TRADING THE ODDS

A couple of minutes ago I noticed that there was another setup triggered on Friday’s close, in particular confirming the negative outlook with respect to the first part of Monday’s session (see my posting TRADING THE ODDS on Monday – November 9, 2009 ).

On Friday the ES E-MINI S&P 500 not only closed higher the fifth day in a row, the  ES E-MINI S&P 500 closed at least +0.90% above the open on a second day in a row as well (55 occurrences since 01/06/2001).

Table I below shows the ES E-MINI S&P 500’s intraday performance (since 01/06/2001) concerning the open, the intraday low, the end of the first hour of the session in comparison to the previous session’s close, the start of the last hour of the session in comparison to the previous session’s close, and the close on those sessions immediately following a session where the ES E-MINI S&P 500 had closed higher and at least +0.90% above the open on a back-to-back session in the past (in this event on Monday, November 9). A lot of red …

It is interesting to note that – since 01/06/2001 and with respect to the then following session (in this event on Monday, November 9) – the ES E-MINI S&P 500

• opened lower on 2 out of every 3 occurrences (and on 17 out of the last 21 occurrences),
• was trading below the previous session’s close at the end of the first hour on 4 out of every 5 occurrences, and lower on 19 out of the last 21 occurrences,
• was trading below the previous session’s close at the start of the last hour on 2 out of every 3 occurrences, and lower on 17 out of the last 21 occurrences,
• closed lower on 37 out of those 55 occurrences.

The ES E-MINI S&P 500′ statistically significant (the respective t-score exceeds the -1.645 mark on the downside) under-performance during all stages of the then following session confirms the bearish case at least with respect to the first part of Monday’s session (including the pre-opening session on GLOBEX).

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Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance at least until the end of the first hour of Monday’s session is negative, but probably with respect to a lower close as well.

A favorable short-term opportunity on the short side would be provided in the event of any pre-opening strength targeting a lower open or weakness during the first part of Monday’s session.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 9, 2009

DATE	TIME	WHAT	ACTION	WHY	ENTRY	STOP 1)	Pos. Size 2) 3)
11/06/2009	04:00 PM	E-MINI S&P 500	SHORT	see setup S2/S3 above	1067.00	1075.00	(-18) $5,625

1)	the STOP may represent a buy or a sell stop ; on a long position a STOP above the ENTRY will represent a limit order (profit target achieved), a STOP below the ENTRY a stop loss order ; the inverse applies to a short position respectively xx
2)	For position sizing, optimal f (by Ralph Vince) is utilized; optimal f = ([( win/loss ratio + 1 ) * probability of a winning trade ] – 1 ) / ( win/loss ratio ) ; win/loss ratio = avg. gain on a winning trade / avg. loss on a losing trade ; /% simplified version ; Pos. Size (in $) = MAX [Intraday / Overnight Initial Margin ; Maximum Losing Trade (in $) / optimal f ] ; Margin requirements: ES E-MINI S&P 500 (ES): Intraday Initial Margin = $2,250 ; Overnight Initial Margin = $5,625 ; ES E-MINI Nasdaq 100 (NQ): Intraday Initial Margin = $1,750 ; Overnight Initial Margin = $3,500 ; Russel 2000 Mini Futures (TF): Intraday Initial Margin = $2,500 ; Overnight Initial Margin = $5,000) xx
3)	Position size in units per $xxx of marginable equity; if the E-MINI S&P 500, the E-MINI NASDAQ 100 or Russel 2000 Mini Futures are utilized, the number in brackets equates to the number of contracts, otherwise to the number of leveraged Exchange-Traded Funds (ETFs) of 300% of the (inverse) performance of the underlying index, assumed a fixed marginable equity of $100,000

________________________________

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xx

Disclaimer: Short ES E-MINI S&P 500 and long volatility at time of writing.

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

Friday marked the second consecutive session where the ES E-MINI S&P 500 showed the expected weakness already during the GLOBEX session (posting a pre-opening low of at least -0.75%), but recouped all of it’s pre-opening and/or intraday losses and managed a gain on the close. But this time to a far less spectacular extent than on Thursday’s session where the ES E-MINI S&P 500 had left an unfilled opening gap up and had closed sharply higher in excess of 1.0%+.

In addition, the S&P 500 and the NASDAQ 100 closed higher the fifth day in a row, while the VIX CBOE Volatility Index closed lower at least -2.50% the fifth day in a row.

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The following setups (among others) were triggered on Fiday’s close:

No.	INDEX	SETUPS TRIGGERED
1	E-MINI S&P 500	closed higher on the fifth consecutive session
2	E-MINI S&P 500	posted a pre-opening low of at least -0.75% below the previous session’s close, but closed higher on the day on two consecutive sessions
3	E-MINI S&P 500	the S&P 500 closed higher on a session where the Russel 2000, the Semiconductor Index and the Banking Index all closed lower
4	E-MINI S&P 500	…
5	E-MINI S&P 500	…

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Unfortunately none of those setups listed above shows a statistically significant edge on any side of the market with respect to the next (!) session’s close (in this event on Monday, November 9). But whenever setup S2 (pre-opening weakness on back-to-back sessions) or S3 (divergence between large caps and small caps) had been triggered in the (recent) past, the ES E-MINI S&P 500 closed regularly at a lower level at least once over the course of the then following five sessions.

Table I below shows the ES E-MINI S&P 500’s performance (since 11/26/2004) over the course of the then following five sessions whenever setup S2 or S3 had been triggered in the (recent) past.

It is interesting to note that the ES E-MINI S&P 500 closed at a lower level over the course of the then following five sessions at least once on 36 out of 38 occurrences for a probability of 92.11%, significantly above the at-any-time probability of 72.53% for at least one lower close over the course of the then following five sessions. And even on those two sessions – marked with an asterisk – where the market did not close on a lower level, the ES E-MINI S&P 500 did not gain more than +0.60% on the close (in comparison to the trigger day’s close) three session later. And with respect to setup S2 (9 occurrences since 2001), the ES E-MINI S&P 500 posted a lower close three sessions later at the latest on all 9 occurrences.

But with setups S2 and S3 triggered on close of the previous session, the ES E-MINI S&P 500 was regularly trading at a lower level at least until the end of the first hour of the then following session (in this event on Monday, November 9) as well.

Table II below shows the ES E-MINI S&P 500’s intraday performance (since 11/29/2004) concerning the open, the intraday low, the end of the first hour of the session in comparison to the previous session’s close, the close, the pre-opening high (on GLOBEX) and the pre-opening low (on GLOBEX) on those sessions where setups S2 or S3 had been triggered on close of the previous session.

It is interesting to note that – since 11/29/2004 and with respect to the then following session (in this event on Monday, November 9) – the ES E-MINI S&P 500

• opened lower on 2 out of every 3 occurrences, and never opened up more than +0.67%,
• was trading below the previous session’s close at the end of the first hour on 2 out of every 3 occurrences, and up more than +0.50% on only three occurrences, but lower than -0.75% on 8 occurrences,
• pre-opening upside potential on GLOBEX was regularly limited (statistically significant under-performing), while the ES E-MINI S&P 500 posted a pre-opening low on GLOBEX at least -0.50% below the previous session’s close on 15 out of the last 16 occurrences.

And with respect to setup S2 (9 occurrences since 2001), the ES E-MINI S&P 500 was never up more than +0.03% at the end of the first hour of the then following session on all 9 occurrences.

The ES E-MINI S&P 500′ statistically significant (the respective t-score exceeds the -1.645 mark on the downside) under-performance at least until the end of the first hour of the session provided a favorable opportunity for going short on Friday’s close.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance at least until the end of the first hour of Monday’s session is negative.

A favorable short-term opportunity on the short side would be provided in the event of any pre-opening strength targeting a lower open or weakness during the first hour of Monday’s session.

And assumed everything (almost) unchanged, a higher close on Monday’s session and/or any (significant) intraday strength during the Monday/Tuesday time frame will probably provide a selling opportunity targeting a close below Fridays’s close on Wednesday at the latest.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 9, 2009

DATE	TIME	WHAT	ACTION	WHY	ENTRY	STOP 1)	Pos. Size 2) 3)
11/06/2009	04:00 PM	E-MINI S&P 500	SHORT	see setup S2/S3 above	1067.00	1075.00	(-18) $5,625

1)	the STOP may represent a buy or a sell stop ; on a long position a STOP above the ENTRY will represent a limit order (profit target achieved), a STOP below the ENTRY a stop loss order ; the inverse applies to a short position respectively xx
2)	For position sizing, optimal f (by Ralph Vince) is utilized; optimal f = ([( win/loss ratio + 1 ) * probability of a winning trade ] – 1 ) / ( win/loss ratio ) ; win/loss ratio = avg. gain on a winning trade / avg. loss on a losing trade ; /% simplified version ; Pos. Size (in $) = MAX [Intraday / Overnight Initial Margin ; Maximum Losing Trade (in $) / optimal f ] ; Margin requirements: ES E-MINI S&P 500 (ES): Intraday Initial Margin = $2,250 ; Overnight Initial Margin = $5,625 ; ES E-MINI Nasdaq 100 (NQ): Intraday Initial Margin = $1,750 ; Overnight Initial Margin = $3,500 ; Russel 2000 Mini Futures (TF): Intraday Initial Margin = $2,500 ; Overnight Initial Margin = $5,000) xx
3)	Position size in units per $xxx of marginable equity; if the E-MINI S&P 500, the E-MINI NASDAQ 100 or Russel 2000 Mini Futures are utilized, the number in brackets equates to the number of contracts, otherwise to the number of leveraged Exchange-Traded Funds (ETFs) of 300% of the (inverse) performance of the underlying index, assumed a fixed marginable equity of $100,000

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: Short ES E-MINI S&P 500 and long volatility at time of writing.

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

Due to some business and family related matters, today a condensed version only.

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A trend day up was – based on historical probabilities and odds – the least expected outcome with respect to Thursday’s session. But due to the fact that the ES E-MINI S&P 500 already showed the expected weakness during the GLOBEX session (posting a low < -0.75%), it allowed for closing the overnight short position for another respectable profit.

Posting a pre-opening low (on GLOBEX) at least -0.75% below the previous session’s close, but leaving an unfilled opening gap up and closing higher at least +1.0% during the then following regular session is a rare occurrence (only happened 8 times since 01/06/2001).

_________________________

The following setups (among others) were triggered on Thursday’s close:

No.	INDEX	SETUPS TRIGGERED
1	E-MINI S&P 500	posted a pre-opening low of at least -0.75% below the previous session’s close, but left an unfilled opening gap up and closed higher at least +1.0% during the regular session
2	E-MINI S&P 500	…
3	E-MINI S&P 500	…
4	E-MINI S&P 500	…
5	E-MINI S&P 500	…

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I below shows the ES E-MINI S&P 500’s intraday performance (since 01/06/2001) concerning the open, the intraday low, the start of the first hour of the session in comparison to the end of the first hour, the close, and the pre-opening low (on GLOBEX) on those sessions where setup S1 had been triggered on close of the previous session.

It is interesting to note that – since 01/06/2001 and with respect to the then following session (in this event on Friday, November 6) – the ES E-MINI S&P 500

• posted a pre-opening low on GLOBEX at least -1.0% below the previous session’s close on 5 out of 8 occurrences,
• never left an unfilled opening gap up,
• was trading lower between the end of the first hour and the start of the last hour on 6 out of 8 occurrences,
• closed lower on 7 out of those 8 occurrences.

But 8 occurrences only is too small a sample size to read any statistically significant into it, but nevertheless something to keep in mind.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance on close of Friday’s session is at least slightly negative.

A favorable short-term opportunity on the short side would be provided in the event of any pre-opening strength and/or a higher open targeting some weakness during the final part of Friday’s session.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 2, 2009

DATE	TIME	WHAT	ACTION	WHY	ENTRY	STOP 1)	Pos. Size 2) 3)
11/06/2009	n.a.	E-MINI S&P 500	SHORT	see setup S1 above		-

1)	the STOP may represent a buy or a sell stop ; on a long position a STOP above the ENTRY will represent a limit order (profit target achieved), a STOP below the ENTRY a stop loss order ; the inverse applies to a short position respectively xx
2)	For position sizing, optimal f (by Ralph Vince) is utilized; optimal f = ([( win/loss ratio + 1 ) * probability of a winning trade ] – 1 ) / ( win/loss ratio ) ; win/loss ratio = avg. gain on a winning trade / avg. loss on a losing trade ; /% simplified version ; Pos. Size (in $) = MAX [Intraday / Overnight Initial Margin ; Maximum Losing Trade (in $) / optimal f ] ; Margin requirements: ES E-MINI S&P 500 (ES): Intraday Initial Margin = $2,250 ; Overnight Initial Margin = $5,625 ; ES E-MINI Nasdaq 100 (NQ): Intraday Initial Margin = $1,750 ; Overnight Initial Margin = $3,500 ; Russel 2000 Mini Futures (TF): Intraday Initial Margin = $2,500 ; Overnight Initial Margin = $5,000) xx
3)	Position size in units per $xxx of marginable equity; if the E-MINI S&P 500, the E-MINI NASDAQ 100 or Russel 2000 Mini Futures are utilized, the number in brackets equates to the number of contracts, otherwise to the number of leveraged Exchange-Traded Funds (ETFs) of 300% of the (inverse) performance of the underlying index, assumed a fixed marginable equity of $100,000

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: No positions in the securities mentioned in this post at time of writing.

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

Wednesday’s FOMC announcement session again perfectly complied to historical probabilities and odds calling for some extensive strength between yesterday’s close and the start of Wednesday’s last hour of the session.

The ES E-MINI S&P 500 gaped up +0.89% on the open, was trading +1.32% above Tuesday’s close at the end of the first hour of the session and +1.34% above Tuesday’s close at the start of the last hour of the session.

_________________________

The following setups (among others) were triggered on Wednesday’s close:

No.	INDEX	SETUPS TRIGGERED
1	E-MINI S&P 500	closed higher at least +0.50% on an FOMC announcement session
2	E-MINI S&P 500	closed higher three sessions in a row
3	E-MINI S&P 500	closed higher three sessions in a row, the third session being an FOMC announcement session
4	E-MINI S&P 500	opened up at least +0.25% above the previous session’s high on an FOMC announcement session
5	E-MINI S&P 500	opened up at least +0.50% above the previous session’s high, but closed in the lower half of the daily trading range (strength on the open, weakness on the close)

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I shows the ES E-MINI S&P 500 performance on the close (since 01/01/1990) on the next session (in this event Thursday, November 5) immediately following those sessions where setups S1 to S5 listed above had been triggered in the past.

All setups are agreeing concerning their negative outlook on the then following session, showing an above-average probability and significantly above-average profitability (average loss) for a lower close (over the course of) the next session(s). Not one of those setups shows an average (!) gain over the course of the then following five sessions. With setup S4 triggered on close of the previous session (unfortunately 7 occurrences only), the ES E-MINI S&P 500 closed lower the next session on 6 out of 7 occurrences.

Table II below shows the ES E-MINI S&P 500’s intraday performance (since 01/06/2001) concerning the open, the intraday low, the end of the first hour of the session in comparison to the previous session’s close, the start of the last hour in comparison to the previous session’s close, and the close on those sessions where setup S5 had been triggered on close of the previous session.

It is interesting to note that – since 01/06/2001 and with respect to the then following session (in this event on Thursday, November 5) – the ES E-MINI S&P 500

• opened lower on 26 out of 38 occurrences,
• left an unfilled opening gap up on only one out of 38 occurrences,
• was trading higher (in comparison to the previous session’s close) at least +0.50% at the end of the first hour on only three out of 38 occurrences,
• managed a gain on the close of +0.75% or more on only three out of 38 occurrences, while losing -1.0% or more on 9 occurrences.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance on the open and the first hour of Thursday’s session is at least slightly negative, which will probably apply to Thursday’s close as well .

A favorable short-term opportunity on the short side (if not already positioned likewise) would be provided in the event of any pre-opening strength and/or a higher open targeting some weakness during the first part of Thursday’s session.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 2, 2009

DATE	TIME	WHAT	ACTION	WHY	ENTRY	STOP 1)	Pos. Size 2) 3)
11/04/2009	n.a.	E-MINI S&P 500	SHORT	see setup S5 above		-

1)	the STOP may represent a buy or a sell stop ; on a long position a STOP above the ENTRY will represent a limit order (profit target achieved), a STOP below the ENTRY a stop loss order ; the inverse applies to a short position respectively xx
2)	For position sizing, optimal f (by Ralph Vince) is utilized; optimal f = ([( win/loss ratio + 1 ) * probability of a winning trade ] – 1 ) / ( win/loss ratio ) ; win/loss ratio = avg. gain on a winning trade / avg. loss on a losing trade ; /% simplified version ; Pos. Size (in $) = MAX [Intraday / Overnight Initial Margin ; Maximum Losing Trade (in $) / optimal f ] ; Margin requirements: ES E-MINI S&P 500 (ES): Intraday Initial Margin = $2,250 ; Overnight Initial Margin = $5,625 ; ES E-MINI Nasdaq 100 (NQ): Intraday Initial Margin = $1,750 ; Overnight Initial Margin = $3,500 ; Russel 2000 Mini Futures (TF): Intraday Initial Margin = $2,500 ; Overnight Initial Margin = $5,000) xx
3)	Position size in units per $xxx of marginable equity; if the E-MINI S&P 500, the E-MINI NASDAQ 100 or Russel 2000 Mini Futures are utilized, the number in brackets equates to the number of contracts, otherwise to the number of leveraged Exchange-Traded Funds (ETFs) of 300% of the (inverse) performance of the underlying index, assumed a fixed marginable equity of $100,000

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: No positions in the securities mentioned in this post at time of writing.

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

Unfortunately I’m still suffering from the touch of the flu, so posting will still be light (but that doesn’t matter with respect to Wednesday’s session).

Tuesday’s session perfectly complied to historical probabilities and odds calling for some extensive weakness before the open (the ES E-MINI S&P 500 posted a pre-opening low of -1.44% on Tuesday’s GLOBEX session) and for a lower open as well (providing another profitable trade), see my posting Trading the Odds on Tuesday – November 3, 2009.

The commanding (bullish) setup with respect to Wednesday’s session will be the FOMC announcement at 02:15 PM EST. The market regularly shows a statistically significant, way above-average probability (and profit factor) for trading higher between the close of the session immediately preceding an FOMC announcement session until at least the start of the last hour of the FOMC announcement session (FOMC Meeting calendars, statements and minutes can be found here).

_________________________

The following setups (among others) were triggered on Tuesday’s close:

No.	INDEX	SETUPS TRIGGERED
1	E-MINI S&P 500	next session will be an FOMC announcement session
2	E-MINI S&P 500	…
3	E-MINI S&P 500	…
4	E-MINI S&P 500	…
5	E-MINI S&P 500	…

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I below shows the ES E-MINI S&P 500’s intraday performance (since 01/01/1990) concerning the intraday high, the end of the first hour of the session in comparison to the previous session’s close, the start of the last hour in comparison to the end of the first hour of the session, the start of the last hour of the session in comparison to the previous session’s close, and the close on all FOMC announcement sessions (Scheduled Meetings only) since 01/01/1990.

It is interesting to note that – since 01/01/1990 and with respect to the then following FOMC announcement session (in this event on Wednesday, November 4) – the ES E-MINI S&P 500

• was trading lower at least -0.75% at the end of the first hour on only one out of the last 53 occurrences (not all occurrences listed), but up +1.0% or more on 7 out of the last 13 occurrences,
• was trading higher between the end of the first and the start of the last hour on 20 out of the last 23 occurrences,
• was trading above the previous session’s close at the start of the last hour on 21 out of the last 22 occurrences (thereof on the last 14),
• and finally closed higher on 9 out of the last 11 occurrences.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance until the start of the last hour on Wednesday, November 4 is positive.

A (highly) favorable short-term opportunity on the long side (if not already positioned on the long side) would be provided in the event of any pre-opening weakness and/or a lower open targeting some extensive strength until at least the start of the last hour of Wednesday’s session.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 2, 2009

DATE	TIME	WHAT	ACTION	WHY	ENTRY	STOP 1)	Pos. Size 2) 3)
11/03/2009	n.a.	E-MINI S&P 500	LONG	FOMC announcement session		-

1)	the STOP may represent a buy or a sell stop ; on a long position a STOP above the ENTRY will represent a limit order (profit target achieved), a STOP below the ENTRY a stop loss order ; the inverse applies to a short position respectively xx
2)	For position sizing, optimal f (by Ralph Vince) is utilized; optimal f = ([( win/loss ratio + 1 ) * probability of a winning trade ] – 1 ) / ( win/loss ratio ) ; win/loss ratio = avg. gain on a winning trade / avg. loss on a losing trade ; /% simplified version ; Pos. Size (in $) = MAX [Intraday / Overnight Initial Margin ; Maximum Losing Trade (in $) / optimal f ] ; Margin requirements: ES E-MINI S&P 500 (ES): Intraday Initial Margin = $2,250 ; Overnight Initial Margin = $5,625 ; ES E-MINI Nasdaq 100 (NQ): Intraday Initial Margin = $1,750 ; Overnight Initial Margin = $3,500 ; Russel 2000 Mini Futures (TF): Intraday Initial Margin = $2,500 ; Overnight Initial Margin = $5,000) xx
3)	Position size in units per $xxx of marginable equity; if the E-MINI S&P 500, the E-MINI NASDAQ 100 or Russel 2000 Mini Futures are utilized, the number in brackets equates to the number of contracts, otherwise to the number of leveraged Exchange-Traded Funds (ETFs) of 300% of the (inverse) performance of the underlying index, assumed a fixed marginable equity of $100,000

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: No positions in the securities mentioned in this post at time of writing (but long DAX German Aktien Index, short Volatility) .

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.