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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

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