A few weeks ago, we posted an analysis of dollarized average true
range (DATR) for many popular futures instruments. Now, that things
have settled down after the crash (or have they), we wanted to see how
dollarized volatility and daily range potential has changed. Here's the
latest. The daily true ranges and contract volumes are averaged over
the past 20 days. Popular futures contracts are highlighted in yellow as reference points.
Special thanks to FZ and M, fellow futures traders and analysts who
spotted the data feed issues associated with contract volumes in our
prior post. This latest analysis corrects those issues.
A
final note as we approach May options expiration…
Using a database of SPX closing prices going back 20 years (our personal
trading almanac), we are mindful of S&P 500 price behaviors going
into every options expiration week. May opex week has been bullish
60-70% of the time for SPX over the past 20 years.
This is not
necessarily the case for opex week every month. Of course, there are no
guarantees, just history (we suspect Fujisan will have a few things to
say about the 1150 level on SPX). There's a tremendous amount of
economic and political turmoil going into this week that is causing your
host, the good Dr. Knight, to lick his chops.
