October 6,2003
Equity Index | Quotes /
| Ratios/
CME
30 Minute Trendspotter
has us long Stocks / short FV
S&P
SPZ3 trades 1027, Implied Vols are 18.6% ,
Nasdaq
NDZ trades 1375 , , Implied Vols are 28.6 %
DJ
DJZ3 trades 9500, Implied Vols trade 18.3%
Nasdaq/S&P
ratio trades at 1.338
We were short 2 NQZ3 / long 1 ESZ3 from 1.335 ratio with a 1.25 objective.
We put a stop at 1.33 ratio and were stopped out. Emini SP at 1020 x 50 is a $51,000; Emini Nasdaq at 1360 x 20 = $27,000 .
Dow/Nasdaq
ratio trades at 6.93
We were long 2 YMZ3 / Short 3 NQZ3 from 6.935,
We put a stop at 6.96 and were stopped out. We will reenter at 6.90 ratio
Emini DJ at 9460 x 5 is a $47300 vs Emini Nasdaq at 1360 x 20 = $27,600 .
Dow/S&P
ratio trades at 9.275
We were stopped out of the short 5 YMU3 (CBT EMini Dow) / long 5 ES from 9.37 ratio at 9.28 ratio.
NQ/YM/ES FLY
ratio trades at .144
We are short 2 NQZ3, long 3 DJZ3, & short 1 ESZ3 at .144 .
Objective is to .132, the August lows,
We have a stop at 1.46
S&P vs Russell 2000
ESZ3 trades 516 over EZZ3
Have orders resting to SELL ESZ3 , Buy EZZ# at 5.20 to 5.22.
(S&P 500 - Russell 2000) Trade 1 EW vs 1 ES
S&P vs S&P Midcap
ESZ3 trades 498 over EWZ3 (S&P 500 - S&P Midcap)
Sell 5 ESZ3 / buy 5 EWZ3 at 5.04 .
We took profits on Short 5 ESZ3 / long 5 EWZ3 from 5.04 on October 3rd, at 4.98.
S&PMidCap vs Russell 2000
EWZ3 trades 18 over EZZ3 (S&P Midcap - Russell 2000)
We will Buy 5 EWZ3 / short 5 EZZ3 at .12
EZ/ES/EW FLY
EZZ3 / ESZ3 / EWZ3 FLY trades 1012
At 990 , Sell 1 EZZ, Buy 2 ESZ3, Sell 1 EWZ3 ...at 1020, Buy 1 EZZ3, Sell 2 ESZ2 , Buy 1 EWZ3
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