ES Journal Archive (2011)

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Do you know where I can get ESF and NQF historical data?

Thanks.


Quote from PocketChange:

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.
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Quote from ammo:

they are not pivots per se but it was a low from the previous day and the spot where price visited most often 2 days before
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1209 was not remotely the mode from Wednesday, 1205.50 - 1206 had that covered quite well. You need to get accurate profiles... This is the ETH profile but changing to RTH has no affect on the mode, though the value area high changes a bit.

http://screencast.com/t/sbT2HLu40aS9
 
this is the all hrs ,i trade during the day off the rth,previuos chart,more volume in those profiles ... sh 12.5 .its the multiday nip on previous rth chart..add 13.5 .. add 14 ..offer 16 and 17..target 96-92 on chart in post below
 

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Quote from iloveoptions:

Target Hit. Bidding 1205.75, adding 1191.75, stop 1179
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Filled. Adding 1192.75 with a Stop 1176. Target 1214.75 for the overnight session, otherwise target is set at 1238.75.
 
Quote from iloveoptions:

Filled. Adding 1192.75 with a Stop 1176. Target 1214.75 for the overnight session, otherwise target is set at 1238.75.
More...

how can you be long right now with all the economic data out right now?
 
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