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--- Begin Message ---
To: Alex Matulich <alex@xxxxxxxxxxxxxx>
Subject: Re: Is it just me, or is the market dead?
From: "david b. stanley" <davestan@xxxxxxxxxx>
Date: Wed, 15 Oct 2003 09:51:55 -0700
References: <20031015052522.DB6FBBC54@xxxxxxxxxxxxxxxx>
This seems like a plausible expanation.
For the Index futures traders that make intraday decisions,
it has both positive and negative implications.
On the positive side, we are not hitting anything close to the
45pt first limit.
On the negative side, we are approaching pre-split S&P range levels
of 1996-1997 which was followed by the advent of mini contracts.
I find this level significant for intraday traders who have transitioned
to
the minis. At those reduced range levels, the mini trader is at an acute
disadvantage. The increments of the S&P futures is in ".10's" while
the increments in the E-minis is in ".25's". The tighter the range, the
more
critical it becomes for the trader to have more increments.
With electronic trading now deeply imbedded into the Chicago index
futures markets, the time has come to complete the transition.
PLEASE CME, INCREASE THE MINI INCREMENTS!!!
I feel better now:_)
Alex Matulich wrote:
>
>
> I'm not so sure about that. The S&P futures markets are derived
> (or related to) the cash index. They'll have similar daily ranges.
> The cash index is a weighted average of the price movements of 500
> stocks. I have doubts that the movements of those stocks (many of
> which are fairly large) are dominated by daytraders taking intraday
> profits - any individual large-cap stock is simply not a suitable
> vehicle for daytrading. I'll bet those movements are more affected
> by position traders, the largest of which are mutual funds.
>
> I do think the small swings of the present, as opposed to the big
> swings of the past, have something to do with a greater flow of
> information, greater availability of data, resulting in greater
> efficiency, which will make the noise amplitude smaller. This
> is related to e-trading, but I think one will find a correlation
> between the shrinkage of the daily range and the growth of the
> internet.
>
> -Alex
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