March 2002 Letters To The Editor
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The editors of S&C invite readers to submit their opinions and information on subjects relating to technical analysis and this magazine. This column is our means of communication with our readers. Is there something you would like to know more (or less) about? Tell us about it. Without a source of new ideas and subjects coming from our readers, this magazine would not exist.
Address your correspondence to: Editor, STOCKS & COMMODITIES, 4757 California Ave. SW, Seattle, WA 98116-4499, or E-mail to editor@traders.com. All letters become the property of Technical Analysis, Inc. Letter-writers must include their full name and address for verification. Letters may be edited for length or clarity. The opinions expressed in this column do not necessarily represent those of the magazine. -Editor
CALCULATING MOVING AVERAGES
Editor,
Is there a program on the market that calculates moving averages with different filters and nothing else?
Johan Risberg, via e-mailThe moving average itself is a low-pass filter. There are several programs that calculate moving averages with filters, including MESA, VIDYA, KAMA, MAMA, Gaussian filters, and Butterworth filters, among others.-Editor
OPTION WRITING
Editor,
I direct this letter to your attention in hopes that the occasion arises in which a query from a member of your magazine's readership will be answered directly rather than via the publication of same.
With reference to the Futures Liquidity table published in each issue of S&C, how would the futures contract on the E-mini S&P 500 index rank? And for those futures contracts listed in the table on which options are traded, how would the liquidity of those options contracts rank?
One last question: If an investor wished to trade options on the S&P 500 index, he has two markets from which to choose: the S&P 500 index listed on the Chicago Mercantile Exchange, and the S&P 500 index listed on the Chicago Board Options Exchange. From the viewpoint of an option writer, what differences exist between the two markets, and which offers the superior value?
Norman Meyerson, Farmington, MIS&C Publisher Jack K. Hutson replies:
We usually try to publish letters that are relevant to technical analysis and trading and that contain information or questions that may be of interest to other readers. Unfortunately, we can't answer every reader's questions individually.
As for our Futures Liquidity table, we recommend that readers trade only those futures contracts listed in our current Futures Liquidity table. The higher up on the table the contact lies, the better the chance of getting a good price fill. The table does not help you decide which contract month to trade in for good liquidity, but the near months are generally the best to trade.
The E-mini Standard & Poor's 500 index futures contract has been listed on our Futures Liquidity page since the April 1998 issue of Technical Analysis of Stocks & Commodities, The Traders' Magazine. We show it as "S&P 500 mini."
Options trading on the Chicago Mercantile Exchange (CME) E-mini S&P 500 (ES) futures contract is almost nonexistent, but both the CME S&P 500 (SP) and Chicago Board Options Exchange (CBOE) S&P 500 (SPX) are very active. The SPX options chain total volume and open interest is several times the size of the SP options.
To better answer your last question about which option to trade, I asked for help from Len Yates of OptionVue Systems International. Here is his reply:
Len Yates replies:
As I understand it, the question is which of the two markets gives option writers the better value, the CME (S&P 500 futures options) (SP) or the CBOE (S&P 500 cash-based index options) (SPX).
Using OptionVue, I tried selling one at-the-market SP option naked, and found it would bring in $4,600 and cost $20,000 collateral to support.
Similarly, modeling the sale of one at-the-market SPX option naked, it would bring in $1,500 and cost $34,000 collateral to support.
Note that the liquidity is much better in the SPX options, and pricing is more reliable. Also note that a futures trading account (required for trading the SPs) is a completely different animal (with more paperwork and more fees) than a securities trading account (required for trading the SPX).
PIVOT POINTS
Editor,
In a recent promotional mailing, you included a copy of an S&C article by Jayanthi Gopalakrishnan explaining the classic technique of pivot points. You described how to use a basic formula (PP=H+L+C/3) to find the entry point and the first support and resistance levels (1s=2*pp-H). My question is, how do you use this approach for short positions?
Alfonso Vivero, via e-mailYou must have missed the sections "In Theory" and "Applying It" in that article. They contain a detailed explanation of how to use this approach to short positions.
In addition, look for the article on pivot points by S&C staff writer Dennis Peterson in our online publication, Traders.com Advantage, at Traders.com. -Editor
ICELANDIC TRADING CLUB
Editor,
I am a US stock and stock index futures trader writing you from Iceland on the behalf of the Icelandic Traders Club (ITC). The club members are interested in subscribing to your magazines, Stocks & Commodities and Working Money. We believe they are better than some of the other trading magazines out there. But first, we would like to handle and view them. So we are asking you if you would kindly send us a few sample issues.
Hallsteinn Arnarson, via e-mailThank you for writing. We offer trial subscriptions, where anyone can sign up for a subscription, receive and examine the first issue or two, then either pay to have the subscription continue or cancel. We sometimes can send a shipment of magazines to an event, seminar, classroom, or club gathering by special arrangement; we also have opportunities to become a subscription agent. If anyone is interested, please contact circ@traders.com. We appreciate your regard for our publications. -Editor
PRODUCT REVIEWS
Editor,
Could you please find a way to include a listing of the product reviews contained within the issue on the front cover of your magazine as you used to do? I realize that space on the front cover is limited now that you have chosen to feature Working Money, but I'm confident that your talented staff can overcome the hurdle. The front-cover listing was very useful when scanning through back issues. Please consider reinstating this more-helpful format.
Kenneth DeBell, via e-mailThank you for writing. It is feedback from readers that allows us to improve the magazine and make it more useful for our readers. With this issue, we have reinstated the listing of product reviews on the front cover. In addition, we plan to try to include more product reviews in general in each issue, since readers have indicated that they find them useful. -Editor
S&C ONLINE
Editor,
I assume you do not sell an online version of your magazine, do you? If you did, I'm sure many traders abroad would pay for it (and I'd be first in line).
Thanks for considering this suggestion.
Alper Gunel, via e-mailS&C is not an online magazine, although select parts of each issue are posted at our website each month. However, we do offer two other publications solely as online magazines -- Working Money and Traders.com Advantage. These two online publications are available by subscription and present new articles every week or month via our website, Traders.com. Inquire about trial subscriptions to Working Money and Traders.com Advantage at circ@traders.com or by calling 800-Technical for information, or visit Traders.com.
As for S&C, each month we post excerpts of current articles, plus our department pages in full, at our website, Traders.com. Thus, you can get a substantial preview of each issue at our website even before your mailed copy arrives. Past S&C articles in full can be purchased through our Online Store.
The code and formulas from S&C articles can also be found in an area available only to our subscribers. We post this text to assist our readers in being able to copy and paste the code or formulas into technical analysis software. The subscriber-only area is at https://technical.traders.com/sub/sublogin.asp. Login to this area requires your subscriber account number and last name.
For other readers who may be interested, another option for obtaining past S&C articles in an electronic format is to purchase a copy of our CD-ROM, S&C on CD. This is an ideal tool for researching past articles, but it does not carry the current year's issues.
Thank you for your interest in reading S&C online. -Editor
TRADING SYSTEMS
Editor,
Does anyone keep track of software that will generate buy and sell signals, and if so, which of these programs has the best record in doing so?
lacchione@cs.comFutures Truth is a 25-year-old publication whose editorial focus is to track and rank trading systems, including trading system software (that is, software that produces buy and sell signals). Visit FuturesTruth.com for information. -Editor
MUTUAL FUND DATA
Editor,
I would like to invest in some US mutual funds. For investing in the Polish market, I use MetaStock 6.52. Where can I find historical data for mutual funds to download to my MetaStock program for monitoring needs?
Maciej Daciewicz, via e-mailMany data services offer historical mutual fund data. Check the Data Services category of our Traders' Resource at our website, Traders.com, for data services to follow up with, or use the Internet to search for data services. As for data that is compatible with MetaStock, check with Equis.com. -Editor
OVERNIGHT TICK DATA
Editor,
Do you know of any vendors that may sell (historical) overnight tick data (time & sales) for North American futures markets, especially the NYMEX energy contracts?
Your help is appreciated. I'm having a difficult time locating a source.
Marcelo D. Soto, via e-mailWe are not familiar with all the data services and exactly what each offers, but here are some to look into: Commodity Systems, Inc. (www.csidata.com), CQGNet (www.cqg.com), Prophet (www.prophetfinance.com), www.oowdg.com, and Quote.com. Check also the data services category of the Traders' Resource at our website, Traders.com, and check the Ad Index toward the back of this issue for data services to contact. -Editor
ERRATA
In the Readers' Choice Awards in our Bonus Issue, the options trading system Professional Trade Advisor won a Finalist designation. The current version is TradeAdvisor3 and can be purchased directly from the developer, Stelar International, at StelarOnline.com. We had only listed a third-party distributor of the software.
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