain netto ( comm mie sono di 4 mini e 5 stoxx) 22 euro a contratto
allego grafico andamento gain/loss
mi piacerebbe il parere di alcuni di voi su questo tipo di operatività
pro e contro
grazie
e durante la giornata (sarà c..o) quasi sempre si ottiene un gain
naturalmente il gain è piccolo,(proporzionato al numero di contratti che si aprono) ma è un tipo di operatività meno stressante, e non devi lanciare la monetina o ....... per stabilire la direzione del mercato da li a pochi minuti ore o giorni...
quella di questa mattina aperta alle 9.55 (prima di partire in bici per i boschi con un amico)
short mini a 29990 long stoxx a 2924
chiusa alle 11.49
mini a 30000 stoxx a 2924 gain netto ( comm mie sono di 4 mini e 5 stoxx) 22 euro a contratto
allego grafico andamento gain/loss
mi piacerebbe il parere di alcuni di voi su questo tipo di operatività
pro e contro
grazie
newmoon
Forumer attivo
l'ho fatta per mesi questa operatività gualti
stress zero è vero (specialmente sui dati USA) ma ti garantisco anche poco gain
secondo me sono arrivato alla conclusione che va usata in casi particolari di indecisione del mercato o fasi laterali dove non sai da dove può ripartire
consiglio cmq long mini short stoxx per le ben note caratteristiche del nostro derivato
stress zero è vero (specialmente sui dati USA) ma ti garantisco anche poco gain
secondo me sono arrivato alla conclusione che va usata in casi particolari di indecisione del mercato o fasi laterali dove non sai da dove può ripartire
consiglio cmq long mini short stoxx per le ben note caratteristiche del nostro derivato
gipa69
collegio dei patafisici
http://temporeale.teleborsa.it/bw/rubriche/educational/educational_6-5-2003.htm
Le letture del COT sono molto complicate da effettuare in quanto cambiano sia a seconda del mercato di riferimento sia in considerazione della situazione....
Tanto per fare un esempio il comportamento dei commercials sul Gold non è lo stesso dei commercials sulle commodity industriali ne tanto meno uguale al comportamento dei commercials sugli indici azionari.
Nella fase attuale per esempio guardando lo SPX le posizioni dei commercials e dei large sono neutrali non tanto perchè sono neutrali sugli indici ma perchè probabilmente adottato strategie multiple long short con utilizzo di opzioni che non permettono una facile lettura.
Secondo me attualmente occorre seguire gli small per vedere un top del mercato attraverso i COT..... magari associato ad uno swing rialzista da parte dei commercial.
Per quanto riguarda il mercato secondo me è evidente che i big sono relativamente alla finestra e stanno guardando quanti piccoli stanno entrando per decidere il da farsi.
I volumi si sono visti intorno a 1190 di SPX e sono volumi che hanno respinto l'indice.... o vogliono solo consolidare alti come nelle precedenti tre occasioni oppure qualche cosa è cambiato..... (come disse Greenspan al culmine del rialzo del Nasdaq..)
Mai andare contro trend..... ma neppure seguirlo quando vuole scoprire territori inesplorati....
Continuano a dettare legge i cross del dollaro non solo contro euro ma chi ha voglia si guardi il cross USD/AUD e la correlazione con il mercato azionario USD.... poi però bisognerebbe guardare anche la posizioni dei commercials sul cambio CHFUSD.....
Flat flap
Le letture del COT sono molto complicate da effettuare in quanto cambiano sia a seconda del mercato di riferimento sia in considerazione della situazione....
Tanto per fare un esempio il comportamento dei commercials sul Gold non è lo stesso dei commercials sulle commodity industriali ne tanto meno uguale al comportamento dei commercials sugli indici azionari.
Nella fase attuale per esempio guardando lo SPX le posizioni dei commercials e dei large sono neutrali non tanto perchè sono neutrali sugli indici ma perchè probabilmente adottato strategie multiple long short con utilizzo di opzioni che non permettono una facile lettura.
Secondo me attualmente occorre seguire gli small per vedere un top del mercato attraverso i COT..... magari associato ad uno swing rialzista da parte dei commercial.
Per quanto riguarda il mercato secondo me è evidente che i big sono relativamente alla finestra e stanno guardando quanti piccoli stanno entrando per decidere il da farsi.
I volumi si sono visti intorno a 1190 di SPX e sono volumi che hanno respinto l'indice.... o vogliono solo consolidare alti come nelle precedenti tre occasioni oppure qualche cosa è cambiato..... (come disse Greenspan al culmine del rialzo del Nasdaq..)
Mai andare contro trend..... ma neppure seguirlo quando vuole scoprire territori inesplorati....
Continuano a dettare legge i cross del dollaro non solo contro euro ma chi ha voglia si guardi il cross USD/AUD e la correlazione con il mercato azionario USD.... poi però bisognerebbe guardare anche la posizioni dei commercials sul cambio CHFUSD.....
Flat flap
aldiladellaldiqua
THE REAL MATRIX is ECONOMIC
Morgi ha scritto:
sono una sola
somma le posizioni long dei Comm e dei LargeS
le due categorie più importanti
somma le posizoni corte ....
gipa69
collegio dei patafisici
Spiegazione più dettagliata in Inglese...
What Is The CoT Report?
The Commodity Futures Trading Commission uses the following description and definitions:
The Commodity Futures Trading Commission (CFTC) summarizes weekly, and releases biweekly, data on the open interest for markets in which five or more traders hold positions equal to or above the reporting levels established by the Commission. The tables show open interest separately by reportable and non-reportable positions. For reportable positions, additional data are provided on commercial and noncommercial holdings, spreading and numbers of traders.
Open Interest -A futures contract is said to be ``open'' when it has been entered into and not yet liquidated by an offsetting transaction or fulfilled by delivery. Contracts that are open are referred to as ``Open Interest.'' The aggregate of all long open interest is equal to the aggregate of all short open interest.
Open interest as reported to the Commission and as used in the COT Report does not include open futures contracts against which notices of deliveries have been stopped by a trader or issued by the clearing organization of an exchange. Open interest held or controlled by a trader is referred to as that trader's futures position.
Reportable Positions - Clearing members, futures commission merchants (FCMs), and foreign brokers are required to make daily reports to the Commission showing each trader's positions on their books that, in any future month of a commodity, exceed the reporting level. Open interest figures show the aggregate positions reported by all clearing members, FCMs, and foreign brokers. Positions of individual traders are classified either as ``commercial'' or ``noncommercial.'' All of a trader's reported futures positions in a commodity are classified as commercial if the trader uses futures contracts traded in the particular commodity for hedging as defined in the Commission's regulations.
Non-reportable Positions - Traders' positions that are below the reporting level are classified as ``non-reportable.'' The aggregate long and short open interest shown as non-reportable positions are derived by subtracting reported positions from the total open interest. Accordingly, for non- reportable positions, the number of traders involved and the commercial/noncommercial classification of each trader are unknown.
Spreading - In ``All'' futures, spreading includes each trader's reported long and short positions in the same market to the extent they are balanced. These figures do not include intermarket spreading.
We use the following definitions and descriptions:
Commercial (we use the term hedgers/commercials) - An account that exceeds the reporting levels and deals in the cash market.
Non-commercial (we use the term large speculator/trader) - An account that exceeds the reporting levels and does not deal in the cash market.
How are commercial and non-commercial accounts determined? Futures accounts have two different margin requirements – one for commercials (hedgers) and one for non-commercials (large speculators). Whichever margin requirement an account trades under determines whether these positions are held by hedgers or large speculators.
Net positions of commercials and non-commercials - Open interest held by commercials and non-commercials is reported in gross. By this we mean the total number of longs and short are reported separately for each category. In our analysis we subtract longs from shorts to derive a net position.
Which Point Of View – Large Speculators or Hedgers?
The analysis presented in our Commitment of Traders biweekly reports points out those commodities where net open interest of either large speculators or hedgers have reached or are approaching extreme historical readings for that particular commodity.
Financial futures
The ability to trade in the underlying cash markets easily adds to the attractiveness of financial futures. This allows for many different account types to become hedgers – dealers, mutual funds, large hedge funds, pension funds, etc. This diversity makes the hedger category in financial futures difficult to analyze on a consistent basis.
The large speculator category, on the other hand, usually has only one type of trader – someone who can trade size (i.e., holds at least 500 bond contracts) and does not deal in the cash market. This is typically a large floor trader, managed futures accounts or a small hedge fund. In general these types of traders are technically oriented trend-followers. Since the large speculator category is more consistent and trend-followers usually over-do-it at extremes, we are most interested in how these traders are positioned. We want to "fade" the large speculators.
Commodities
When discussing "regular" commodities, we typically do so from the hedgers point of view. In "regular" commodities, the hedgers are more important since access to the cash market gives them a competitive advantage (who do you call to trade live hogs in the cash market?). In this case, the argument is made that the hedgers have superior information. They operate from the "smart money" point of view. Therefore, we want to be on the same side as the hedgers.
Summary
If the commodity is financial in nature and the net position of the large speculators is at an extreme, we would expect the market to move in the opposite direction as that reflected by the net position of the large speculators. For instance, if the large speculators are net long, the net position is at an extreme and prices have been moving up, we would expect the price of the commodity to correct down.
If the commodity is physical in nature and the net position of the hedgers is at an extreme, we would expect the market to continue moving in the same direction as that reflected by the net position of the hedgers. For instance, if hedgers are net short, the net position is at an extreme and prices have been moving down, we would expect the price of the commodity to continue down.
What Is The CoT Report?
The Commodity Futures Trading Commission uses the following description and definitions:
The Commodity Futures Trading Commission (CFTC) summarizes weekly, and releases biweekly, data on the open interest for markets in which five or more traders hold positions equal to or above the reporting levels established by the Commission. The tables show open interest separately by reportable and non-reportable positions. For reportable positions, additional data are provided on commercial and noncommercial holdings, spreading and numbers of traders.
Open Interest -A futures contract is said to be ``open'' when it has been entered into and not yet liquidated by an offsetting transaction or fulfilled by delivery. Contracts that are open are referred to as ``Open Interest.'' The aggregate of all long open interest is equal to the aggregate of all short open interest.
Open interest as reported to the Commission and as used in the COT Report does not include open futures contracts against which notices of deliveries have been stopped by a trader or issued by the clearing organization of an exchange. Open interest held or controlled by a trader is referred to as that trader's futures position.
Reportable Positions - Clearing members, futures commission merchants (FCMs), and foreign brokers are required to make daily reports to the Commission showing each trader's positions on their books that, in any future month of a commodity, exceed the reporting level. Open interest figures show the aggregate positions reported by all clearing members, FCMs, and foreign brokers. Positions of individual traders are classified either as ``commercial'' or ``noncommercial.'' All of a trader's reported futures positions in a commodity are classified as commercial if the trader uses futures contracts traded in the particular commodity for hedging as defined in the Commission's regulations.
Non-reportable Positions - Traders' positions that are below the reporting level are classified as ``non-reportable.'' The aggregate long and short open interest shown as non-reportable positions are derived by subtracting reported positions from the total open interest. Accordingly, for non- reportable positions, the number of traders involved and the commercial/noncommercial classification of each trader are unknown.
Spreading - In ``All'' futures, spreading includes each trader's reported long and short positions in the same market to the extent they are balanced. These figures do not include intermarket spreading.
We use the following definitions and descriptions:
Commercial (we use the term hedgers/commercials) - An account that exceeds the reporting levels and deals in the cash market.
Non-commercial (we use the term large speculator/trader) - An account that exceeds the reporting levels and does not deal in the cash market.
How are commercial and non-commercial accounts determined? Futures accounts have two different margin requirements – one for commercials (hedgers) and one for non-commercials (large speculators). Whichever margin requirement an account trades under determines whether these positions are held by hedgers or large speculators.
Net positions of commercials and non-commercials - Open interest held by commercials and non-commercials is reported in gross. By this we mean the total number of longs and short are reported separately for each category. In our analysis we subtract longs from shorts to derive a net position.
Which Point Of View – Large Speculators or Hedgers?
The analysis presented in our Commitment of Traders biweekly reports points out those commodities where net open interest of either large speculators or hedgers have reached or are approaching extreme historical readings for that particular commodity.
Financial futures
The ability to trade in the underlying cash markets easily adds to the attractiveness of financial futures. This allows for many different account types to become hedgers – dealers, mutual funds, large hedge funds, pension funds, etc. This diversity makes the hedger category in financial futures difficult to analyze on a consistent basis.
The large speculator category, on the other hand, usually has only one type of trader – someone who can trade size (i.e., holds at least 500 bond contracts) and does not deal in the cash market. This is typically a large floor trader, managed futures accounts or a small hedge fund. In general these types of traders are technically oriented trend-followers. Since the large speculator category is more consistent and trend-followers usually over-do-it at extremes, we are most interested in how these traders are positioned. We want to "fade" the large speculators.
Commodities
When discussing "regular" commodities, we typically do so from the hedgers point of view. In "regular" commodities, the hedgers are more important since access to the cash market gives them a competitive advantage (who do you call to trade live hogs in the cash market?). In this case, the argument is made that the hedgers have superior information. They operate from the "smart money" point of view. Therefore, we want to be on the same side as the hedgers.
Summary
If the commodity is financial in nature and the net position of the large speculators is at an extreme, we would expect the market to move in the opposite direction as that reflected by the net position of the large speculators. For instance, if the large speculators are net long, the net position is at an extreme and prices have been moving up, we would expect the price of the commodity to correct down.
If the commodity is physical in nature and the net position of the hedgers is at an extreme, we would expect the market to continue moving in the same direction as that reflected by the net position of the hedgers. For instance, if hedgers are net short, the net position is at an extreme and prices have been moving down, we would expect the price of the commodity to continue down.
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