Range RoverThe ranges from high to low in S&P futures for last 13 days, starting with 11/16 2007: 19, 29, 26, 31, 30, 26, 33, 36, 23, 22, 23, 28, 23. One of highest in history, rivaling the middle of August. What would be the underlying purpose of such vol in terms of relieving the weak of their positions to the benefit of the strong?

The range on Friday, a mere 19. However, counting swings of more than five from a high to low: move from 1465 to 1450 then to 1455, then to 1447, up to 1458, down to 1452, then up to to 1465, down to 1452, up to 1458, down to 1449, up to 1457, down to 1452, back to 1460 to finish a "quiet day" at 1460. A total of 107 points of potential profit of loss, enough to live of die for a lifetime, or the whole range from start to finish for a year.

Reminds me of the good old bond days of the 1980s.

How could one fail to notice that one lost 81 points by reversing the corresponding day of previous week but you would have taken them for two points on friday 11 16 as that day up 2, a reversal of 11 09 which was down 20.

One always wishes that for just one day, time would reverse and one knew exactly what was going to happen. Perhaps the Nikkei up to close is the key. Following the Nikkei for the S&P open to close would have give you 20 points of profits over last 3 weeks out of 165 points of open to close variation.

One speculates that the moves between consecutive 3 day holidays reverse, with the move from Labor day to Thanksgiving reversing the move from Independence day to Labor day, etc . This would have to be tested for many years.

Dismaying to see the moves at end of month taking away the entire seasonal for year in bonds and stocks.

As one enters the fray with the equivalent of the 2 buck racket I bought in Berkeley in 1968 to start playing again, the competition is very stiff.

Riz Din chimes in:

A little bit more on the idea that narrow trading ranges can precede big moves: looking at the 1-minute charts in the currency markets, I have observed that the occasional narrowing of prices in the currency markets can sometimes produce what technical analysts might call a pennant or triangle (or is it called something else?), where the price range narrows ever tighter over a 10-15 minute window. I have previously ignored these little patterns, believing them to be totally random illusions. However, recent experience has told me to watch out for large moves following these formations, and for the first time, late last week, I took a trade off as the range got impossibly tight. Within a couple of minutes, cable (GBP/USD), exploded some thirty pips higher. This doesn't validate technical analysis in my eyes by any means (I just can't bring myself to believe), but it does tell me to be a student to one's experience. As with the above, the observations probably wouldn't stand up to a close scrutiny, and there is still no clue on direction of the move.





Speak your mind

3 Comments so far

  1. nik maler on November 20, 2007 5:31 pm

    I’m trading futures for about one year now, but it’s always amazing for me, to see how the correlation in the market increases when the market decides to go up or down;
    like today when the market moved from 1425 to 1450, 25 points in 25 minutes. Where does the money came from to push the market in that way in such a short time?

  2. vic on November 20, 2007 9:11 pm

    existing holders of the market decide that a price is rite or wrong and it doesnt take new buying or selling. , concept of derived demand or reservation demand in economics. vic

  3. Denise Shull on November 23, 2007 3:05 pm

    from a mere trader’s perspective, short-covering…. the drive behind the need to cover - before there is no more money.

    or as Victor and the economists more eloquently put it - reservation demand.

    When one learns to read this phenom in the short term, it offers a source of competitive wins.


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