ES Journal - 2019/2020

[Laissez Faire]

Hi everyone, is there a limit up at around 2400?

Long time, no speak, old friend!

I don't think there is fixed limit price up in RTH. It's calculated as 5 % based on the closing price at 3 pm. So, in practice, it's probably not a likely level to be hit to the upside.

From 3:00 p.m. until the end of the current trading day at 4:00 p.m., CT there is a hard upside and downside limit of 5% based on the 3:00 p.m. reference price. The downside price limit, however, is either 5% below the 3:00 p.m. reference price OR the 20% price limit that applied before 3:00 p.m., whichever is closer to the 3 p.m. price.

https://www.cmegroup.com/trading/equity-index/faq-sp-500-price-limits.html

 

[Laissez Faire]

Only worry is that NQ is showing a bit relative weakness here and we're up quite a bit already.

This was a great tell we wouldn't take out the current HOD in ES. If ES is attempting to break out, but NQ is well below its HOD, it's usually not a good sign.

 

[Pekelo]

What happened to the limit up when the Dow reached +7%? Or they only work when the market is falling? Futures locked up, but not the regular trading hours?

 

[Laissez Faire]

What happened to the limit up when the Dow reached +7%? Or they only work when the market is falling? Futures locked up, but not the regular hours trading?

See link above.

+/- 5 % in ETH.

During RTH, it's only - 7, - 13 and - 20 % down.

The upside limit in RTH is a bit different, it seems.

 

[Picaso]

Long time, no speak, old friend!

True, long time, J. Good to see you're still trading.

Thank you for the info, I somehow thought it was 5, 8 and 13%, both ways.

Haven't traded in a while, so I'm looking at the size on the bid/ask and wow, it's like 1/10th of what I remember; is this because orders are so spread out due to the volatility (but overall daily volume stays about the same) or volume is really this low?

 

[tiddlywinks]

The upside limit in RTH is a bit different, it seems.

Correct. in RTH there is no limit up... only limit down: -7, -13, -20

ETH 5% applies to both up and down.

All levels, ETH and RTH are based off the same reference price, which changes each day.

 

[Laissez Faire]

Haven't traded in a while, so I'm looking at the size on the bid/ask and wow, it's like 1/10th of what I remember; is this because orders are so spread out due to the volatility (but overall daily volume stays about the same) or volume is really this low?

Are you considering getting back into the game then, J?

Truth be told - I don't really follow volume and certainly not in the detail you're suggesting. Maybe someone else can answer better or maybe even make a thread on it.

Today is a quite slow day compared to prior days in the recent market turmoil.

When you say size on the bid/ask - are you referring to resting orders in the orderbook?

 

[Picaso]

Yes, that's the idea.

I mean the size in the ladder (I seem to recall it used to be in the hundreds, not tens):

 

[speedo]

Levels are definitely thinner.

 

[Laissez Faire]

Yes, that's the idea.

I mean the size in the ladder (I seem to recall it used to be in the hundreds, not tens):

That does look very thin, yes.