Volatility Capture: A Trading System Using Index Futures | Richard Goedde, (E-mail: goedde@stolaf edu), St. Olaf College, Northfield, MN Abstract Almost all methods of trading risky securities involve trend prediction. Holders of tong positions want prices to rise; holders of short positions want prices to fall. The trader uses the tools of fundamental and technical analysis to increase the probability that the desired price trend will occur. Volatility capture (VOL-CAP) is an entirely different paradigm. The user of VOL-CAP wants maximum price volatility, hoping to capture ‘small gains as prices fluctuate, The only requirement for price trend is that it does not decline and remain low in the long run. Using futures on a well-diversified index such as the S&P 500 makes the probability of such an occurrence negligible. Growth in active trading is causing volatility to increase and the profit potential of the VOL-CAP system 0 improve. This ate: 1. Provides brief Introduction to Mint S&P $00 index fares | 2. Esplans the mechanis of how the VOL-CAP trading system works. | 5. Analyzes profit potential by applying the system to a sample of historical rice movement, and calculates minimum capital required. 4. Provides recommendation or risk control. 5. aplains the psychologioal advantage o he system. 6 Suggests areas for further research ofthe voli capture concept Introduction The concept of buying more of a security as the price falls and selling the purchases at small but frequent gains is called scale trading. Scale trading was first introduced in a 1980 book by Robert F. Wiest called You Can’t Lose Trading Commodities. Only recently have other books been published on the subject, including The Intelligent Speculator, A Unique Approach to ‘Trading Commodities (1996) by Fessenden and MeDivitt, Invest Like the Pros (1997) by Hal Massover, and Be a Winner Trading, ‘Commodities (1999) by Raiph J. Fessenden, All of these books have the following ideas in common’ a. Scale trading should never be done with index, currency, or interest rate futures because it would require too much capital to continue buying contracts as the price drops to unpredictably low levels, Only physical commodities should be used because it is unusual for prices of physical ‘goods to fall below the cost of production due to supply and demand, making their lowest price more predictable. b. IF the last contract in a scale is sold and the price continues to rise, the scale trader must find another commodity or wait for prices to fall. No provisions are made for continnous scale trading in the same commodity as prices rise. ©. A.basic concept of scale trading is to buy more contracts as prices fall. Consequently, the use of | protective sell stop orders violates the scale-trading concept. ‘The VOL-CAP system differs on these three issues: a) VOL-CAP uses index futures, b) VOL-CAP advocates continuous trading as the futures price reaches new highs, and c) VOL-CAP places a protective sell siop order at a price low enough to be executed only once or twice in anormal year, The contracts arebought back as the price rises, and the system is continued, This is one of three ways that VOL-CAP attempts to minimize risk. Risk control will be discussed later in more detail An Introduction to Mini S&P 500 Index Futures VOL-CAP uses Mini S&P 500 index futures contracts. ‘The value of one contract is $50 times the S&P 500 index, or approximately $75,000 (1500 x $50). ‘This means that each one-point change in the index results in a $50 gain or loss. Purchasing a contract requires an initial margin (Security deposit) of $4,688, regardless of the level of the index. A person receives a margin call if equity drops below a maintenance margin of $3,750. ‘These margins are increased periodically as the S&P 500 index increase. Contracts expire on the third Thursday in March, June, September, or December, and need to be “rolled over” to the next expiration date. The contract trades continually from 5:30 P.M, on Sunday to 3:15 PM. ‘on Friday, except for the period from 3:15 P.M. to 3:45 PM. each day. A stock index futures" valuation is based on the expected price appreciation of stock in the index plus the curent risk-free rate of return, ‘This is because you can control the entire stock portfolio represented by the index with about 6% ($4,688/$75,000) of the funds it would take to buy it in its entirety and can put the other 94% in T-bills (Susan Abbott Gidel, p. 8). Note the tremendous leverage of futures. If the S&P 500 Index increases 10% ina given year, the futures contract gains about 160% [(575,000/$4,688) x 10%]. The challenge, of course, is to control this tremendous leverage on the downside, ‘The VOL-CAP system has features to minimize this risk, ‘The Mechanics of the VOL-CAP Trading System ‘The basic concept of the system is to buy more index futures contracts as the price drops and to sell these contracts for small, but frequent, gains. Ifthe price continues to drop, more contracts are purchased. Both buy and sell prices and the number of contracts are determined before the system is started, and do not, change until realized gains allow for more aggressive parameters. The market price must come to these pre-determined buy and sell prices for a transaction to take place. ‘The system relies on limit orders so that the user does not have (0 continually monitor prices. Some contracts will be held for hours and other contracts for months, The pre-determined buy prices and the number of contracts purchased are designed to insure that adequate capital is available to continue purchasing futures as the price falls. Sell stop orders ‘with contingent buy stops are used to protect against large price drops which occur periodically. ‘The easiest way to explain the mechanics of the system is to work through @ hypothetical example, ‘This example includes the following assumptions: 1, The initial margin for one contract is $4,688; the maintenance margin is $3,750. 2, Commissions are $15 per transaction ($30 round tip) 3. The contract price last closed at 1400.00; the highest intra-day price the Mini S&P contract has ever traded for is 1430.00. 4, The price scale for this example is 1320, 1340, 1360, 1380, and 1400, ‘These 20-point interval prices ‘would continue upward (1420, 1440, etc.) asthe price rises. ‘The steps to operate the VOL-CAP system are: 1, Place an order to buy two contracts at 1400. Keep one of these contracts for as fong as you use the system, rolling it forward to the next expiration date when it expires in March, June, September, or December, This “rollover” procedure will be explained in more detail later in the article, One contract is held indefinitely to profit as the price continues to make new highs, and all other contracts have been sold. If one plans to use the system for the next ten years, itis reasonable to assume that the S&P 500 index will be considerably higher in ten years, and this contract will be a big winner. It is frustrating to watch the price rise while owning no contracts 2, After purchasing the two contracts, place two limit orders’ a, — Sell one contract at 1420, b. Buy one contract at 1380.3. Every time a buy order executes, place two mote limit orders: a, Buy another contract at 20 points lower than the previous purchase. 'b. Sell the contract just purchased at 20 points higher than the limit buy price (not the actual execution price which may be lower than the limit buy price), Every full point move in the futures price is worth $50, s0 the gain equals $970 after the buy and sell commissions are deducted [($50 X 20 pts.) - $30} 4. Everytime a sell order executes, place two limit orders Replace the contract just sold with a contract at 20 points below the limit sll price of the contract just sold, e.g buy at 1400 after selling at 1420. b. Place a sell order at 20 points above the limit sell price of the contract just sold, e.g. at 1440 if the last contract was sold at 1420. Note that there are no contracts to scl at 1440 in this specific ‘example becanse one contract is held indefinitely. ©. I there are no more contracts to sell, wait until the intra-day high price exceeds the next higher sell price up the scale and place a limit buy order at the next lower price on the scale, In our ‘example, the last “saleable” contract will be sold at 1420. When the intra-day high exccods 140, place a limit buy order at 1420, The reader will note that this results in a contract being sold at 1420 and bought back at 1420, incurring a $30 commission inthe process. Although the result of these two transactions is not profitable, the overall system is. The contract held indefinitely is making money at this point and the price will soon drop to where contracts are again being bought and sold at a $970 gain, 5. As protection against a market crash or severe correction, place a sell stop order for all contracts ‘owned plus the next contract to be bought at 90 percent of the all-time intra-day high price (90% of 1430 equals 1287 in this example). If two contracts were purchased at 1400, one at 1380, one at 1360, and a yet-o-be-filled buy order was placed at 1340, the sell stop order is for five contracts, Attached to this sell order is a contingent buy stop otder for five contracts at 10 points above the execution price of the sell stop. ‘The purpose of the buy stop isto prevent the situation where the price spikes down below the sell stop price and then rises quickly without any contracts being owned. Most market corrections end with this type of price action. The selling of five contracts and buying them back at 10 points higher results in a loss of $2,650 [(5 contracts X 10 points X $50) + $150 in commissions}. The execution of the sell stop may actually result in an opportunity. If the price continues to fall below 1287, the buy stop can be moved down accordingly. Any purchase at a price below the selling price results ina gain. Ifthe buy stop is executed, a contingent sell stop should be added to the buy stop at 10 points below the buy price to protect against further decline, AIL in all, the VOL-CAP user hopes that the original sll stop is executed as seldom as possible. ‘The next section analyzes the frequency ofthe sell stop being executed over the years 1991 to 1999, ‘Testing a Sell Stop at 90 Percent of the All-Time High on Historical Prices | Table 1 lists the dates on which the S&P futures contract dropped below 90 percent of the all-time, intra-day high, and also indicates the lowest percent of high achieved ater that date before the price went, bback up trough the 90 percent price. ‘Table 1 Frequency of Sell Stop Execution W//91 to 128199 Lowest % of High Sell Stop Date ‘Afler Sell Stop 1 T6196 88.69% 2 4/97 89.45% 3 10727197 85.06% | 4 8/4/98 T146% 3 8/10/99 88.96% 6 9724199 89.21% | 7 10/14/99 86.83% |‘The price remained above 90 percent forthe first five and a half years, from January 1, 1991 to July 15, 1996. ‘The price dropped to its lowest point (77.46%) on October 8, 1998 in the middle of the “Asia Crisis”. Five of the seven dates occurred in the months of August, September, or October, including the ‘worst dectines, Historically these months are known for a disproportionate share of market corrections and crashes, ‘The subsequent recovery period of late October through January has some of the largest gains historically. An appropriate strategy may be to temporarily discontinue the VOL~CAP system in July, place a good-until-cancelfed limit order to buy five contracts at 90 percent of the all-time high, and. wait ‘These contracts could be sold at 20 point intervals as the price rises, resulting in incremental gains to normal VOL-CAP profits, ‘The main benefit ofthis strategy would be to minimize the probability of a sell stop being executed. An Es ate of Profitability Using Historical Prices Refer to Exhibit 1 on page 9 for a chart of the S & P 500 futures contract from February 23, 1999 to September 8, 1999. Each bar represents one day and shows the opening price at 8:30 A.M., the daily high, daily low, and the closing price at 3:15 P.M. Central Time. ‘The horizontal lines are spaced 20 points, (61,000) apart. Between February 23 and August 23 (6 months), there were 26 sells with each sell being. ‘worth $970 after commissions, a total realized gain of $25,220. The average is one sell per week (26 sells26 weeks), ‘The Mini S&P contract also trades from 3:45 P.M. to 8:30 A.M, the next morning, but this price movement is not on the chart. Any price volatility during these hours could only lead to greater profits, profits not included in the $25,220 gain, This half-year time period is a good illustration because it includes both a breakout to a new all-time high and an example of an executed sell stop/buy stop at 90 percent of the all-time high. ‘The breakout occurs on June 30, 1999 after Sell 23, All contracts have been sold except the one kept indefinitely. When the price breaks through 1400 at Point A, a buy order is placed at 1380. When the price breaks through 1420 at Point B, a buy order is placed at 1400. The price reaches an all-time, intra-day high of 1430 two days later, The buy order at 1400 is executed at Point C and the system continues, Five contracts are sold at the sell stop price of 1287 (Point D) on August 10, 1999. These five contracts are bought back the next day on a buy stop at ten points over the sell stop, or 1297 (Point E). Attached to the buy stop is a contingent sell sop at 1287 to protect against a second drop below 1287 after the contracts are bought back. The second sell stop at 1287 is never executed. $2,650 [(S contracts X 10, points X $50) + $150 in commissions] is lost on the sell stopfbuy stop transactions. The $2,650 loss reduces the six-month gain of $25,220 to $22,570. The annualized profit is $45,140 ($22,570 X 2). Minimum Capital Required AAs the price falls, more contracts are purchased and the size of the unrealized oss grows exponentially. This is & normal part of the VOL-CAP system, but the system user must insure that adequate capital is available to handle a worst-case scenario. ‘Table 2 below shows that $50,000 is the rminimam capital required to generate the $45,140 annualized profit calculated above, a retum of 90.3 pporcent ($45,140/$50,000), The table assumes that the all-time, intra-day high price for the Mini S&P contract is 1430, and that five contracts are purchased at 1400, 1380, 1360, 1340, and 1320. The protective sell stop order is placed at 90 percent ofthe all-time high, or 1287. A reserve of 33 points (1287-1254) is included in case the sell stop does not execute at 1287 in a market panic. Initial margin of $4,688 per contract is used rather than the maintenance margin (point at which a margin call would be received) of {$3,750 per contract because the initial margin is necessary to buy back the contracts when the price starts to rise againTable 2 Calculation of Minimum Capital Required Number [Buy [Percent of |Loss per Cumulal imulative [Capital (OfBuys [Price 1430 High [Contract (Loss __—_|init. Margin Required 1 (1400 97.9% iso __|s0 $4,688 $4,688 2 1380 (96.5% [$7,000 $7,000 99,376 ($10,376 3 7360 95.1% [$2,000 $3,000 $14,064 ($17,064 4 1340 199.7% ($3,000 ‘($6,000 _—(S18,752 —( $24,752 Sieeanenats |1320) [92.3% [84,000 $10,000 $23,440 [$33,440 ‘5 Buys at_|1287 {90.0% {$8,250 $18,250 ($23,440 $47,600 90% | T T High ‘At $50,000 |1254 [87.7% [$8,310 [826,560 [$23,440 [$50,000 (Capit ‘As an example, at a price of 1320, the cumulative unrealized loss in the account is $10,000, ‘This means that there is $40,000 of equity remaining in a $50,000 account. The contract purchased at 1400 has lost $4,000 (80 points X $50), the 1380 contract has lst $3,000 (60 points X $50), etc. In addition to the $10,000 loss, there must be $23,440 of initial margin in the account to buy back five contracts if they were sold, a total of $33,440 in capital required. At the sell stop of 1287, 36.5 percent ($18,250/850,000) of the equity is lost unt the price rises again. To offset some of this temporary loss, gains of $970 per sell are being realized on an average of once per week. If 19 weeks ($18,250/$970) pass before the sell stop is executed, the $18,250 loss may have been made up for already, iil, many traders do not have the risk tolerance to withstand a 36 percent los, even if it lasts for only a few days. This system is not fo everyone, Success hinges on the reliability of the sell stop order and the discipline to follow the system as prices fall. It might be wise to wait until the price drops to 94 percent, 92 percent, or 90 percent of the all- time high, buy multiple contracts at cis poin, and sell chem in 20-point intervals as the price rises, This ‘method avoids much of the sizable unrealized oss in the early stages of using the system. Rollover Mini S&P contracts expire on the third ‘Thursday of March, Jue, September, and December. Because the contract with the shortest time to expiration has by far the most liquidity, it is always used in the VOL CAP system. One week before expiration, all contracts in inventory must be sold and the same number of contracts for the next expiration month simultaneously purchased (rollover). These new contracts might cost from 10 to 30 points ($500 to $1,500) more per contract than the ones just sold, although the margin (64,688) isthe same, To compensate for the higher cost, the sell price of each contract is adjusted upward by the incremental cost ofthe new contracts. Consider a specific example, Assume that December contracts were purchased at 1400, 1380, and 1360, At noon on rollover day, December 8, the price is 1368. Three December contracts are sold at the market (1368) and three March contracts are bought atthe market price of 1386, an increase of 18 points or ‘$900 per contract. The sell prices for the December contracts were 20 points higher than the buy price, or 1400 and 1380 (remember that the 1400 contract is not sold at 1420 but kept indefinitely). The 1400 and 1380 sell orders are cancelled and replaced with two sell orders at 1420 and 1400, 20 points higher than the previous sell prices (rounded from 18 points),Taxes Readers are more likely to be familiar with tax law as it relates to stocks rather than futures. It is important to note that there are two major tax advantages for futures in the VOL-CAP system: 1. Stocks must be sold in order to generate a taxable gain or deductible loss, For futures, both realized ‘and unrealized gains are taxable and losses are tax-deductible, This is favorable for VOL-CAP ‘because there is almost always an unrealized loss in the account as contracts are purchased at falling prices. This unrealized loss will reduce the realized gain from selling contracts, subject to the annual $3,000 fimit on capital losses, Annual losses greater than $3,000 can be carried forward to future years, The record keeping for futures is much easier because individual transactions do not have to be reported for tax purposes, 2. Regardless of the holding period, gains on futures are treated as 60 percent long-term and 40 percent short-term, Using 1999 tax law, this would result in a savings of about $480 on a $10,000 short-term gain when comparing futures to stock, Risk Control Although the risk of major loss in the VOL-CAP system can never be completely eliminated, it is ‘minimized through the following three features of the system: 1, Having adequate capital 2. Placing only one buy order at a time 3, Using a protective sell stop with contingent buy stop at all times Having adequate capital, Table 2 shows the minimum capital required to operate the system with the parameters selected, To become more comfortable with the risk, the system uscr could buy fewer contracts at larger intervals, or start with more than $50,000 in capital. Both changes would lower the rate of return from the 90 percent calculated above, but an excellent return is still achievable at a greater comfort level Placing only one buy order at a time. Since buy prices are pre-determined at the start of using the system, one could place good-until-cancelled orders forall ofthe buy prices down the scale. Its less risky to place only one buy order ata time. The advantage i thatthe system user would have fewer contract if ppnie selling caused a rapid drop in price, After a panic, contnets could be purchased at lower prices when ‘the market has is fist “up day”. The disidvantage is that a buying opportunity may be missed on a normal down spike in price. For example, ifthe next buy price is 1360, the price may drop through 1360 and 1340 and retum to 1365 before the system user had a chance to place a buy order at 1340. The result is missed profit of $970. This occurrence is rare, and is offst by the bonefit of greater risk control. When four or five contracts have already been purchased, this risk contol feature is no longer available. Adequate capital andthe protective sell stop become more important. Using a protective sell stop with contingent buy stop at all times, It is extremely important to emphasize that a protective sell stop order must be working at all times, The key issue is: In a market with ppanic selling, will the sell stop be executed at a price which leaves enough capital to buy back the same number of contracts with the buy stop order? Circuit breakers play an important role in this discussion. Circuit breakers are rules that temporarily halt trading in stocks and stock index futures during large moves, in the market, They were initiated in 1988 in response to the market crash on October 19, 1987 when the DIIA dropped 22.6% in one day (Gidel, page 9). Assuming the price of the S&P 00 futures contract is, 1500, a 22.6% drop is 339 points, or $16,950 per contract; $84,750 for five contracts. The VOL-CAP example in this article advocates only $50,000 in total capital, so one can see the magnitude of the risk. ‘The broker would most likely liquidate the contracts before the maximum loss is incurred, but the result is, ‘inadequate capital to buy back the five contracts and earn back the losses. The detailed nules for circuit breakers are complex and can be found on the Chicago Mercantile Exchange's web site (www.cme.com). In general, trading is halted when the Mini S&P 500 contract moves 2.5%, 5%, 10%, 15%, and 20% from its closing price the day before. The halt lasts from a few minutes to hours depending on the size of the price movement.Inher book, Stock Inde: (page 11) Futures & Options, Gidel discusses the effectiveness of circuit breakers “The merit of circuit breakers remains debatable. Proponents point out that they may be sof because the trading hat allows participants time to gather new information and to assess their situation, Brokerage firms can check on cuslomer funding as well as their ‘own regulatory compliance status. Exchanges and their clearinghouses can look into the ccrtent financial conditions of their member firms and own organizations. In sum, circuit breakers are seen as-a way to prevent panic selling.” “Opponents of circuit breakers argue that they only postpone the inevitable and limit the flow of market information, which worsens the situation. In addition, they claim that the cirouit breakers become magnets during volatile moves as participants rush to execute their orders before the anticipated trading halt.” Unfortunately, even with the addition of circuit breakers since the 1987 crash, it is impossible 10 prove that a sell stop order will execute reasonable close fo the intended price in a selling panic. Having adequate capital to use the VOL-CAP system is the best defense. This may limit the use of the system t0, ‘wealthier individuals, limited partnerships, managed futures, hedge funds, et Psychological Advantages of VOL-CAP Using trading systems, more money is lost from emotional decisions than from bad systems. When prices are falling and people should be starting to think about buying, they will be most fearful that prices will continue to fall after their purchase. Buying is often postponed until prices are higher. All the news in the media is negative and “fear-enhancing” at this point, When prices are rising and people should be starting to think about selling, they will be most confident that prices will continue to rise. ‘They will buy to avoid missing out on the easy money or postpone selling to avoid the frustration of a premature sale in an up market. All tho news in the media is positive and “ego-enhancing” at this point. It is cliché investment advice to “buy low, sell high”, yet normal emotions will cause people to do the opposite. VOL-CAP encourages “proper behavior”. System parameters are determined at the start of using the system when no ‘money has been lost and the trader is calm. If the parameters have been property selected, no decisions rood be made when the price is low and the person is most fearful. ‘Through research of past price ‘movements, experience, and a solid understanding of sell stops, this fear decreases over time. Areas for Further Research of the Volatility Capture Concept ‘Some areas for further research of the volatility capture concept include: 1, the reliability of sell stop orders in a market panic 2. the profit-maximizing size of price intervals 3. the profitability of overnight price volatility 4, the addition of covered call options to the VOL-CAP system IL is impossible (o insure the rel of sell stop orders in a market panic because a future market, crash may be worse than anything experienced in the past. The best source of information may be the opinions of individuals who are very familiar with the rules and operation of the futures market today, and Who were also involved with S&P 500 index futures during the 1987 crash, In determining the size of the price interval, there is a trade-off between the size of each gain and the frequency of those gains. For example, with $100,000 in starting capital, one could buy and sell one contract at 10-point intervals ($470), or two contracts at 20-point intervals ($1,940). It would take over four times as many sells with 10-point intervals to be as profitable as two contracts at 20-point intervals, ‘However, ten-point intervals would capture more intra-lay and overnight volatility, but also requites considerably more monitoring of price movements, More research needs to be done on the profit= maximizing size ofthe interval.The example in this article ignores buys and sells which would have occurred between 3:45 P.M. and 8:30 A.M, on Monday aftemoon through Friday morning. The volatility during this period is not nearly as reat as during the day, but some transactions would take place. Related to this topic, if smaller intervals (G0 points, for example) were used, there would be intraday buys and sells which are not determinable from a chart with daily price bars. Far out-of-the-money covered call options on the Mini S&P 500 futures contract could be added to the VOL-CAP system, As prices fal, the call options act as a hedge by supplementing normal VOL-CAP profits. As prices rise, the call options become “partially uncovered” as contracts are sold. When prices, are making new highs each day, the VOL-CAP system will be at peak profitability white the call options are losing money. If the strike price of the options is selected properly, the profits from the system will, ‘more than offset any Losses on the options, Summary ‘The VOL-CAP system oxploits the increasing price volatility in today’s market, and does not depend on elusive trend prediction like most other trading systems. Once itis set up, the system does not require any judgments, only mechanical placement of buy and sell orders at pre-determined prices, This feature of the system reduces the emotional clement that can lead to poor decisions. The fact that contracts are seldom sold at a loss is also psychologically appealing. Market corrections lead to higher profits because futures contracts will be purchased at bargain prices, VOL-CAP has definite risks but minimizes them through adequate starting capital, placing only one buy order at a time, the use of protective sell stop orders, and possibly the discontinuance of the system from July to October. Consistent annual returns of 50 to 100 percent, not to mention the sheer fun of it al, g0 a long way toward compensating for these risks,‘EF SGD CME} Daly OSOEGT CHIT SOT GON OF SAD OT HSTSTE SOO L=TSELSOO VECSRES Val }1420.000 EX MUG Itge 400.000 1360.00, Mo CONTRACT To seth = & ro 1999REFERENCES AND RESOURCES Barro, Robert J., Eugene F. Fama, Daniel R, Fishel, Allan H, Meltzer, Richard W. Roll, and Lester G. ‘Telser, Black Monday and the Future of Financial Markets, Irwin, Homewood, IL, 1989 Bernstein, Jake, How the Futures Markets Work, New York Institute of Finance, 1989 Daigler, Robert ., Financial Futures & Options Markets: Concepis and Strategies, HarperCollins College Publishers, New York, 1994 Douglas, Mark, The Disciplined Trader; Developing Winning Attitudes, Prentice-Hall, Inc,, Englewood Cliffs, NI, 1990 Dubofsky, David A., Options and Financial Futures: Valuation and Uses, McGraw-Hill, Ine,, New York, 1992 Fessenden, Ralph J., Bea Winner Trading Commodities, Beacon Publishing, Inc., Naples FL, 1999 Fessenden, Ralph J. and John D. McDivitt, The Intelligent Speculator: A Unique Approach to ‘Trading Commodities, Irwin, Homewood, IL, 1996 Gidel, Susan Abbott, Stock Index Fu ions: The I ‘Trading Any Index, Anywhere, John Wiley & Sons, Inc., New York, 2000 Hull, John, Options, Futures, and Other Derivative Securities, Prentice-Hall, Inc,, Englewood Cliffs, N.I., 1989 Lofton, Todd, Getting Started in Futures, John Wiley & Sons, Inc., New York, 1997 ‘Marshall, John F., Futures and Option Contracting: Theory and Practice, South-Western Publishing Co., Cincinnati, 1989 Masover, Hal, Invest Like the Pros: Value Investing in Commodity Futures, Crown Futures Corporation, Fairfield, 1A, 1997 Pring, Martin J, Investment Psychology Explained, John Wiley & Sons, Inc., New York, 1993 Stoll, Hans R. and Robert E. Whaley, Futures and Options: Theory and Applications, South-Westem Publishing Co, Cincinnati, 1993, ‘Strong, Robert A., Speculative Markets, HarperCollins College Publishers, New York, 1994 Tesser, Ted, The Trader's Tax Survival Guide, John Wiley & Sons, Inc., New York, 1997 Teweles, Richard J. and Frank J. Jones, The Futures Game: Who Wins, Who Loses, & Why, McGraw-Hill, New York, 1999 Wiest, Robert F., You Can't Lose Trading Commodities, Beacon Publishing, Inc. Naples, FL, 1994 10