Need Help with $PREM and $EPREM

[cdalrym]

I'm trying to use these two symbols to study the program trading effect but am getting strange numbers. For example the closing value i have for $PREM is -171 or thereabouts. When I look at what the program trading value is it is less than 1 so obviously I am missing something.

Can somebody help me with figuring this out?


Thank you so much for your help in advance.

[ScottJ]

Hi,

In case it helps, I can clarify that $PREM is calculated by taking the difference between the S&P 500 Index or Cash and the leading S&P 500 futures contract (March in this case ). I show a close of 1139.83 for $SPX and a close of 113810 for SP H4. That's a difference of 1.73 and that's what I'm seeing for $PREM.

$EPREM is calculated the same way except it's using the current S&P emini contract for comparison.

If you want to get these indicators in real-time ( as opposed to updating every 6 seconds ), here's an FAQ with more information.

Perhaps a few traders can jump in here and elaborate on how they use $PREM in their trading.

Thanks.

[cdalrym]

follow up

Are the real time indices for $PREM and $EPREM chicago mercantile exchange calculated indices?

I double checked the $PREM quote and show -173 so obviously I need to just add the decimal point.

Again thank you so much for your help.

[ScottJ]

Re: follow up

Originally posted by cdalrym
Are the real time indices for $PREM and $EPREM chicago mercantile exchange calculated indices?

I'm fairly sure we do the calculation on our end. Since it exposes the RT prices of the front contract, we require the CME subscription.

Thanks.

[soylent]

>> Perhaps a few traders can jump in here and elaborate on how they use $PREM in their trading.

I find it's nice for:
a) If it is higher than face value, prices will start moving up to connect with it. Like an early warning indicator.

b) But, the best use is knowing how big a gap to expect in the morning. When this gets above 400 (or, -600), you know there will be a solid gap up on a lot of index stocks. I use this sell / buy into the histeria and cover when $PREM stabilizes. It's a fairly safe bet because the $PREM will pull all the arbitrageurs into the game to ensure that QQQ/SPX/etc return to fair $ value -- which means the opening price will be the TOP until $PREM returns to normal value.

(not to be a shill but...)

This works REALLY well w/ AGET (adv Get)! If a gap conincides w/ a wave-4 retrace or a wave-5 top, it almost always signals wave completion that lines up perfectly w/ an AGET signal and allows a very early entry or great exit price.

[FibbGann]

Thanks for starting this thread! I was wondering if anyone had any good links to articles that talk about usiing $prem or $eprem in trading strategies.

Thanks,

Fibbgann

[jthanki]

Here is great link that explains how to use $prem

http://clicks.aweber.com/z/ct/?B4KtQyDTAW7HxI97Nk04Hg

enjoy

jay