For those of you who have been trading the mini ES contract, it should warm the cackles of your heart to know that for the first time since its inception in 1997, it had back-to-back inside days (yesterday, Weds July 8 and today, Thurs July 9) where both days of the inside day had a range which was larger than the rolling 20 day ATR (average true range). Clearly the ES has had many inside days over the years which are synonymous with contracting ranges, but never one where the two bars in question had a greater range than the rolling 20 day ATR (which is 23 points now). The first inside day, Wednesday July 8, traded from 2073 to 2036 (37 points) and the second inside day, today, Thursday, July 9, ranged from 2068 to 2038 (30 points).

This is all on the heels of the New Edge CTA index getting smoked in the month of June. I can't imagine the returns for July will be much better for all the brilliant hedge funds out there.


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