Quote from toolazy:
So, how do you explain then that gaps in FX futures are respected ? Daily eurusd volume 300K or so... If futures are soooo insignificant no one would care about gaps in futures. But this is clearly not the case.
Apparently many players watch them both, at least algos sure do for arb games etc. So they somehow have to respect 6E in order to play spreads between it and spot.
Just my theory on that, don't know for sure.
