SurpriseOne rule I picked up early on from Tudor Jones's philosophy: in trending market, surprise (defined as “big one-day change in price”) follows trend! Based partly on this rule, within an hour of the record-size gap-down in SP futures on Oct. 19 of 1987, Tudor doubled-up on its Short position! (My understanding of the day’s progression: S*r*s interests, in contrast, were Long coming in; and then were on offer, as the day wore on). S&P futures broke below 300.00 in the preceding week and plunged in the course of that Black Monday as low as 190.00!

Black Monday’s open was an example of open game, where futures have never before been known to drop almost 20% straight-line in two weeks, and then be offered limit-down at Chicago’s open. I, for one, never bid that day: who had an answer if any of totally unbelievable bargains changing hands on record volume were worth bidding?! That’s open game – when all valuation tools are locked out, and only support of consequence is the bell. But next day, bouncing of off 181.00 low print on almost non-existent volume, and spreads widening to the point that no transactions were taking place at all — that was an entirely different story…

Same again played out 10 years later, on October 27 of 1997. Gap-down open again (luckily, I came in 100% short), followed by a faint rally attempt, where I doubled-up with my broker’s permission for “intraday play”. Futures proceeded to plunge on heavy volume, triggering momentary circuit-breakers. Eventually, my floor broker said: “Listen, you picked the high so why don’t you just figure out the low and leave me your order, I just can’t hang any more.” I muttered “There will not be a low today”, and I hung up… He calls what seemed to be an hour later: “You were right: they’re shutting us down for the day; we’re not re-opening from this limit-down…” That’s when a closed market was an example of open game, where no support could again be calculated. And again on the contrary, a limit-offered level of next day’s futures open proved to be a brand new game — where many (including me) covered and then feverishly chased offers in attempt to reverse — to no avail, the game already closed…





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