Pit Session Vs 'Overnight Market' Statistics

[Frank 10]

I am kicking off the Market Statistics forum with some analysis of S&P futures range in pit session vs 'overnight'....

 

Now, I want to come at this from a 'traders perspective' and not as an academic might. What I am really getting at is --- what dynamics are at work from a traders perspective?

 

Personally, I am just trying to find some trades to make and then get out of the market and get my exposure back to zero, I am not trying to catch the entire range of every day. It does not matter that X happens or Y happens, it only matters that I find some trades to make and execute those at a decent % and get rewarded for the risk I take -- and then some.

 

So I started by looking at the overnight market --- and would like to use an equal amount of time BEFORE the U.S. open --- as the cash market IS open -- which turns out to be ~6.5 hours. The U.S. market is open 9:30am to 5pm NY time, so I am using that as a reference point.

 

I am looking at futures so I will use Central time as basis. Thus, I want to look at 'range' for the S&P futures from 2am - 8:30am -- which might be thought of as its 'own session' -- approximately consistent with when the European cash market is open. This is the point range for the S&P futures during that timeframe -- going back ~7.5 years:

 

 

Note that the range for the S&Ps during 2004-2006 was generally ~5 pts during this time of 'night'. Note also that while range is far off its high, its also far above the old 5 point plateau. In fact, the chart looks a lot like VIX -- which is also still far above the '04-06 level but way off the extreme highs.

 

 

 

continued next post

Edited October 27, 2009 by Frank

[Trendup_ 10]

Hi Frank,

Thanks for starting this thread, I guess many traders will be interested to know what is happening during overnight sessions, the volume is not there but the range is surprisingly high in comparison.

Rather than limiting to 6.5 hours I’m wondering if statistics could be made using before vs. after US market open.

Sometimes it seems the market has been set for the day at the beginning of the futures and it is easier to spot big pulses in volume when the cash is closed.

If it is not too inconvenient could you post the statistic for ES from 15:30 to 8:30 vs. 8:30 to 15:15,

and ZN from 17:30 to 8:30 vs. 8:30 to 16:00 (CST).

On the attached picture we can see some good range in ZN when the cash is closed and not so good range for the ES during the same periods.

[Frank 10]

Hi trendup -- thanks for the reply.

 

re 24 hour data, I started off thinking like you are -- but the more I thought about it, the more problems I ran into. do you include Sundays? what are you practically going to do with the data?

 

nevertheless, I ran some quick numbers to investigate and while I did not fully scrub the dataset for accuracy (just used TS @ES download) --- here is preliminary finding:

 

Of 204 trading days this year, the range created during the 2am to 15:15 time period has accounted for 80% or more of the entire range on 181 of those days. 181/204 is ~89%. so bottom line is that on about 9 times out of 10 days, there isn't much movement during those 'other' hours.

 

note: LOTS of zeros and small numbers in this data set