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Pre-Market Opening Estimate
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Pre-Market Opening Estimate

  #1 (permalink)
Trading Apprentice
Dallas, Texas / USA
 
Futures Experience: Beginner
Platform: Charles Schwab
Favorite Futures: Emini ES, VIX
 
Posts: 4 since Aug 2016
Thanks: 1 given, 1 received

Pre-Market Opening Estimate

Just curious....

How are the starting numbers determined prior to the opening bell?

If you can't buy or sell equities and there is no supply and demand, how do the numbers change?

When traders put in orders during the off-hours ....do the orders stay with the broker...or do the orders go to the server at the NYSE etc.....and it keeps a running tab on the statistics ?

And ...on CNBC that have something like .....opening estimate and implied volatility.......something like that.....I don't remember the exact terms they use. But it is the estimated opening and the implied volatility is usually about 10 percent of the estimated opening. Is that a margin of error....+/-.....from the estimated opening?

Just wondering.....

Thanks.

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  #2 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,553 since Feb 2013
Thanks: 4,674 given, 6,228 received
Forum Reputation: Legendary


DallasCowboysFan View Post
Just curious....

How are the starting numbers determined prior to the opening bell?

If you can't buy or sell equities and there is no supply and demand, how do the numbers change?

When traders put in orders during the off-hours ....do the orders stay with the broker...or do the orders go to the server at the NYSE etc.....and it keeps a running tab on the statistics ?

And ...on CNBC that have something like .....opening estimate and implied volatility.......something like that.....I don't remember the exact terms they use. But it is the estimated opening and the implied volatility is usually about 10 percent of the estimated opening. Is that a margin of error....+/-.....from the estimated opening?

Just wondering.....

Thanks.

On electronic platforms most US stocks, ETFs etc. are traded 0400EST-2000EST (1000CET-0200CET).
Besides CME index futures are trading 1700CST-1600CST (0000CET-2300CET) with a pause of
15mins at 1515CST (2215CET). Any calculatory differences between futures and their underlyings
offer arbitrage opportunities. Where your orders "stay" depends on your broker (keyword: DMA) and
your own trading privileges (ETH, RTH; ECN, dark pools etc.).

So forget about any "bell" - it's a mere reminiscence of the past.
The only difference between ETH and its subset RTH is that due to regular real life working
hours the bigger part of liquidity normally shows up during RTH.

The "miraculous" opening estimates in the media are simply futures price +/- base (i.e. regular difference
between futures price and underlying). Same with implied volatility. For the S&P, it's traded 22.75 hours
a day as an asset of its own: VIX. For single stocks it can either be derived from SSFs +/- base or
from the options which are also traded ETH.

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The following 3 users say Thank You to choke35 for this post:
 
  #3 (permalink)
Trading Apprentice
Dallas, Texas / USA
 
Futures Experience: Beginner
Platform: Charles Schwab
Favorite Futures: Emini ES, VIX
 
Posts: 4 since Aug 2016
Thanks: 1 given, 1 received



choke35 View Post
On electronic platforms most US stocks, ETFs etc. are traded 0400EST-2000EST (1000CET-0200CET).
Besides CME index futures are trading 1700CST-1600CST (0000CET-2300CET) with a pause of
15mins at 1515CST (2215CET). Any calculatory differences between futures and their underlyings
offer arbitrage opportunities. Where your orders "stay" depends on your broker (keyword: DMA) and
your own trading privileges (ETH, RTH; ECN, dark pools etc.).

So forget about any "bell" - it's a mere reminiscence of the past.
The only difference between ETH and its subset RTH is that due to regular real life working
hours the bigger part of liquidity normally shows up during RTH.

The "miraculous" opening estimates in the media are simply futures price +/- base (i.e. regular difference
between futures price and underlying). Same with implied volatility. For the S&P, it's traded 22.75 hours
a day as an asset of its own: VIX. For single stocks it can either be derived from SSFs +/- base or
from the options which are also traded ETH.


Thanks it makes more sense now.
I knew that oil traded 23 hours a day but I never paid attention to equities. I thought that pricing stopped when the markets closed.

What is DMA.........

If you wanted to buy something after hours is it done the same way as a regular purchase?

Did you learn all this on your own or was it from grad school.......You sound well informed.....


I appreciate your time....

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  #4 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,553 since Feb 2013
Thanks: 4,674 given, 6,228 received
Forum Reputation: Legendary


DallasCowboysFan View Post
Thanks it makes more sense now.
I knew that oil traded 23 hours a day but I never paid attention to equities. I thought that pricing stopped when the markets closed.

What is DMA.........

If you wanted to buy something after hours is it done the same way as a regular purchase?

Did you learn all this on your own or was it from grad school.......You sound well informed.....


I appreciate your time....

You're welcome.

DMA is direct market access. With DMA the order are directly placed at the exchange.
The opposite are trading desk brokers; the orders stay with them and they normally
match it internally (most bucket shops work that way).

A mixture are routing algos that you can use as a customer that allow a DMA broker
to first look for internal matches. E.g.: A sells 100 AAPL, B buys 100. In this case
the algo would allow the broker to match A and B without routing the order to the
exchange. Nevertheless he charges both A and B the commissions (sometimes
less a fraction to encourage customers to use the algo).

And yes, buying outside of RTH regularly basically works the same like during RTH.
But in some cases the trading venues differ, esp for stocks when the main venue
is closed. For futures, e.g. ES, the venue is exactly the same for all hours; only
the margins differ.

And yes again. I learned much of that completing my studies, but there are many
things that only practice can teach us.

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