Index Futures Affected?

[icarus618]

Quote from Grob109:

There are connections among the markets. This aspect is not a significant one though.

The key and fortunately very dynamic one is the leading relationship of the Dow compared to the ES emini. Since the Dow leads the ES emini, you can use the Dow cash and futures relational dynamic to telegraph the moves on the ES emini.

I use terms like neutral, squeese and stretch to describe the Dow dynamic. Neutral describes times when there is no tendancy up or down for the moment. A moment is less than five minutes and about three or four moments occur per 5 minutes. The "squeese" and "stretch" work the same, once the moment is either, there will be movement (change) very very shortly (30 to 45 seconds) in the ES emini. A volume burst (on Emini) signals the move. You watch the "small" side of the "Market depth" the see when the move stalls out. The "small" dissappears and neutral (balance on market depth) resumes. For "long" moves the squeese is the rule. For "short" moves the stretch is the indicator.

Fortunately, You can calibrate the values of the stretch, neutral and squeese on a daily basis. Today squeese varies between -1 and 3 neutral is 5 or 6 and stretch can range up to 9 so far today.

The beginning of the quarter involved values like 36, and 24.

OT for those who are familiar with the Dow for over 10 years, you can remember where the quarterly offset was 300 to the Bull side.
Now a days the quarter began 36 points to the Bear. Thoughout the quarter the narrowing was normal for the quarter as usual. But a week and a half ago the beginning of the Xover from Bear to Bull started. today was the first day that a squeese got to -1 which is a Bullish value.

Don't worry if this seems like BS to you. It will to most people as usual. But in fact, this aspect of using the lead of one market over another actually makes making money extremely simple and uncomplex. The market pace and "noise" levels , etc can also be determined by this dynamic. Especially congestion and consolidation periodicities.

AMT4SWA commented on the duration required to get the T&S, streaming and market depth to be second nature (6 months), in this case the effort, if you log it using 7 columns and a graphic column for a trail of bar movement, it takes about two weeks for beginners. It is much less sophisticated than any other monitoring schema that is comprehensive.

Hi Grob,

That's good stuff for timing entries. If you could answer a couple of questions:

(1) How do you determine what the squeeze and stretch offset values are for the day? Is there a good way of calibrating oneself for the day as early as possible?

(2) Is there any significance to the IT trend what the offset values are? You mentioned the values at the beginning of the quarter and the fact that it went +1 today. Is this something that can be used beyond the moment to moment monitoring?

As always, thanks for sharing.

 

[chasinfla]

Quote from md2952:

Institutions move stocks.Day traders are like the birds that hang out on the backs of rhinos...In my humble opinion..

one of the more flattering descriptions...

 

[ramora]

Quote from Grob109:


The key and fortunately very dynamic one is the leading relationship of the Dow compared to the ES emini. Since the Dow leads the ES emini, you can use the Dow cash and futures relational dynamic to telegraph the moves on the ES emini.

Hi Grob,

What screen are you watching to see the 'move telegraph'? ES Time &Sales?

Can anyone else suggest good tools to watch Market Depth on futures?

Thanks,
Mike

 

[icarus618]

Quote from ramora:



Hi Grob,

What screen are you watching to see the 'move telegraph'? ES Time &Sales?

Can anyone else suggest good tools to watch Market Depth on futures?

Thanks,
Mike

Grob is referring to the differential between the Dow cash and futures and calibrating that for the day's trading. I use the difference between the INDU and YM. When the differential is relatively large, i.e., "stretched", this telegraphs downward pressure for that moment. When the differential is relatively small or negative, i.e., "squeezed", this telegraphs an upward pressure for that moment.

You can watch the bid and ask movement on the ES to confirm the market action at the critical differential values.

Grob gave the stretch value for today of around 9. I have today's top at 13:20 coinciding with a differential of 8. Not too shabby.

 

[SethArb]

and the other indicators amount to the same thing

as thos Dow Dynamic indicator of yours?

 

[ramora]

Quote from icarus618:



Grob is referring to the differential between the Dow cash and futures and calibrating that for the day's trading. I use the difference between the INDU and YM.

Got it! Thanks a lot.

 

[waggie945]

So basically someone is charting the premium or discount of the futures vs cash, right?

I find the comments somewhat strange when an earlier post states that:

"When the differential is relatively large, ie., "stretched", this telegraphs downward pressure for that moment. When the differential is relative small or negative, ie., "squeezed", this telegraphs an upward pressure for that moment."

Last time I checked, program traders that were looking to execute "arbitrage" type trades would be buying the cash market when PREMIUMS were nice and fat, and selling the cash market when the futures went to very little premium or a DISCOUNT.

Timing is everything and buy/sell programs are what drives a lot of the volatility in the marketplace. But when you speak of "that moment" I kind of lose your methodology . . .

 

[trade4succes]

Quote from Lightningsmurf:

Almost every day I see a post from someone saying how they are going to stop trading equities and make the shift to index futures. The reasons cited include, new shorting rules, exchange misconduct, PDT, lack of volatility, and so on. So my question is, if a significant number of traders move to NQ or ES then (perhaps?) the volatility of individual stocks will be reduced. But since index movements are based on equity values, would index futures not become equally untradeable?

Anyone?

How come many peope seem to think daytraders incrEAse volatitlity? Is this the same "logic" (pop-science) as cheap imports from China threaten jobs in America?

I am clueless, somebody wants to explain?

ps. so my answer is NO

 

[wallaby]

db, big fella, mate – take it easy and stop being a galah.

I can't be the only one on this site to note your persistent and angry undertone ... post after post after post after post.

Yes life, like trading, is full of imperfections and inconsistencies ... and we'll always need people like you to point out the realities - so well done. But try to enjoy life, it's actually quite good.

I would prefer Grob's style (and content) to your BS any day of the week.

Quote from dbphoenix:



How else can he maintain what he believes to be his guru status?

 

[ElectricSavant]

I use terms like neutral, squeese and stretch to describe the Dow dynamic. Neutral describes times when there is no tendancy up or down for the moment. A moment is less than five minutes and about three or four moments occur per 5 minutes. The "squeese" and "stretch" work the same, once the moment is either, there will be movement (change) very very shortly (30 to 45 seconds) in the ES emini. A volume burst (on Emini) signals the move. You watch the "small" side of the "Market depth" the see when the move stalls out. The "small" dissappears and neutral (balance on market depth) resumes. For "long" moves the squeese is the rule. For "short" moves the stretch is the indicator.

I have noticed this on the waterfall portion of a plaform I am testing. Some might call it a ladder display. The velocity of the stretch presents a very high probability of balance occuring next.

It takes practice to see this, and it hadn't occured to me to attempt to measure or spreadsheet it.

Michael B.