New CME Equity Index Hours as of November 18th 2012
|November 20th, 2012, 05:25 PM||#31 (permalink)|
The fun is in the numbers
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New ES hours part 2
This is continuation of Part 1 which I posted in the wrong place instead of this existing thread.
Part 1 was my understanding of the hours and this Part 2 is a continuation of that with the implications for pivot points and ETH close ect
(I may be covering the same ground others have in this thread )
So you may have figured out that the ETH session for Monday doesn't end at 15:15 Monday.
There is a little fragment tacked on to the ETH session after the RTH close - not part of Tuesday but added back to Monday. From 15:30 to 16:15 = 45 mins this fragment of time is added to Monday's ETH session
here is a chart (the vertical line is at the end of the fragment)
so the ETH high and low are possibly changed if the fragment has a value outside of the range from 17:00 Sunday to 15:15 Monday
This was the case on Monday 19 Nov 2012 - as the ETH high was 1385.75.
The RTH high was 1384.75 and greater than the o/n high of 1371.50 (so under the old system the RTH high would have been the ETH high -- but no longer!!)
ETH Session data:
So you cannot gather the data for the ETH session for Monday until the fragment has traded 15:30 to 16:15
This can change things like pivot points on the ETH session.
also the ETH close.
(The VWAP is still 15:14:30 to 15:15 I think(??) - go figure!!)
The next screensnap is the RTH data for Monday (source IB - so...)
So the RTH close is 1382.75 (which would have been the ETH close under the old system) however now the ETH close is the fragment close 1381
Last edited by aquarian1; November 20th, 2012 at 05:38 PM.