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Need a little help with Historical Data, I'm previewing the Day High and low, under instrument ES 03-17 and ES 06-17, expiration dates under the instruments are different, I understand the following, but why is the High Low not the same under same dates
Example:
ES 03-17 Date 3/10/2017 - High 2376.25 Low 2359.00 Gives me a ADR 17.25
ES 06-17 Date 3/10/2017 - High 2379.75 Low 2362.25 Gives me a ADR 17.5
Can you help answer these questions from other members on NexusFi?
This is quite common behavior. You will find very often a gap between the price of a futures product at one expiration date and the same product at the next expiration date.
While I don't know the rationale and theory behind it, I can hazard a guess: as volume moves from one expiration date to the next, so does liquidity, which means liquidity increases to the new one and decreases for the old one. Less liquidity=more volatility, hence this could be one explanation.
the closer you get to the expiration date of a contract, the closer the cost of carry will be to 0.
For contracts with a longer lifetime, there still is cost of carry (there can be a premium or a discount) and this results in a price difference.
Thank You for the explanation, it is good to know that I wasn't reading the data incorrectly, I'm new at trading, I'm trying to learn the platform, the terms used and vocabulary. It can be overwhelming at first, each day is a new learning experience.
So this is what I think Obe Won would say in response to your post....That'll remain true for the remainder of your time trading, or you'll cease trading voluntarily or involuntarily.
