Wednesday, December 26, 2012

True calendar spread: Dec 2011 vs Jan 2012 [2.00]


True calendar spread: Jan 2012 vs Feb 2012 [0.50]


True calendar spread: Feb 2012 vs Mar 2012 [1.75]

Statistics on spread of open, high low and close are abolished since they do not provide any meaningful information in addition to spread chart with profile.

True calendar spread: Mar 2012 vs Apr 2012 [-17.50]

Large negative spreads into April and May contracts anticipating earnings in many of the underlying shares.


True calendar spread: Apr 2012 vs May 2012 [-16.75]

Huge spread due to earnings.


True calendar spread Dec 2012 vs Jan 2013 [1.00]

Chart showing calendar spread with profile during expiration week. Trading volume in the new contract usually exceeds the expiring contract Thursday afternoon. Trading just before expiration with low volume and  very large and volatile spread apparently has little effect on profile. Chart based on tick data (instead of 1-minute data) shows an even more pronounced POC at 1.00 formed at Tuesday with some higher volume trading.



Friday, December 21, 2012

True calendar spread: May 2012 vs Jun 2012 [1.50]

Wednesday was a half trading day, thursday a holiday. Expiring contract still traded more than next rolling contract at Wednesday making it unnecessary to rollover a day earlier. Note that nominal calendar spread was zero while both type and median values was 1.50. This is a perfect example why it's necessary to go through this process in determining the true calendar spread.




True calendar spread: Jun 2012 vs Jul 2012 [1.50]




True calendar spread: Jul 2012 vs Aug 2012 [1.25]


True calendar spread: Aug 2012 vs Sep 2012 [2.00]






True calendar spread: Sep 2012 vs Oct 2012 [1.50]






True calendar spread: Oct 2012 vs Nov 2012 [1.25]




True calendar spread: Nov 2012 vs Dec 2012 [1.75]

Chart showing spread suggests 1.75 as effective split value for correcting calendar spread. Note that spread at close was 3.25 reflected by a pronounced spike. 1.75 is also median and type value of open, high, low and closing prices of 2nd, 3rd and 4th trading days before expiration.

Calendar spread Mon 11/12/12 to Thu 11/15/12 (chart/data by Linnsoft/eSignal)
Calendar spread vaules and statistical properties (data by eSignal)

Thursday, December 20, 2012

.../Users/.../InvestorRT/admin/myholidays.txt

#Loading myholidays.txt - Holiday Definition File Expires 12/31/2014
-
- Session 36. Stockholm, Sweden (9 AM - 5:27 PM Mon-Fri)
-
- Year 2008 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
080106,36,Trettondedag jul
080321,36,Långfredagen
080324,36,Annandag påsk
080501,36,Första maj, Kristi himmelfärdsdag
080606,36,Sveriges nationaldag
080620,36,Midsommarafton
081224,36,Julafton
081225,36,Juldagen
081226,36,Annandag jul
081231,36,Nyårsafton
-
-
- Year 2009 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
090106,36,Trettondedag jul
090410,36,Långfredagen
090413,36,Annandag påsk
090501,36,Första maj
090521,36,Kristi himmelfärdsdag
090606,36,Sveriges nationaldag
090619,36,Midsommarafton
091224,36,Julafton
091225,36,Juldagen
091226,36,Annandag jul
091231,36,Nyårsafton
-
-
- Year 2010 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
100106,36,Trettondedag jul
100402,36,Långfredagen
100405,36,Annandag påsk
100501,36,Första maj
100513,36,Kristi himmelfärdsdag
100606,36,Sveriges nationaldag
100625,36,Midsommarafton
101224,36,Julafton
101225,36,Juldagen
101226,36,Annandag jul
101231,36,Nyårsafton
-
-
- Year 2011 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
110106,36,Trettondedag jul
110422,36,Långfredagen
110425,36,Annandag påsk
110501,36,Första maj
110602,36,Kristi himmelfärdsdag
110606,36,Sveriges nationaldag
110624,36,Midsommarafton
111224,36,Julafton
111225,36,Juldagen
111226,36,Annandag jul
111231,36,Nyårsafton
-
-
- Year 2012 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
120106,36,Trettondedag jul
120406,36,Långfredagen
120409,36,Annandag påsk
120501,36,Första maj
120517,36,Kristi himmelfärdsdag
120606,36,Sveriges nationaldag
120622,36,Midsommarafton
121224,36,Julafton
121225,36,Juldagen
121226,36,Annandag jul
121231,36,Nyårsafton
-
-
- Year 2013 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
130106,36,Trettondedag jul
130329,36,Långfredagen
130401,36,Annandag påsk
130501,36,Första maj
130509,36,Kristi himmelfärdsdag
130606,36,Sveriges nationaldag
130621,36,Midsommarafton
131224,36,Julafton
131225,36,Juldagen
131226,36,Annandag jul
131231,36,Nyårsafton
-
-
- Year 2014 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
140106,36,Trettondedag jul
140418,36,Långfredagen
140421,36,Annandag påsk
140501,36,Första maj
140529,36,Kristi himmelfärdsdag
140606,36,Sveriges nationaldag
140620,36,Midsommarafton
141224,36,Julafton
141225,36,Juldagen
141226,36,Annandag jul
141231,36,Nyårsafton

Monday, September 17, 2012

Questionable prices

Ticker Date Time                     Open    High    Low     Last    Approx. error (points)
OMXS30 X2008-OMF 10/14/2008 10:02:00  718.50  718.50  617.75  718.50 Low      -100
OMXS30 X2008-OMF 10/15/2008 16:56:00  765.75  765.75  656.75  656.75 Low/Last  105
OMXS30 X2008-OMF 10/30/2008 14:54:00  652.75  752.50  652.50  653.00 High      100
OMXS30 H2009-OMF 02/19/2009 09:15:00  654.50  956.25  653.50  653.75 High      300
OMXS30 J2010-OMF 04/01/2010 09:01:00  980.00 1019.75  970.00 1018.00 Low      -45
OMXS30 J2010-OMF 04/12/2010 09:01:00 1044.25 1046.50 1006.75 1043.50 Low      -35
OMXS30 Z2010-OMF 11/24/2010 09:01:00 1092.75 1127.00 1089.25 1091.50 High      35
OMXS30 Z2010-OMF 12/07/2010 09:01:00 1077.75 1146.25 1077.75 1145.75 Open/Low -65
OMXS30 F2012-OMF 01/02/2012 09:00:00                                 Missing session
OMXS30 N2012-OMF 06/14/2012 09:02:00  976.25  977.00  853.75  976.50 Low     -125

Saturday, June 16, 2012

06/15/12 session playback at 600x speed

Playback of the OMXS30 index futures session 06/15/12 at 600 times speed (510 minutes as 51 seconds). Red vertical line (middle left) and turquoise profile (right) represents volume traded since 06/07/12. Red streamer profile (right) represents volume traded since 05/16/12. Light blue vertical line (middle) and multi coloured profile (right) represents volume traded since 09/23/11 (last swing low). Lower panes marked VB (volume breakdown) represents the bid/ask transaction ratio (Delta). This is a rare session since the range traded the first hour (In Balance) held for the whole session which only occured 3 out of 205 trading days during the period 08/18/11-06/08/12 (Chart by Investor/RT, Linn Software, Inc. www.linnsoft.com).

Monday, June 11, 2012

Simple IB breakout study

IB High Breakout Only = 35.6%, 
IB Low Breakout Only = 29.8%, 
Breakout to Both Sides = 33.2%, 
No Breakout = 1.5% 
(205 days ending 06/08/12)

Simple gap study

how often gap (1 pt or more) filled when opening in previous day range - 40/65 (.615)
(205 days studied - 08/18/11 -- 06/08/12)
 - when opening out of range
 - when opening above an up days range (up day defined as close greater than open) - 20/36 (.556)
 - when opening below an up days range - 1/1
 - when opening above a down days range - 2/4
 - when opening below a down days range - 17/26 (.654)

Tuesday, June 5, 2012

Contracts available on eSignal Extended Intraday History


OMXS30 V2008-OMF
OMXS30 X2008-OMF
OMXS30 Z2008-OMF
OMXS30 F2009-OMF
OMXS30 G2009-OMF
OMXS30 H2009-OMF
OMXS30 J2009-OMF
OMXS30 K2009-OMF
OMXS30 M2009-OMF
OMXS30 N2009-OMF
OMXS30 Q2009-OMF
OMXS30 U2009-OMF
OMXS30 V2009-OMF
OMXS30 X2009-OMF
OMXS30 Z2009-OMF
OMXS30 F2010-OMF
OMXS30 G2010-OMF
OMXS30 H2010-OMF
OMXS30 J2010-OMF
OMXS30 K2010-OMF
OMXS30 M2010-OMF
OMXS30 N2010-OMF
OMXS30 Q2010-OMF
OMXS30 U2010-OMF
OMXS30 V2010-OMF
OMXS30 X2010-OMF
OMXS30 Z2010-OMF
OMXS30 F2011-OMF
OMXS30 G2011-OMF
OMXS30 H2011-OMF
OMXS30 J2011-OMF
OMXS30 K2011-OMF
OMXS30 M2011-OMF
OMXS30 N2011-OMF
OMXS30 Q2011-OMF
OMXS30 U2011-OMF
OMXS30 V2011-OMF
OMXS30 X2011-OMF
OMXS30 Z2011-OMF
OMXS30 F2012-OMF
OMXS30 G2012-OMF
OMXS30 H2012-OMF
OMXS30 J2012-OMF
OMXS30 K2012-OMF
OMXS30 M2012-OMF
OMXS30 N2012-OMF
OMXS30 Q2012-OMF
OMXS30 U2012-OMF
OMXS30 V2-OMF (current)

Split Ratios for Calendar Spread Gaps (09/14/2011 -- 06/13/2012)

Date/Time (CET)                     Price (Old Contract) Price (New Contract)
09/14/2011 17:30                        886.25                886.50
10/19/2011 17:30                        942.75                944.00
11/16/2011 17:30                        960.50                961.50
12/14/2011 17:30                        940.50                942.00
01/18/2012 17:30                        1026.50              1011.00
02/15/2012 17:30                        1066.25              1084.50
03/14/2012 17:30                        1116.50              1098.50
04/18/2012 17:30                        1036.00              1018.50
05/16/2012 17:30                        988.75                990.25
06/13/2012 17:30                        976.75                978.00
07/13/2012 17:30                        976.75                978.00 
06/18/2012 17:30                        1032.00                1034.00
** Closing prices two calendar days (Wednesday) before expiration day (third Friday of month)

Thursday, April 5, 2012

Composite High-Low Swing Dates


Low 2011-09-23 833,03308
High 2011-01-19 1182,56340
Low 2008-10-27 556,77000
High 2007-07-13 1321,56010
Low 2002-10-10 413,99000
High 2000-03-07 1547,87000
*  cash product index OMXS30

myholidays.txt

#Loading myholidays.txt - Holiday Definition File Expires 12/31/2012
-
- Session 36. Stockholm, Sweden (9 AM - 5:30 PM Mon-Fri)
-
- Year 2008 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
080106,36,Trettondedag jul
080321,36,Långfredagen
080324,36,Annandag påsk
080501,36,Första maj, Kristi himmelfärdsdag
080606,36,Sveriges nationaldag
080620,36,Midsommarafton
081224,36,Julafton
081225,36,Juldagen
081226,36,Annandag jul
081231,36,Nyårsafton
-
-
- Year 2009 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
090106,36,Trettondedag jul
090410,36,Långfredagen
090413,36,Annandag påsk
090501,36,Första maj
090521,36,Kristi himmelfärdsdag
090606,36,Sveriges nationaldag
090619,36,Midsommarafton
091224,36,Julafton
091225,36,Juldagen
091226,36,Annandag jul
091231,36,Nyårsafton
-
-
- Year 2010 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
100106,36,Trettondedag jul
100402,36,Långfredagen
100405,36,Annandag påsk
100501,36,Första maj
100513,36,Kristi himmelfärdsdag
100606,36,Sveriges nationaldag
100625,36,Midsommarafton
101224,36,Julafton
101225,36,Juldagen
101226,36,Annandag jul
101231,36,Nyårsafton
-
-
- Year 2011 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
110106,36,Trettondedag jul
110422,36,Långfredagen
110425,36,Annandag påsk
110501,36,Första maj
110602,36,Kristi himmelfärdsdag
110606,36,Sveriges nationaldag
110624,36,Midsommarafton
111224,36,Julafton
111225,36,Juldagen
111226,36,Annandag jul
111231,36,Nyårsafton
-
-
- Year 2012 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
120106,36,Trettondedag jul
120406,36,Långfredagen
120409,36,Annandag påsk
120501,36,Första maj
120517,36,Kristi himmelfärdsdag
120606,36,Sveriges nationaldag
120622,36,Midsommarafton
121224,36,Julafton
121225,36,Juldagen
121226,36,Annandag jul
121231,36,Nyårsafton

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