Tuesday, November 17, 2009

Going Short the Market




Above is a 10 min chart of the DIA with a short term direction indicator function that goes negative when the market turns down and positive when the market turns up.  The only thing you have to guess is the duration and persistence of the trend.  Because of the expired T and the obvious manipulation of the Dow Jones Transportation Averages at the close yesterday to make them look bullish, I have gone short of the market.  I shorted BGU at 57.9 and bought BGZ at 17.97.  These are both triple alpha ETF's and are derivatives.  There is an unknown premium and discount in the prices of these derivative ETF's that I hope to overcome by a long and short position that is essentially a net short position.  We shall see how this works out.  I hope you all understand that derivatives are a zero sum game and for every winner in these stocks, there is a loser of exactly the same amount of money.

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