ES Journal Archive (2011)

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Quote from gmst:

Re-looking at the charts, it seems that my stoploss in the morning should have been much tighter on my long trade from 1218. At that time a 2.5/3 point stop would have sufficed to prove me wrong, instead my final loss was 1218 to 1211.5, a 6.5 point loss.

Josh, please don't hesitate to question me if you do see me doing something which doesn't make sense to you. :)
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No worries mate--that's why I mentioned it earlier today. Basically, below 16 there was nothing but air until 13, and even then still not really strong support.

When you took your long, the location was not terrible, as there was good volume entering the market and buyers showed up. However, it never bounced more than 3 ticks north of 17.75... this is the one huge mistake I have constantly made, taking a trade without waiting for the direction I'm entering to prove itself. In this case buyers showed up, yes, but they could not reverse it even one point.

I am guilty of this this morning as I took the 23 short just before the meltdown but exited for +1.5 points when I saw buying, which never really confirmed itself. However, it's a much more forgivable sin when it's closing a position for profit (not letting a winner run) versus opening a new one, though what I did is certainly not preferable either.
 
Quote from JoshDance:

No worries mate--that's why I mentioned it earlier today. Basically, below 16 there was nothing but air until 13, and even then still not really strong support.

When you took your long, the location was not terrible, as there was good volume entering the market and buyers showed up. However, it never bounced more than 3 ticks north of 17.75... this is the one huge mistake I have constantly made, taking a trade without waiting for the direction I'm entering to prove itself. In this case buyers showed up, yes, but they could not reverse it even one point.

I am guilty of this this morning as I took the 23 short just before the meltdown but exited for +1.5 points when I saw buying, which never really confirmed itself. However, it's a much more forgivable sin when it's closing a position for profit (not letting a winner run) versus opening a new one, though what I did is certainly not preferable either.
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K.L.U.

less :D
 
ES Settlement calculations vary by contract:

CME uses 3 sets of calculations:

SOQ For Quarterlies
EOD: Serial Months between quarterlies.
ESF: For End of Month and Weeklies

ES American Style QUARTERLY OPTIONS are exercised into expiring cash-settled futures, which settle to the SOQ calculated the morning of the 3rd Friday of the contract month. In-the-money SERIAL OPTIONS are exercised into futures at their strike prices at 3:15 p.m. on the 3rd Friday of the contract month. (Settlement by SOQ or 3:15 Daily Settlement procedure)

http://www.cmegroup.com/trading/equity-index/settlement.html

http://www.cmegroup.com/education/files/Understanding-the-SOQ-2011-11-04.pdf


EW End of Month and Weeklies European Style. On expiration day, all in-the-money options as of 3:00 p.m. CT will be automatically exercised.

"CME Group calculates and disseminates special fixing prices that are used to determine whether end-of-month and weekly options on Equity Index futures are in-the-money at expiration. We calculate these special fixing prices in the last 30 seconds of trading before the 3:00 p.m. (2:59:30-3:00:00 Chicago Time / CT) options expiration. Then, we immediately disseminate the prices under the ticker symbol ESF for S&P 500 options, and NQF for Nasdaq-100 options."

http://www.cmegroup.com/trading/equity-index/SandP-EOM-options-fixing-price.html

These special ESF settlement prices are used every Friday except the 3rd Friday of each month and on the last business day of each month: Approx 52 times a year BUT 4 times a year the Quarterly contracts closes and settles early at 8:30am using the SOQ calculation and the 8 serial months use EOD settlement.

It gets a bit grey cause they publish a daily settlement procedure that is used for early exercise and assignment plus the 8 serial months between quarlerlies: http://www.cmegroup.com/market-data/files/CME_Group_Settlement_Procedures.pdf

http://www.cmegroup.com/market-data/settlements/settlements-details.html

The option specs are worth reading... http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contractSpecs_options.html

If you think this is confusing read upon the currency future options: weeklies are actually monthlies and naming convention is FUBAR.


Quote from tomahawk:

Anybody else showing strange diparity between the ES chart and settlement price? I know they're not always spot on, but last couple of sessions they seem pretty out of whack. Friday chart shows ESH2 close of 1253.75, but IB's "prior close" shows on the chart as 1253.00. CME says 1252.00.

WTF, IB's off by a whole point, or as much as 1.75, depending?!!
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Can one of you ES pros explain the price action when the ES is at the bottom of a trend and there's a volume spike and it reverses? Is that what technical traders call a pivot?

Let me give you an example time -- ~14:30, Dec 16, 2011. What is happening there? Just someone buying while everyone else is selling into an established trend?
 
Quote from clearinghouse:

Can one of you ES pros explain the price action when the ES is at the bottom of a trend and there's a volume spike and it reverses? Is that what technical traders call a pivot?

Let me give you an example time -- ~14:30, Dec 16, 2011. What is happening there? Just someone buying while everyone else is selling into an established trend?
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A pivot is a point about which something turns.

When traders talk about the "daily pivot" for example, this is calculated as a potential pivotal area. But that's not what you're referring to.

First, at the time you mention here, there is no significant volume. So let's get a common point of reference first before we talk about the concept of volume:

http://screencast.com/t/dvpivExH30j

Maybe you can identify another place that shows what you're describing (maybe post a chart), and then we'll be on the same page.
 
Quote from clearinghouse:

Can one of you ES pros explain the price action when the ES is at the bottom of a trend and there's a volume spike and it reverses? Is that what technical traders call a pivot?

Let me give you an example time -- ~14:30, Dec 16, 2011. What is happening there? Just someone buying while everyone else is selling into an established trend?
More...

Low volume environments are prime for locals to jerk the price around however they see fit. In this case it looks like they wanted to protect long positions that were entered on the pullback of the LOD bar (1209 area).

To answer your 2nd question, yes that bar created a (minor) pivot, which of course can only be declared as such in hindsight.
 
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