Tuesday, March 17, 2009

Tech Spread

I wrote about the Intermarket Spread between YM and NQ, set at a 2 YM : 3 NQ ratio.

Here is a 60min chart of that spread showing the ranges I noticed so far.


In my Sim account I made a nice profit trading that extreme -3400 reading by going long the spread (Long 3 NQ, Short 2 YM) and closed the trade in the morning at -2550 for a 683$ profit.

The assumption was that NQ was already down all day, while ES and YM showed profits until succumbing to the selling after AMEXCO posted that news-item about credit card defaults. So any selling would be done in the financials, while tech, even if it slipped further should already have found a bottom. Meaning the spread should come back to the usual -2200 to -2400 number I have identified as equilibrium for now.