S&P 500 Emini Day Trading Gap Tuesday December 15, 2009

S&P Emini 500 Futures opened with a 6.50 gap up this morning.  That price approximated the median price level today, and the index traded in a very narrow range around that level.  The day’s total range was only 6.25 points deep, and prices never dipped enough to fill the gap.  Total volume was near the average.  1.72 million contracts traded and the 50 day average volume is 1.88 million contracts.  The S&P Emini has had four up days in a row, but the trading range is becoming increasingly compressed.  The 14 day average true range has dropped from nearly 23 points in early December to the current 11.7 point range.  That tight trading range usually results in a big move out of the range at some point.  There was no news today, and the lack of volatility in today’s trading reflects that.  The market has been mostly news driven lately, and perhaps traders are waiting for the Fed announcements Wednesday afternoon.  Most of the Tuesday news is pre market, but the news may still introduce some action.  Let’s hope so.