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Thoughts on Current Summer market for ES
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Thoughts on Current Summer market for ES

  #1 (permalink)
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Thoughts on Current Summer market for ES

Hi All,

I am new to trading and have been watching the ES daily since Aug 31 2015. As I develop methods and work to tailor some of them to a variety of markets, I have read that the summer market tends to linger around an average of ~10 pts intraday (CME trading hours). I am not yet seeing that as the summer average (since memorial day of this year, 2016). I have calculated ~16 pt intraday moves since memorial day which is more conducive to most of my strategies.
I have already tailored these strategies to a higher volatile market as well, but not sure if they would work on a market consistently around 10 intraday points.
I have one strategy that is ready to employ live as the markets stand currently (as well as a higher volatile market), but I have restraints for entering a market with even less volatility and intraday movements than we are currently seeing. Any thoughts or comments on the current summer markets we are witnessing from traders who have witnessed a number of summer markets on the ES? Do the ES markets typically tend to make consistently low intraday movements more around 10 pts during the summer (with the exception of any big global news like China of last year)?

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  #3 (permalink)
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16 pt Intraday move


for clarification, the ~16 pt intraday move I have calculated is an average intradaily move I have calculated since Memorial Day.

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Brexit votes don't come around every summer, nor are risk of Fed rate hikes with so much significance all that common either. So all and all, this is not a normal summer.

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Re: MacroNinja

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Which products do you trade?

 
Thanks MacroNinja! Good to know!

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Here is a link to the main ES~S&P thread
https://futures.io/elite-circle/13452-elite-es-s-p-500-futures-contract-sp500-spoo-nalysis.html#post152675

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KBH80 View Post
Hi All,

I am new to trading and have been watching the ES daily since Aug 31 2015. As I develop methods and work to tailor some of them to a variety of markets, I have read that the summer market tends to linger around an average of ~10 pts intraday (CME trading hours). I am not yet seeing that as the summer average (since memorial day of this year, 2016). I have calculated ~16 pt intraday moves since memorial day which is more conducive to most of my strategies.
I have already tailored these strategies to a higher volatile market as well, but not sure if they would work on a market consistently around 10 intraday points.
I have one strategy that is ready to employ live as the markets stand currently (as well as a higher volatile market), but I have restraints for entering a market with even less volatility and intraday movements than we are currently seeing. Any thoughts or comments on the current summer markets we are witnessing from traders who have witnessed a number of summer markets on the ES? Do the ES markets typically tend to make consistently low intraday movements more around 10 pts during the summer (with the exception of any big global news like China of last year)?

Last summer, there was barely any slowdown. So the slow down is not guaranteed.

But in a normal summer, the range can get way lower than 10 points. Smallest I can recall was 4.5 points.

The behavior is vastly different and the same strategies cannot be adjusted down IMO. You have to focus on playing the tight range. Best to do so using volume profile.

When summer comes, IF the ES slows down, so does everything else. You could switch to a higher volatility instrument - maybe 6E, Bund, NQ - those markets will be acting more like the "16 pt" ES that you are used to.

If it does slow down (and it has shown signs a few times in the past weeks), it'll be back to normal the week after labor day in the US.

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Thanks InletCap and Dionysus Toast!

Thanks for the link InletCap!

Thanks for all the great information Dionysus Toast!

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  #9 (permalink)
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Excel work....................


KBH80 View Post
Hi All,

I am new to trading and have been watching the ES daily since Aug 31 2015. As I develop methods and work to tailor some of them to a variety of markets, I have read that the summer market tends to linger around an average of ~10 pts intraday (CME trading hours). I am not yet seeing that as the summer average (since memorial day of this year, 2016). I have calculated ~16 pt intraday moves since memorial day which is more conducive to most of my strategies.
I have already tailored these strategies to a higher volatile market as well, but not sure if they would work on a market consistently around 10 intraday points.
I have one strategy that is ready to employ live as the markets stand currently (as well as a higher volatile market), but I have restraints for entering a market with even less volatility and intraday movements than we are currently seeing. Any thoughts or comments on the current summer markets we are witnessing from traders who have witnessed a number of summer markets on the ES? Do the ES markets typically tend to make consistently low intraday movements more around 10 pts during the summer (with the exception of any big global news like China of last year)?

I pulled RTH ES data into a study in Excel from 2/2011 til today. Using 2000 days which give me 1359 days the market was open. Took the avg range for summer 3 ways:
  1. June, July, August, September
  2. 3 Qtr
  3. 2015 3Qtr Only

Here are the findings...

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There are a couple of worrisome factors, as far as volatility.

One is the banks in Italy, and whether they can contain that.

The second is Chinese yuan devaluation, and how that ties into their corporate bond situation.

The volatility last summer was precipitated in part by China, and the same thing is brewing again.

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