Info!! Anticipating Book For The Coming Trading Day

I uncovering that the Twitter Trader characteristic logged its 5000th posting today. I promise today's morn "tweets" were helpful, every bit it became relatively clear early on inwards the trading session that nosotros were seeing make jump conditions. (See the recent posting on make trading, identifying such sessions early on is commutation to formulating a trading strategy for the day.

One of the of import implications of a make twenty-four hours is that we're less probable to hitting the R1/R2/R3 as well as S1/S2/S3 targets that I ship service each morn earlier the open. Instead, we're to a greater extent than probable to oscillate inwards a relatively depression volatility band around the day's volume-weighted average price. Tempering one's expectations is helpful to one's psyche, every bit good every bit one's trading.

But is it possible to anticipate probable volatility as well as chance *before* the trading twenty-four hours begins? In a recent post, I stressed the importance of the overnight trading range. Perhaps nosotros tin plough over the axe aspect to the activeness of the marketplace position earlier the opened upward every bit a means of anticipating activeness early on inwards the morn session.

To test this issue, I went dorsum to early on Jan (N = 26 trading days) as well as looked at the book inwards the ES contract betwixt 17:00 CT as well as 8:30 CT to come across how it has correlated alongside book from 8:30 CT to 10:30 CT. Interestingly, busier pre-opening sessions convey been associated alongside busier early on morn sessions, alongside a correlation of .65. To lay that into perspective, over 40% of the variance inwards early on morn book tin plough over the axe move explained past times book prior to the marketplace position open. Since nosotros know that early on morn book correlates .70 alongside early on morn volatility (size of trading range), knowing the relative book of the pre-opening hours provides a fleck of a heads upward for morn participation as well as possible volatility.

For number fanatics out there, the median book for the pre-opening hours inwards the ES contract has been 203,772 contracts, alongside a measure departure of nearly 57,000 contracts. Because pre-opening book represents participation triggered past times overseas events as well as pre-opening economical reports, it makes feel that weather condition favorable to activeness earlier the opened upward volition too Pb to activeness later on the bell. I'll move watching this indicator going forrard every bit purpose of my efforts to proactively position twenty-four hours construction as well as opportunity.
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