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CBOT Fed Watch - October 28 Market Close In advance of next week's Federal Open Market Committee meeting on November 1, the Chicago Board of Trade will be reporting daily rate change probabilities in the FOMC's federal funds target rate, as indicated by the CBOT 30-Day Federal Funds futures...

i agree about the www.chart-ex.com site. It's an excellent site to get a snapshot of volume at price to prepare for the trading day.

Here: http://www.federalreserve.gov/FOMC/ Scroll down to the bottom of that page and you can get all the dates. There are more links at the bottom with previous years.

I think that you have misunderstood a lot. If you reread his book and the emails you will see that Alexander has no objection to people coding (and making available) the indicators for any trading platform.

CBOT Fed Watch - 94% Probability FOMC Will Increase Target Rate on Sept. 20 In advance of next week's Federal Open Market Committee meeting on September 20, the Chicago Board of Trade will be reporting daily rate change probabilities in the FOMC's federal funds target rate, as indicated by...

I echo what mtzianos has just said. He is spot on 100% correct. That's the reason that I didn't join in the chat previously about what would happen to the ES if the tick size was changed from 0.25 to 0.1. The answer is that nothing would change except that the volume might pick up a...

I would usually calculate them the way that you have described but I specifically wanted to try and leave out the weekend effect (if any) so I used the Opening price of the week as P(t-1). Otherwise used exactly the same formula that you would use. So G3 would have been =(E3-B3)/B3 before I...

No I haven't tested that. I assume that you would be looking for a gradient of improving bullish probability as you got closer to the expiry week and then for it to drop off the week after right? Would that imply that the week after expiry is generally bearish?

Let's see if this week plays out the probabilities...

I've tried to give a worked theoritical example of the ES tick size at 0.25 and 0.1 points here: Bid/Ask Disadvantage Let me know if this clears it up for anybody. More importantly, let me know if I've got anything wrong in there!

This week is supposedly more bullish for equities because it is expiry week. Here is a spreadsheet that I did testing this theory: ExpiryFridayWeeksTest.zip

I agree. I made the chart after I'd been asked the question for the 87th time.

I agree Remiraz. That's what I've been saying. Considering that this is all electronic there is no reason that the tick increment can't be the smallest size that can be equated to a round monetary amount. ES is currnetly $50 per point which means that a point can be divided up 5000 times and...

A bit like this Tech Analysis :) This chart shows how the average volume (averaged per minute over 5 minutes) switches from the current to the next contract in the ES on the rollover day. In this chart we see the switch from the March 2005 to June 2005 contracts.

I could be wrong but I believe that rollover day is 8 days before expiry which is 3rd Fri of each quarter month.

Don't forget that tomorrow (8 Sep 2005) is rollover day and we switch from U to Z contract on CME index futures.

I agree that it would be frustrating if you had been bid at 1230.00 for 2 hours and someone came in and bid at 1230.01 and got filled immediately. However, not allowing that flies in the face of a free market. Especially an electronic market.

That was slightly inaccurate: 3 days not 24 hours. Here is the response: ----------------------------- Date: Aug 30, 2005 12:18 PM Subject: ES trading increment Thank you for submitting your inquiry or comment to CME. You will receive a reply within 1-3 business days. This is an...

I sent CME a message before I started this thread asking them the "why is ES 0.25 per tick" question and I got an automated response saying that they'd get back to me within 24 hours, however, still no reply...

60 cents!! That's amazingly low. I don't see the underlines... What type of browser are you using?