S&P 500 Emini Futures Day Trading THE GAP

S&P 500 Emini Day Trading Gap Thursday July 2, 2009

S&P Emini 500 Futures gapped up 2.75 points to open at 919.25.  The day’s trading left us close to that point at the close.  Prices gained 5.50 points in the early morning, but lost most of the gains on news at the 10 a.m. reversal on moderate volume.  Buyers stepped back in, and drove prices to the high for the day 928.25.  From that point on, prices entered a descending  channel that had broad areas of congestion.  Trading stair stepped down within the channel then broke the channel bottom at 3:30.  The last 30 minutes of the market looked like an attempt to fill the gap.  The day’s low of 917.75 failed to fill the gap.  The last 5 minutes of trading saw a fairly typical volume spike.  Compare today’s 61,000 contracts traded with yesterday’s final 5 minute volume spike of 174,000 contracts.  I’ve added today’s close to the open gap list, even though it came within 1.25 points of yesterday’s close.  Today’s 10.50 point range is below the 14 day average true range of  16.7 points.  As volatility has declined, so has the range.  A month ago we were seeing average true range in the mid 20’s.