Many FX currency futures traders look for the currencies to return
back to the next day's pivot, especially during early globex hours after
a notable move. While this certainly seems to happen a lot based on
observation and experience, we are compelled to do our own study. The
distribution below shows how frequently the Euro futures contract (root
ticker 6E or EC) trades within 5 pips of its daily pivot in hourly time
slices. The daily pivot is calculated as (H+L+C)/3.
While the statistics of 6E eventually reaching its daily pivot are
quite high on any given day, it can happen at virtually any time, with
the greatest likelihood – surprise, surprise – during the
European/London market open.
