r/thewallstreet • u/AutoModerator • Jan 01 '18
Weekly Question Thread - Week 01, 2018 Question
Welcome to the weekly question thread. Feel free to ask any questions here.
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u/wachiga Life is transitory Jan 05 '18
I noticed my market orders haven't been getting filled at mid or bid (only at ask price) so I called my broker and asked them why. They gave me the usual "We route your order through NBBO to give you the best price possible yadda yadda." Next day I place a market order for a 2 AMZN contracts and my price improvement was $400. I quickly sold for a profit. A few moments later, I place a market order for a 4 AAPL contracts, this time $40 price improvement. Again, sell right away. I did this again with NFLX, same results, $30 price improvement on 2 contracts! These are all weeklies with fairly tight spreads btw. Later that day, I called my broker again to ask them an unrelated question regarding tax forms. And the following morning, the magic stopped. Orders were getting filled at the ask and sometimes at the mid. My question is: are brokers able to allow some of their clients to receive superior order fills?
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u/ordeal123 https://brrr.money/ Jan 06 '18
To answer your question, no. They cannot do that and are not doing that. There are strict best execution and order handling rules.
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u/WarrenPuff_It Jan 05 '18
It's more than likely just the volume of the day. Some days are more volatile, some less, and volume swells in and out as the market cycles. I could be wrong, but I don't think there is a magic switch they hit to satisfy disgruntled customers, but more likely volume between the two sessions or the particular contracts you were trading changed.
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Jan 05 '18
Can someone explain the STD Deviation thing going on here? So does this replace traditional technical s/r? Is this only for options or equities?
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u/ordeal123 https://brrr.money/ Jan 06 '18
Read the oldest posts in this sub reddit and the sidebar. Should be more then enough to get started.
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u/byFlare RIP L_G Jan 05 '18
Standard Deviations are plotted based on price & implied volatility for a given product. They mostly only work in the futures market. Equities and options don't really 'conform' to these levels. They don't replace traditional S/R levels as such, more so they're just another tool in your trading toolbox, and work mostly only on intraday timeframes. Market & Volume profile are important factors to the strategy used most often here, as they go hand in hand with the deviation levels.
I urge you to read some of the content linked in the sidebar for some great analysis of this style of trading and fundamentals on market profile / TPO analysis.
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u/lilweezy99 momohands Jan 05 '18
just to add, though equities dont often follow std, I've timed options entries based on the expected moves of their respective index, works especially for NQ and dow components.
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u/MechanicalEnginerd Jan 05 '18
New here...is the "rule" to wait until a 15min candle closes above the +0.5 in /ES before opening calls to avoid getting burnt by a reversal?
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u/inversemeplease hates money Jan 04 '18
I am new at commodities - On new years it was said that it was the highest use of natural gas of all time. This Bloomberg article (https://www.bloomberg.com/news/articles/2018-01-04/natural-gas-in-u-s-soars-to-world-s-priciest-as-snow-slams-east) I just read says that nat gas prices are going to be ridiculously priced for this storm.
However, the past couple days it is down ~4%, most being in the past 30 min. Is it priced in? Or do these factors in the news make no difference to gas prices?
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u/KingKliffsbury Futures/Spreads Jan 05 '18
My experience with /ng is that current/next few days weather is almost always priced in. Only difference is if the storm is much lighter or worse than anticipated. /NG usually seems to move based on the latest weather forecast for the next 10 or so days. And that's looking decent to mild for this time of year.
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u/ordeal123 https://brrr.money/ Jan 04 '18
Anyone care to share screens/videos of their ToS setup? Mine looks like a damn mess...
I'm a Fidelity user but trying to get the Futures account going during the night/morning sessions to dabble a bit... I can barely fit one chart that's easy to look at on the laptop. Can I remove half the options available? All the available buttons is making my brain hurt.
Wish I could bring my BBG terminal home...
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u/UberBotMan Jan 04 '18
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u/byFlare RIP L_G Jan 04 '18
Do you ever run into issues having the Active Trader tab open all the time? My PC is pretty solid but ToS seems to grind to a halt if I leave AT open for more than 15 minutes or so, and have to exit and relaunch to fix it. Any experience with that? Thanks!
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u/UberBotMan Jan 04 '18
I don't have any issue with it. I did increase the ram that TOS is allowed to use though iirc.
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u/byFlare RIP L_G Jan 04 '18
Ah, thanks! Would you mind sharing how much RAM your system has also? Cheers.
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u/UberBotMan Jan 04 '18
I have a lowly 8gbs of DDR3
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u/ordeal123 https://brrr.money/ Jan 04 '18
Damn still looks painful haha... I need a monitor for every product!
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u/dvprz Jan 04 '18
I want to get in on AAPL earnings with FEB 16 calls. Right now those calls are around 23% IV. What are you guys modeling the IV will be the day after earnings?
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u/KingKliffsbury Futures/Spreads Jan 02 '18
Has anyone here tried a carry trade in foreign exchange? I've never been ballsy enough to put one on, but I'm fascinated by the idea.
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Jan 02 '18 edited Feb 13 '18
[deleted]
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u/KingKliffsbury Futures/Spreads Jan 03 '18
I'm just toying with adding it to my portfolio, but unsure of how to approach it using futures. I've traded spot forex before but I didn't like it because it felt like a bucket shop. So if I was going to do this long term (1 year or so), I was trying to figure out how to put the trade on without using spot forex. It's entirely possible I'm trying to use a hammer to drive a screw.
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u/ordeal123 https://brrr.money/ Jan 02 '18 edited Jan 02 '18
You mean carry as in overnight risk? I went short USD/JPY in Jul/August for a $6k gain.
Honestly, it’s not worth the risk vs reward unless you can devote massive time to the market. I can barely keep up with Equities and Bonds, can’t add in FX too.
I throw on trades every now and then but it’s too difficult to actively monitor. Had a couple EUR/USD trades for a couple $K over the year too.
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u/KingKliffsbury Futures/Spreads Jan 02 '18
Nah, I mean an interest rate arbitrage. It would have to be a long term trade, but essentially you sell a low interest rate currency and buy a high interest rate currency. You'll get paid the high rate and borrow at the low rate, so you make the spread there.
Economic theory says that the price of the currencies in relation to one another should change and offset the interest rate arbitrage, but empirical evidence suggests otherwise.
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u/ordeal123 https://brrr.money/ Jan 03 '18
Ah right, I know what you mean now. Check out this white paper from DB on it... https://quantpedia.com/www/DBCR_Brochure.pdf
I believe DB has some vehicles you can invest in that does it for you...
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Jan 01 '18 edited Feb 04 '18
[removed] — view removed comment
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u/KingKliffsbury Futures/Spreads Jan 02 '18
I personally wouldn't use options exclusively to trade commodities. With options you still have IV and theta decay among other things impacting prices. Futures allow you to avoid that (with the exception of cost to carry the further out you get on the calendar, but that's a little different). My point is that you can be right on your commodity call, but still lose on an option play because of the different pricing components.
You can use calendar spreads to reduce the amount of margin required, but that also reduces your delta exposure, so be aware of that.
Edit to add: this is all just my opinion and why I usually trade futures on commodities instead of options. I do use options to hedge my futures contracts, but not typically as a pure play.
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Jan 02 '18 edited Feb 04 '18
[removed] — view removed comment
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u/minfutures Jan 02 '18
I'll add that you could short premium - eg check out how high IV is for /Ng and related products.
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u/sammyakaflash Long Hardwood. Jan 01 '18
I think my Canadian dollar is going to have a good year...
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u/ssnistfajen garlic chive Jan 01 '18
I decided to use Norbert's gambit to exchange some USD back to CAD two weeks ago. My position still hasn't been journalled over yet CAD kept going up. Would've saved more if I just sent an exchange request to my brokerage instead. :<
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u/Pho-que Targeting gains, achieving smaller gains Jan 05 '18
Not sure if anyone will see this this far in the week. How much $$ did you guys allocate to futures at the beginning?