ES Journal Archive (2011)

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Friendly reminder for the few of you who calculate your pivots manually or who use intraday data, which is an incorrect method anyway, that the settlement price for today's trading day (10/31) is 1249.25 and not around the 1246 area as you would expect, due to last business day of month settlement procedures. Using quality daily data from a good provider should make this a non issue but just in case you want your pivots to be what 90% of the other traders are looking at.
 
Quote from JoshDance:

Friendly reminder for the few of you who calculate your pivots manually or who use intraday data, which is an incorrect method anyway, that the settlement price for today's trading day (10/31) is 1249.25 and not around the 1246 area as you would expect, due to last business day of month settlement procedures. Using quality daily data from a good provider should make this a non issue but just in case you want your pivots to be what 90% of the other traders are looking at.
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Josh, can you please elaborate how month end settlement procedures are different from normal daily settlement procedures and why they lead to a different settlement value. Thanks for this.
 
Quote from JoshDance:

quite an order book skew for ya there P

http://screencast.com/t/toQB4vWkc01
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Thanks, Josh, was away from my desk. I use the 10 levels, though. :)



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LF, if it's any consolation, I had a bad day too. Was shorting all day, but I had a bad feeling about a bounce, so I was being stopped out for a small loss, re-entering at more or less the same level, then another small loss... ad nauseam.

Of course, 10 minutes after I had to leave my desk, the big dump started... :D :p

Well, tomorrow is another day!

Nice call, Ammo
 
Quote from Picaso:

Thanks, Josh, was away from my desk. I use the 10 levels, though. :)
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I and many others have been pleading with NT to show 10 levels in the DOM instead of 5, but they have so far been unwilling to do so...
 
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