which way monday, page-53

Sorry guys, Correction on SPX/SPY ratios.

Tue 27-Oct was 4.5
Wed 28th - 4.457
Thu 29th - 4.42
Then by last Friday was down to 4.286 and ripe for a rebalance.

I calc them at the US close, i.e. pre Aussie open.

By the way, last year with the VIX high I was trading the SPX/SPY as a pair, when ratio high (more than 2 STD DEV) would sell XJO/SPY and buy SPX, and visa versa. Then waited for the rebalance, worked well.

May need to relook at this.......

Cheers