S&P EMini Daily Ranges

[Trader Question]

For S&P E-mini, the daily ranges have become small compared to the year 2002 to mid-2003.
For those trading interday, it is easier to make points when the daily range exceeds 20 points (during trading hours). At the market bottom, almost every day is a +20 point range as happened during the 4 months July-October 2002, selling climax and market reverse.

Jan 2002, average daily range 17 (and had only 4 days of +20 range days)
Feb,  average 20 (8 of +20 days)
Mar, average 17 (5 of +20 days)
Apr. ave. 17 (6)
May ave. 20 (7)
June ave. 26 (14)
July ave. 37 (22)
Aug  ave. 27 (18)
Sept ave, 24 (15)
Oct. ave. 29 (20)
Nov. ave. 20 (12)
Dec.ave. 18 (7)
Jan 2003, ave. 20 (8)
Feb. ave. 18 (5)
Mar. ave. 19 (9)
Apr. ave. 18 (7)
May ave. 14 (2)
June ave. 16 (4)
July ave. 16 (3)
Aug. ave. 13 (3)
Sept. ave. 13 (1)
Oct. ave. 12 (2)
Nov. ave. 10 (0)
Dec ave. 9 (0)
Jan 2004, ave. 12 (1)
Notice that the 5 most recent months, Sept 2003 thru Jan 2004 had only 4 days having a daily range exceding 20 points.
The average daily range during this 5 month period was about 11 points. Contrast that with the 4 month (not 5 month) period July-October 2002 when there were 75 days exceeding 20 points and the average daily range was way up near 30 points. That was at the overall market sell-off/reverse.

JF

[pldot]

Yes, at market turning points one often sees something akin to "pumping" where the opposing opinions are held with vigor and the tug of war between opinions gets stronger. Also when there is no firm conviction about direction the range narrows, and that is often when the market is waiting for news or an indication of what to do, frequently se then see congestion, as in the current monthly congestion. When the market narrows down to very small ranges one might say it is waiting for something to move it, and when that occurs, we will then see large moves and strong Pldot pushes... etc.

[Trader Question]

The thrust of my email was to highlight the fact that congestion action is present on the intraday 75% of the time even though the overall market has been climbing for the past year or more.


A skilled trader of course can make 15 points when the daily range is only 10 points. However, unless the beginner has mastered congestion action trading, then he will lose repeatedly. Also, he has to learn how to stay in a trend run when that rarer event occurs.

Many times we have congestion exit trading on the hourly for maybe 6 hours, Yet the trading range may be only 5 points between the Plline and one of envelope top/bottom. We may have a trend run down or congestion exit trend run down but in effect we have to trade it like congestion action because it vibrates within so narrow a range of 5 points (hourly range) during the day between the Plline and the EB. This scenario requires intense focus to be able to reap any points.

JF

[pldot]

One could thus argue with some cogency that it might be better to use a longer time frame....

[Trader Question]

My mind requires activity and cannot live with drudgery.

JF