S&P 500 Emini Day Trading Gap Wednesday November 4, 2009

                                             S&P 500 Emini Futures Day Trading THE GAP

S&P Emini 500 Futures gapped down 5.75 points at the opening bell. The index then rallied back into yesterday’s closing range and filled the gap. Most of today was ragged, sideways market action.  The close came at the high end of the day’s range, but well below yesterday’s highs.  Volume was 2.3 million contracts, above the 2.0 million contract average.  The trading range was below average at 12.25 points, the 14 day average true range is 21 points.  For the week, the trading range has been just 13.50 points.  Granted only two days have elapsed, but the index will have to create some serious action in order to meet the 14 week average true range of 38.8 points.  Since a new month has begun, here is a review of what to expect for November’s trading range.  The 6 period monthly average true range is 76.75 points.  October trading range was 87 points deep.  Last October, the range was about 350 points with the average then being 155 points.  Obviously, the market was in turmoil at that time.  November 2008 range was less at 270 points.  As prices have recovered, the monthly average has fallen from 200 points in March to the current level.  If a correction is indeed forthcoming before the end of the year, volatility and market daily, weekly, and monthly trading range should deepen.

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