S&P 500 Emini Day Trading Gap Monday July 20, 2009

S&P Emini 500 Futures gapped down only .75 points this a.m. to open at 936.00.  Even that small gap took an hour to fill given today’s very narrow trading range.  The range from today’s low of  931, recorded at about 10 o’clock, and the high, 938.75, marked at 1:50 p.m., adds  up to just 7.75 points.  That’s less than half of the 14 day average true range value of 18 points.  Expiration Friday resulted in a very lackluster day.  Volume was 1.53 million contracts, average is 1.95 million, and the closing price, 937.00 was just .25 points above the Thursday close.  The weekly numbers tell a different story.  The weekly trading range was 75.25 points, average 14 period true range is 45 points.  The closing candlestick formation came close to engulfing the prior 4 weeks of market activity, as it finished at the high end of the weekly candlestick.  Volume for the week was relatively low.  50 day average weekly volume is 12 million contracts, and this week’s volume was 9.7 million contracts.