The S$P futures pre market price seems to be very accurate compared to the S&P index at the opening. Do traders use pre market prices to value the futures or do they get estimated opening prices from the specialists?
JJ
JJ
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
S&P pre market prices
- Thread starter jj_jere@hotmail
- Start date
The heavy index arb firms are a major source of liquidity in futures, pre New York opening. They have an "idea" of where the basket will be priced based on both pre-market bid/offers in individual issues and closer to the bell on specialist order imbalances. Remember futures (except for the DIA contract) are suspended for15min. prior to the NYSE opening. Keep in mind the cash index price you see on the bell is not the "actual" value of the index but merely a reflection in price of issues that have traded right out of the gate. That's why you'll often see futures down 5pts. on the NYSE opening while cash takes a couple of minutes to get there. That does not mean there is an arb opportunity, just that the indexes are subject to a late tape in computation.
Originally posted by jj_jere@hotmail
The S$P futures pre market price seems to be very accurate compared to the S&P index at the opening. Do traders use pre market prices to value the futures or do they get estimated opening prices from the specialists?
JJ
Remember that the S&P futures trade nearly 24 hours (minus two 15 minute periods), and the after hours trading on the Globex reflects some pretty big players' activity.
The institutions use the futures to hedge their buy and sell orders (brokers especially), and this brings the futures into line after the markets open.
If you keep the fair value for the day next to the futures chart you will see the immediate movements after the opening bell, and this may help you see the correlations.
Happy Holidays!!
While not exactly on the subject, I thought the following from FWN will be of interest to ALL SP and nasdaq traders:
Technical Analysis - S&P 500, Nasdaq Futures - Dec 26
By Michael Kahn
CME MAR S&P 500 FUTURES 26 DECEMBER 2001
1246.40 -- Aug. 2 high before major drop-off
1193.21 -- 61.8% Fibonacci retracement of the May-September decline
1175.00 -- resistance from Dec. 5,6 highs; rally high to date
1171.27 -- 200-day moving average for continuous contract
1166.00 -- resistance Nov. 27 high
1151.13 -- second pivot point resistance
1149.20 == Monday's high
1149.17 -- first pivot point resistance
1147.23 -- pivot point drawn from Monday's trading
1147.20 >> Monday's close
1145.30 == Monday's low
1145.27 -- first pivot point support
1144.48 -- 20-day moving average
1143.33 -- second pivot point support
1125.13 -- 50-day moving average
1123.90 -- 100-day moving average
1118.50 -- major low March 23
1115.00 -- support from Dec. 14 low
1114.30 -- support from top of former October trading range
1088.50 -- March 23 low for continuous contract
941.00 -- Sept. 21 low
--------------------------------------------------------------------------
CME MAR NASDAQ-100 FUTURES 26 DECEMBER 2001
1800.50 -- resistance from Aug. 2 peak
1741.00 -- resistance from Dec. 6 high; rally high to date
1645.00 -- top of former November trading range
1633.40 -- 20-day moving average
1624.30 -- 200-day moving average for continuous futures contract
1605.67 -- second pivot point resistance
1598.00 == Monday's high
1595.33 -- first pivot point resistance
1595.00 -- broken support from Dec. 14 low
1587.67 -- pivot point drawn from Monday's trading
1585.00 >> Monday's settlement
1580.00 == Monday's low
1577.33 -- first pivot point support
1569.67 -- second pivot point support
1559.50 -- key support from bottom of November trading range
1546.60 -- 50-day moving average
1490.51 -- 100-day moving average
1360.00 -- major low of April 3 for continuous futures contract
1350.00 -- support from Oct. 30 low
1125.50 -- Sept. 21 low
Technical Analysis - S&P 500, Nasdaq Futures - Dec 26
By Michael Kahn
CME MAR S&P 500 FUTURES 26 DECEMBER 2001
1246.40 -- Aug. 2 high before major drop-off
1193.21 -- 61.8% Fibonacci retracement of the May-September decline
1175.00 -- resistance from Dec. 5,6 highs; rally high to date
1171.27 -- 200-day moving average for continuous contract
1166.00 -- resistance Nov. 27 high
1151.13 -- second pivot point resistance
1149.20 == Monday's high
1149.17 -- first pivot point resistance
1147.23 -- pivot point drawn from Monday's trading
1147.20 >> Monday's close
1145.30 == Monday's low
1145.27 -- first pivot point support
1144.48 -- 20-day moving average
1143.33 -- second pivot point support
1125.13 -- 50-day moving average
1123.90 -- 100-day moving average
1118.50 -- major low March 23
1115.00 -- support from Dec. 14 low
1114.30 -- support from top of former October trading range
1088.50 -- March 23 low for continuous contract
941.00 -- Sept. 21 low
--------------------------------------------------------------------------
CME MAR NASDAQ-100 FUTURES 26 DECEMBER 2001
1800.50 -- resistance from Aug. 2 peak
1741.00 -- resistance from Dec. 6 high; rally high to date
1645.00 -- top of former November trading range
1633.40 -- 20-day moving average
1624.30 -- 200-day moving average for continuous futures contract
1605.67 -- second pivot point resistance
1598.00 == Monday's high
1595.33 -- first pivot point resistance
1595.00 -- broken support from Dec. 14 low
1587.67 -- pivot point drawn from Monday's trading
1585.00 >> Monday's settlement
1580.00 == Monday's low
1577.33 -- first pivot point support
1569.67 -- second pivot point support
1559.50 -- key support from bottom of November trading range
1546.60 -- 50-day moving average
1490.51 -- 100-day moving average
1360.00 -- major low of April 3 for continuous futures contract
1350.00 -- support from Oct. 30 low
1125.50 -- Sept. 21 low