ES Trade Example Today

I noticed today that the INDU/YM spread was behaving normally
up until around lunchtime today... after lunch it was absolutely
*screaming* squeeze... at times the futures were higher than
cash. The only stretched value I have in the afternoon is at
14:20 when prices had not broken out of the midday range.

This led me to questions:

what is the long term behavior of the cash/future spread?
more specifically - what is the significance of the sign (+/-) of
the spread and the magnitude over weeks or months? Can
it be used as a longer term gauge of sentiment (think EOD)?

Also - for those wanting to "believe" in str/squ - just take a look
at the afternoon session for a great example.

JT
 
Quote from johncool:

Hi BA_TRADER,
Would you mind post a chart of what you described in INDU/YM spread so that I can see what you see ? :)

Thanks.
More...

I actually monitor INDU/YM using excel with qlink... so there isn't much
to show. Just pull up the 2 minute bars of INDU and YM and find the difference
for each bar... this afternoon the values were very close together (squeezed).

JT
 
Thanks for your excellent piece on the offset and also the helpful diagram which you appended.

Where you have said that
"Fast trends occur @10K vol or better on 5 min charts. Slow paces are @ 4.5k vol or better on 5 min" presumably those rates apply to the 5 min bar INDU chart?

Any additional guidance and reflections you can provide concerning the volume ranges for fast, medium and slow paced channels would of course be appreciated very much.

Thanks - and thanks again.
 
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