What is biggest INTRADAY gap for tick data on ES?

E

EliteTraderNYC

Hey guys, just wondered if anyone had done a study of INTRADAY gaps in the ES tick data for ES? For example, those that occur around FED announcements? I need to consider how large of a gap would occur if I were in a position and the gap jumped over my stop, thus giving me a loss bigger than a planned stop.
 
Got this done, its around 1-3 points surrounding major announcements that occurr at 10am, 2pm or 2:15 to 2:20. Largest was 7 points at 10am but that happened only once in a year, 2011. 2013 was similar.
 
Quote from EliteTraderNYC:

Got this done, its around 1-3 points surrounding major announcements that occurr at 10am, 2pm or 2:15 to 2:20. Largest was 7 points at 10am but that happened only once in a year, 2011. 2013 was similar.
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Thanks :)
 
Quote from FrankSlaughtery:

don't know if you guys remember this but this sticks out in my mind as the biggest fed related gap in the history of the known universe.

http://cnnfn.cnn.com/2001/01/03/economy/fed/

God help the poor soul who was short ES or NQ going into that announcement. can you imagine if you were short like 20 cars and went to take a piss and came back bankrupt?
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"
Wall Street responded immediately with one of its strongest rallies on record. The Dow Jones industrial average soared almost 300 points to 10,946, while the Nasdaq composite index rocketed 325 points to 2,617.
"

http://www.elitetrader.com/vb/showthread.php?s=&postid=731021

Quote from Rearden Metal:

January 3rd, 2001.
A day that will live in infamy.

Market was acting weak, and I was short heavily in all my accounts. Suddenly the fed cuts interest rates by half a point. WHAT THE FUCK? I let out a loud blood curdling shriek. There wasn't even a fed meeting that day, and this was the first rate cut of the cycle. Spooz instantly pop 50 handles. Instantly I find myself down 2 1/2 mil. Yes, $2,500,000.
I instinctively cover & reverse, ending the day down 'only' 1 1/2 mil.

Of course you don't believe me. I wouldn't believe me either, but it happened.
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Quote from FrankSlaughtery:

don't know if you guys remember this but this sticks out in my mind as the biggest fed related gap in the history of the known universe.

http://cnnfn.cnn.com/2001/01/03/economy/fed/

God help the poor soul who was short ES or NQ going into that announcement. can you imagine if you were short like 20 cars and went to take a piss and came back bankrupt?
More...

Yes! it was a great day!
 
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