Oct

31

Inside Bars, by Steve Ellison

October 31, 2011 |

When the second 30-minute bar of S&P 500 futures pit trading has been
an inside bar, as happened today, the rest of the day has been up 12
of the last 20 times.

Date Change 10:30 to close
12/13/2010 -0.2%
12/31/2010 0.5%
1/7/2011 -0.3%
1/31/2011 0.5%
2/4/2011 0.2%
3/3/2011 0.6%
3/11/2011 0.9%
4/19/2011 0.4%
5/12/2011 1.0%
5/25/2011 0.2%
6/2/2011 -0.1%
6/8/2011 -0.4%
6/22/2011 -0.7%
6/23/2011 1.2%
8/17/2011 -1.4%
9/9/2011 -1.2%
9/23/2011 0.8%
10/4/2011 3.7%
10/25/2011 -1.1%
10/28/2011 0.4%

Average 0.2%
Standard deviation 1.1%
N 20
t 0.91
Avg of all 10:30 to close since 12/10/2010 0.0%


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