Anything about XJO

sails · 11 November 2009

Fox - I understand that AP is IB's XJO index and is most likely to be match prices as skyQuake has suggested.

Iress also has match prices (might be called something different though) for individual stocks somewhere in the market depth window. These often fluctuate wildly prior to market open - and more so on expiry days (both equities and future expiries). I never found them to be much use and, in fact, can be quite alarming if match prices are excessively violent.

Here is a link that explains the nuts and bolts of opening auction: http://www.asx.com.au/resources/education/basics/open_Close.htm.

cutz · 11 November 2009

Yeah Fox,

Keep me at 30%, 20 day and 30 day run pretty close.

Regarding AP premarket, match price makes sense as the others have suggested. Of course now as you're probably well aware XJO (AP) and SPI are matched, SPI Dec contacts are trading higher due to the cost of carry.

Fox · 11 November 2009

Sails, skyQuake, Cutz,

I don't know what "price matching" means. I had a quick look at the link to ASX Sails posted and it describes how opening prices are determined. So I presume "price matching" means the XJO index calculated using the anticipated opening price as determined by the ASX formula?

skyQuake said:
What is AP showing now?

As of 11:15:30
SPI = 4775
XJO = 4763

I've attached the same TWS page at around 12.26pm. Both AP and SPI are the same, with AP being rounded to the nearest integer. You must be referring to another SPI than the one I'm viewing with TWS. Do you know where I can find the SPI you are looking at? Can it be obtained from Yahoo?

skyQuake said:
And put me down for 15%

And the competition heats up! Big gap between Cutz and skyQuake.

Summary to date:
skyQuake 15%
Grinder 18%
Cutz 30% (30 day HV by 17 Dec 2009?)
Fox 20.5%

sails · 11 November 2009

Fox said:
Sails, skyQuake, Cutz,

I don't know what "price matching" means. I had a quick look at the link to ASX Sails posted and it describes how opening prices are determined. So I presume "price matching" means the XJO index calculated using the anticipated opening price as determined by the ASX formula?

Each individual stock goes through this process during pre-open and then again at closing auction (4-4:10pm) - using market depth as opposed to using last trade prices during normal trading hours.

Some software (eg Iress, TWS) also average out a "match" or "indicative" open price for the index in the same way that individual stock trading prices are averaged to create an index price.

lol - my post reads like double dutch - hope you can understand it, Fox...

Fox · 15 November 2009

Can anyone tell me how to get the SPI after 4.10pm?

I know how to get the SPI December contract info from TWS. For example, let's say that the SPI December contract is trading at 4770 at Tuesday, 3am Sydney time. Since December expiry is about a month away, if we factor in the cost of carry, the SPI on Tuesday, 3am should be worth less than 4770, say 4758.

Where can I find the value of the SPI at Tuesday, 3am ie. the 4758 in the example above? Is there an IB TWS code that I can use? If not, is there a yahoo quote symbol to get this info?

Thank you.

skyQuake · 15 November 2009

Fox said:
Can anyone tell me how to get the SPI after 4.10pm?

I know how to get the SPI December contract info from TWS. For example, let's say that the SPI December contract is trading at 4770 at Tuesday, 3am Sydney time. Since December expiry is about a month away, if we factor in the cost of carry, the SPI on Tuesday, 3am should be worth less than 4770, say 4758.

Where can I find the value of the SPI at Tuesday, 3am ie. the 4758 in the example above? Is there an IB TWS code that I can use? If not, is there a yahoo quote symbol to get this info?

Thank you.

Do you mean XJO (our index) instead? Index doesnt trade past 4:10, only SPI. And all calcs are based off that.

Chris45 · 15 November 2009

Fox said:
Can anyone tell me how to get the SPI after 4.10pm?

Is this any help?

http://futuresource.quote.com/charts/charts.jsp?s=APS Z9-SFE&o=&a=V:15&z=800x550&d=HIGH&b=bar&st=

Fox · 15 November 2009

Thanks skyQuake and Chris45.

skyQuake said:
Do you mean XJO (our index) instead? Index doesnt trade past 4:10, only SPI. And all calcs are based off that.

Yes, you are right, in that what I really want is the estimate what the XJO index will be based on the SPI at Tuesday 3am. I am just too lazy to do the "calcs" myself .

Typically, when the US market tumbles, the Dec SPI (APZ9) tumbles as well. When I wake up from my beauty sleep at 7am, I can see that APZ9 has tumbled. However I do not know how much the XJO will be estimated to fall when the Oz market opens at 10.00am Sydney time. As a rough estimate, when I see that APZ9 falls 20 points, I approximate the XJO to most likely tumble by 20 points as well, when the Oz market opens.

I was just wondering if there is a source/website where the XJO is extrapolated from APZ9 to give me a quick reference to what the XJO will most likely be when the Oz market opens. By extrapolating, I mean discounting APZ9 by the cost of carry. Looks like this info is not available ie. I will need to extrapolate APZ9 myself to estimate what XJO will be at 10.00am.

skyQuake · 15 November 2009

Fox said:
Thanks skyQuake and Chris45.

Yes, you are right, in that what I really want is the estimate what the XJO index will be based on the SPI at Tuesday 3am. I am just too lazy to do the "calcs" myself .

Typically, when the US market tumbles, the Dec SPI (APZ9) tumbles as well. When I wake up from my beauty sleep at 7am, I can see that APZ9 has tumbled. However I do not know how much the XJO will be estimated to fall when the Oz market opens at 10.00am Sydney time. As a rough estimate, when I see that APZ9 falls 20 points, I approximate the XJO to most likely tumble by 20 points as well, when the Oz market opens.

I was just wondering if there is a source/website where the XJO is extrapolated from APZ9 to give me a quick reference to what the XJO will most likely be when the Oz market opens. By extrapolating, I mean discounting APZ9 by the cost of carry. Looks like this info is not available ie. I will need to extrapolate APZ9 myself to estimate what XJO will be at 10.00am.

No such thing exists. However you can just find the difference between Index and SPI intraday (say 25 pts)
And use SPI -25 to work out where index should be.

Its really guesswork as the spread of SPI at night could be 10pts or more. So whatever last traded price will have to do.

Fox · 16 November 2009

In the last week or two, I have followed the SPI because I started trading XJO options. I'm in awe of how the SPI can forecast XJO so accurately. As far as the SPI performance goes, the direction and amount of change of XJO, is forecast with the same degree of success as the daily weather forecast put out by the Bureau of Meteorology.

When the Bureau predicts a maximum temperature of 25 degrees, it is very likely to be the case. Likewise, when the SPI predicts a fall of around 50 points, it is also very likely to occur when markets open. How do they do it?

For weather forecasting, there are probably scientific theories and computer models that assist with generating forecast. My impression is that quality inputs to the models will produce quality forecasts.

Is this how the index futures market players work as well? What sort of inputs do they use for their models? I imagine global and national economic news will be the main inputs. Can anyone here who trades the SPI, give me a starting point to understanding index futures? Some good web articles or recommendations for good books?

skyQuake · 16 November 2009

Fox said:
In the last week or two, I have followed the SPI because I started trading XJO options. I'm in awe of how the SPI can forecast XJO so accurately. As far as the SPI performance goes, the direction and amount of change of XJO, is forecast with the same degree of success as the daily weather forecast put out by the Bureau of Meteorology.

When the Bureau predicts a maximum temperature of 25 degrees, it is very likely to be the case. Likewise, when the SPI predicts a fall of around 50 points, it is also very likely to occur when markets open. How do they do it?

For weather forecasting, there are probably scientific theories and computer models that assist with generating forecast. My impression is that quality inputs to the models will produce quality forecasts.

Is this how the index futures market players work as well? What sort of inputs do they use for their models? I imagine global and national economic news will be the main inputs. Can anyone here who trades the SPI, give me a starting point to understanding index futures? Some good web articles or recommendations for good books?

Because SPI can be cash settled.(ie you get your basket of shares in relative proportions if you choose to settle with shares) So an arbitrage opportunity exists if its out of whack. Night SPI mainly follows the US futures, and/or what big player wants the SPI to do at the time...
http://www.sfe.com.au/content/aboutsfe/brochures/006_spi200.pdf

Fox · 16 November 2009

skyQuake said:
So an arbitrage opportunity exists if its out of whack.

Ah! I see. Arbitrage will always the great leveller.

skyQuake said:
Night SPI mainly follows the US futures, and/or what big player wants the SPI to do at the time...

So that explains how the SPI is priced after Oz market hours. It just seems so incredibly amazing that external factors like those you mentioned above, plus arbitrage, can be such a good predictor of the XJO. Almost like the tail wagging the dog.

Thanks skyQuake.

Fox · 21 November 2009

I am seeking help with an XJO CFD question. With equity CFD (eg. CBA) which pay dividends, the seller of the CFD will have to pay the buyer, the dividend amount.

According to the ASX, this is the case with XJO CFDs as well. The dividend of a share that constitutes the XJO index is paid on ex-dividend date for that share. Can anyone with first hand experience of XJO CFDs confirm that this is indeed the case?

Thanks.

lukeaye · 21 November 2009

Yes i can confirm this, i have had first hand pain with this one.

I was short 2 standard lots and a few of the banks went x-divedend. That ended up costing me about $800. Never make that mistake again.

Very important to check what companies are going ex-dividend. I think the rule is though, you have to hold those contract after the close. If you are short during the day, and exit at 3.59 then you won't have to pay.

Lone Wolf · 21 November 2009

When a company pays out a dividend its share price should go down accordingly. In theory, shouldn't the loss from dividend payments be offset by the profit made from the falling price? Or is the balance somehow tipped against you by the broker in CFD's?

Fox · 21 November 2009

Lukeaye, Thanks for confirming dividend payout for XJO. I have some short positions open and had not checked for the possibility of paying dividends. With 200 shares making up the index, it would be terribly difficult to monitor this.

Lone Wolf said:
When a company pays out a dividend its share price should go down accordingly. In theory, shouldn't the loss from dividend payments be offset by the profit made from the falling price?

That's the theory but not necessarily the case in practice. I've had first hand experience with Amcor CFDs where I had to pay dividends with no commensurate fall in the Amcor share price. To add salt to the wound, the Amcor share price rose even higher after ex-dividend.

skc · 21 November 2009

Lone Wolf said:
When a company pays out a dividend its share price should go down accordingly. In theory, shouldn't the loss from dividend payments be offset by the profit made from the falling price? Or is the balance somehow tipped against you by the broker in CFD's?

Depending on the broker there is probably some minor rounding error against you.

It's actually quite easy to monitor the dividend situation with XJO. Know the top 20 companies and you are very well covered, and note end of Dec when all the REITs and others go ex-div which usually has a massive impact.

Fox said:
That's the theory but not necessarily the case in practice. I've had first hand experience with Amcor CFDs where I had to pay dividends with no commensurate fall in the Amcor share price. To add salt to the wound, the Amcor share price rose even higher after ex-dividend.

Doesn't that just mean you read the market incorrectly?

Lone Wolf · 21 November 2009

Fox said:
That's the theory but not necessarily the case in practice. I've had first hand experience with Amcor CFDs where I had to pay dividends with no commensurate fall in the Amcor share price. To add salt to the wound, the Amcor share price rose even higher after ex-dividend.

There will be cases where you don't notice an adjustment to the share price because buyers drive the price up more than the dividend adjustment brings it down. But the price should still have been adjusted. It just means that if it weren't for the dividend adjustment price would have gone even higher than it did.

If it doesn't work like that then you could just hold stock long enough to collect the div, sell it and move on to the next. Or could this actually work if you had low enough brokerage?

I guess the real question was, when shorting the XJO, does the broker charge you more than what's fair? In that case you always lose more than you gain.

lukeaye · 21 November 2009

Well it can be factored in, but at the end of the day, if you are short, and the overseas markets start rallying, your little "factor in" will not only end up costing you the dividend, but also the total loss amount. In Volatile markets these factor ins mean absolutely 0.

How many stocks have you seen that capital raise then open higher then they bloody closed at 2 days later!

I know BSL, macquarie, Perseus mining all displayed this.

Also the thing is, with this ex-dividend payment your responsible for, that is actual capital that you have to pay. Its not a running loss that may turn around for you. ITS YOUR MONEY

mazzatelli · 26 November 2009

Fox said:
So, what do you think the mean HV is?

If you are going to contextualize stat vol without using statistical methods, its better to use vol cones than eyeballing a graph with subjective lookback periods.

Anything about XJO

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