Yesterday's Hi-Lo range on the ES: a favor

[Tea]

Quote from bulat:



However, this does highlight how ridiculous the spread is on the ES. I think if the daily range continues to shrink, and there is no corresponding narrowing of the contract spread, we will start to see many of the institutional traders move back to the SP which trades with a $.10 spread.

Jeff

There may be no going back.

The Emini .25 spread has increased the spread on the pit contract as the floor doesn't want to give free money to the arbs. So a .20 spread in the pit may be more realistic than a .10 spread. With their built-in time lag, the pit traders have more control over their spread just like the NYSE specialists who keep their spread fatter than necessary.

A better bet would be to trade the Dow mini futures with its smaller potential spread.

IMHO.

 

[acrary]

Quote from Girlpower:



I wonder how this all equates in % of level terms. just an idel thought...

best

Natalie

Thank you Natalie.

Yes, that's very important. I just did a correllation test between the closing prices for the year and the ave. daily range (95 - present) and it came out to .83. So it seems to account for about 70% of the volatilty changes that we've seen. Hopefully the SP will stay above 740 (SPX close at end of 96). I must admit I did get nervous when the SP was hanging around 800.

Sure hope there's a bull market coming up soon.

 

[Girlpower]

Quote from acrary:



Thank you Natalie.

Yes, that's very important. I just did a correllation test between the closing prices for the year and the ave. daily range (95 - present) and it came out to .83. So it seems to account for about 70% of the volatilty changes that we've seen. Hopefully the SP will stay above 740 (SPX close at end of 96). I must admit I did get nervous when the SP was hanging around 800.

Sure hope there's a bull market coming up soon.

Hi Acrary,

Thank you for that answer - I've just been looking at 2002 and 2003 and compring them. This chart is of the avarage daily range for each month of 2002 and 2003 to date.

As to Bull market, I'm also hoping that the avarage % range will hold up as well so there is some points terms expansion in which to work...

Best

Natalie

 

[PuffyGums]

Quote from Tea:



There may be no going back.

The Emini .25 spread has increased the spread on the pit contract as the floor doesn't want to give free money to the arbs. So a .20 spread in the pit may be more realistic than a .10 spread.

IMHO.

I don't think the pit ever really traded in tenths. That would get you a dirty look, wasting peoples' time trying to squeeze out a stinking dime. The pit trades in .20 and sometimes in .50 point increments.

 

[candletrader]

Seems like 07-30 was yet another small range day well up there in the rankings...

 

[electron]

Quote from Girlpower:



Hi Acrary,

Thank you for that answer - I've just been looking at 2002 and 2003 and compring them. This chart is of the avarage daily range for each month of 2002 and 2003 to date.

Best

Natalie

Nice chart...

Thanks.

 

[candletrader]

Quote from electron:



Nice chart...

Thanks.

Yes.... Sister Girlpower is a real asset to ET...

 

[macal425]

Unless we can break out of this current range today, we could be looking at the smallest range for the year. Currently only 7.75 ES pts.

 

[Ditch]

Quote from macal425:

Unless we can break out of this current range today, we could be looking at the smallest range for the year. Currently only 7.75 ES pts.

Notice that the previous 2 days were inside days, coiling up...

 

[funky]

SPY is in an 80 cent range today. wouldn't touch it with a 10 foot pole!