February 2009
32 posts
Today's hot arbs
GS-MET Currently converging. Distance to the mean-ratio: 1.8041 standard deviations Hedge Ratio: 3.03 Cointegration: Over 99% Correlation: 0.96 Mean-ratio standard deviation: 0.1715 Capture potential: 742 ticks You could… Short GS and Buy MET AN-LOW Currently converging. Distance to the mean-ratio: 1.8058 standard deviations Hedge Ratio: 0.67 Cointegration: Over 99%...
Feb 27th
Pairs that converged to their mean-ratio during...
EQR-USB Converged from 2 standard deviations of the mean-ratio in 27 days. If you had traded it you would have captured a total of 592 ticks. TMK-USB Converged from 2 standard deviations of the mean-ratio in 29 days. If you had traded it you would have captured a total of 1052 ticks. PNC-SPG Converged from 2 standard deviations of the mean-ratio in 36 days. If you had traded it you...
Feb 27th
Today's hot arbs
SPLS-TGT Currently converging. Distance to the mean-ratio: 1.9932 standard deviations Hedge Ratio: 0.42 Cointegration: Over 99% Correlation: 0.88 Mean-ratio standard deviation: 0.0771 Capture potential: 423 ticks You could… Short SPLS and Buy TGT
Feb 26th
Pairs that converged to their mean-ratio during...
No pairs reverted to their mean-ratio during the last trading session.
Feb 26th
Today's hot arbs
CVS-COST Currently converging. Distance to the mean-ratio: 1.7534 standard deviations Hedge Ratio: 0.56 Cointegration: Over 99% Correlation: 0.94 Mean-ratio standard deviation: 0.0773 Capture potential: 576 ticks You could… Short CVS and Buy COST
Feb 25th
Pairs that converged to their mean-ratio during...
LLTC-YHOO Converged from 2 standard deviations of the mean-ratio in 34 days. If you had traded it you would have captured a total of 231 ticks.
Feb 25th
Today's hot arbs
VNO-WFC Currently converging. Distance to the mean-ratio: 1.4987 standard deviations Hedge Ratio: 2.6 Cointegration: Over 99% Correlation: 0.92 Mean-ratio standard deviation: 0.2049 Capture potential: 338 ticks You could… Short VNO and Buy WFC AN-TWX Currently converging. Distance to the mean-ratio: 1.9328 standard deviations Hedge Ratio: 1.03 Cointegration: Over...
Feb 24th
Pairs that converged to their mean-ratio during...
No pairs reverted to their mean-ratio during the last trading session.
Feb 24th
Today's hot arbs
BBT-CINF Currently converging. Distance to the mean-ratio: 1.8427 standard deviations Hedge Ratio: 0.912248251421581 Cointegration: Over 99% Correlation: 0.86 Mean-ratio standard deviation: 0.2116 Capture potential: 826 ticks You could… Buy BBT and Short CINF CAT-CBE Currently converging. Distance to the mean-ratio: 1.91 standard deviations Hedge Ratio:...
Feb 23rd
Pairs that converged to their mean-ratio during...
No pairs reverted to their mean-ratio during the last trading session.
Feb 23rd
Today's hot arbs
No hot arbs for today.
Feb 20th
Pairs that converged to their mean-ratio during...
No pairs reverted to their mean-ratio during the last trading session.
Feb 20th
Today's hot arbs
No hot arbs for today.
Feb 19th
Pairs that converged to their mean-ratio during...
No pairs reverted to their mean-ratio during the last trading session.
Feb 19th
Today's hot arbs
KEY-RF Currently converging. Distance to the mean-ratio: 1.9828 standard deviations Beta spread: 0.02 Cointegration test p-value: 0.001 Correlation: 0.89 Mean-ratio standard deviation: 0.2744 Capture potential: 168 ticks You could… Short KEY and Buy RF
Feb 18th
Pairs that converged to their mean-ratio during...
No pairs reverted to their mean-ratio during the last trading session.
Feb 18th
Today's hot arbs
COP-DVN Currently converging. Distance to the mean-ratio: 1.76 standard deviations Beta spread: 0 Cointegration test p-value: 0.0045 Correlation: 0.9756 Mean-ratio standard deviation: 0.0988 Capture potential: 665 ticks You could… Buy COP and Short DVN KMB-PG Currently converging. Distance to the mean-ratio: 1.8 standard deviations Beta spread: 0.01 Cointegration...
Feb 17th
Pairs that converged to their mean-ratio during...
BLUD-MIL Converged from 2 standard deviations of the mean-ratio in 31 days. If you had traded it you would have captured a total of 690 ticks.
Feb 17th
Today's hot arbs
No hot arbs for today.
Feb 13th
Pairs that converged to their mean-ratio during...
No pairs reverted to their mean-ratio during the last trading session.
Feb 13th
Today's hot arbs
EXPD-WAB Currently converging. Distance to the mean-ratio: 1.91 standard deviations Beta spread: 0.02 Cointegration test p-value: 0.0079 Correlation: 0.9086 Mean-ratio standard deviation: 0.1461 Capture potential: 898 ticks You could… Short EXPD and Buy WAB EQR-USB Currently converging. Distance to the mean-ratio: 1.86 standard deviations Beta spread: 0.09 ...
Feb 12th
Pairs that converged to their mean-ratio during...
No pairs reverted to their mean-ratio during the last trading session.
Feb 12th
Today's hot arbs
ALL-FII Currently converging. Distance to the mean-ratio: 1.9 standard deviations Beta spread: 0.07 Cointegration test p-value: 0.0045 Correlation: 0.7296 Mean-ratio standard deviation: 0.1404 Capture potential: 612 ticks You could… Buy ALL and Short FII EQR-USB Currently converging. Distance to the mean-ratio: 1.86 standard deviations Beta spread: 0.09 ...
Feb 11th
Pairs that converged to their mean-ratio during...
MCHP-TXN Converged from 2 standard deviations of the mean-ratio in 4 days. If you had traded it you would have captured a total of 113 ticks.
Feb 11th
Today's hot arbs
BLUD-MRX Currently converging. Distance to the mean-ratio: 1.77 standard deviations Beta spread: 0.08 Cointegration test p-value: 0.0043 Correlation: -0.0143 Mean-ratio standard deviation: 0.8446 Capture potential: 262 ticks You could… Short BLUD and Buy MRX
Feb 10th
Pairs that converged to their mean-ratio during...
No pairs reverted to their mean-ratio during the last trading session.
Feb 10th
Today's hot arbs
AMG-PRU Currently converging. Distance to the mean-ratio: 1.94 standard deviations Beta spread: 0.04 Cointegration test p-value: 0.001 Correlation: 0.9707 Mean-ratio standard deviation: 0.0611 Capture potential: 587 ticks You could… Short AMG and Buy PRU BLUD-PFE Currently converging. Distance to the mean-ratio: 1.94 standard deviations Beta spread: 0.08 ...
Feb 9th
Pairs that converged to their mean-ratio during...
ADVS-AVT Converged from 2 standard deviations of the mean-ratio in 42 days. If you had traded it you would have captured a total of 443 ticks. BBT-WFC Converged from 2 standard deviations of the mean-ratio in 9 days. If you had traded it you would have captured a total of 179 ticks. DE-HON Converged from 2 standard deviations of the mean-ratio in 8 days. If you had traded it you...
Feb 9th
Today's hot arbs
BK-JPM Currently converging. Distance to the mean-ratio: 1.84 standard deviations Beta spread: 0.02 Cointegration test p-value: 0.0017 Correlation: 0.7873 Mean-ratio standard deviation: 0.1387 Capture potential: 604 ticks You could… Short BK and Buy JPM CAT-TYC Currently converging. Distance to the mean-ratio: 1.96 standard deviations Beta spread: 0.01 Cointegration...
Feb 6th
Pairs that converged to their mean-ratio during...
NTY-SFD Converged from 2 standard deviations of the mean-ratio in 34 days. If you had traded it you would have captured a total of 610 ticks.
Feb 6th
Today's hot arbs
AGN-MCK Currently converging. Distance to the mean-ratio: 1.87 standard deviations Beta spread: 0.09 Cointegration test p-value: 0.001 Correlation: 0.939 Mean-ratio standard deviation: 0.0254 Capture potential: 569 ticks You could… Buy AGN and Short MCK ALL-CPT Currently converging. Distance to the mean-ratio: 1.38 standard deviations Beta spread: -0.12 ...
Feb 4th
Pairs that converged to their mean-ratio during...
BTH-EAT Converged from 2 standard deviations of the mean-ratio in 21 days. If you had traded it you would have captured a total of 1040 ticks. KLAC-LRCX Converged from 2 standard deviations of the mean-ratio in 4 days. If you had traded it you would have captured a total of 215 ticks. JPM-L Converged from 2 standard deviations of the mean-ratio in 12 days. If you had traded it you...
Feb 3rd