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The Chairman
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(address
is not clickable)9/07/2005
Recent S&P Ranges, by Victor Niederhoffer
Recent ranges in daily S&P futures always give me reason to pause and reflect. Is there an inordinate tendency for ranges to be relatively similar around 10:00? Is there a Shillerian tendency for the ranges to be too great relative to the daily moves? Why the range of only five points on August 25th, right before the August 29th crisis? Was the August 31st range of 19 a blowout, or the disruptive move that extricated the weak from their good positions and gave the strong their rightful chips? Are there any constancies in the ranges that allow profitable intraday trading based on the proximity to a high or low at a given time and the range up to that time as a function of the previous ranges? The test the market mistress gives each day is more worthy of study than the IQs, galvanic responses or E.E.G.s of traders.
date hi lo close 9 06 1235 1224 1234 9 02 1226 1217 1220 9 01 1228 1217 1222 8 31 1224 1205 1221 8 30 1211 1202 1209 8 29 1216 1202 1214 8 26 1213 1205 1206 8 25 1215 1210 1214 8 24 1226 1209 1210 8 23 1225 1216 1221 8 22 1231 1218 1224 8 19 1227 1221 1224 8 18 1225 1217 1221 8 17 1228 1219 1222 8 16 1235 1220 1222 8 15 1239 1228 1238