Does anyone have an explanation for the gap between NQs vs Naz? Currently the NQs are - 48.00 and the Naz is - 17. Fair Vaulue is - 9, so technically the Naz is -28 compared to - 48 for NQ futures. That's a 20 point gap that has not closed one bit since market open which typically happens when a gap occurs. I understand there must be a ton of short interest in the NQs but there's no way this gap would hold thru the entire day. Tomorrow the NQMG (june) contracts will cease trading but that doesn't apply to this since the June and Sep contracts are almost at parity.
The gap is caused by an exceptionally high close in the NQ futures yesterday afternoon at 4:15. During the 15-minute aftermarket trading period, ORCL announced that it handily beat earnings expections, sending NQ soaring. Then, after the 30-minute trading pause, when the minis reopened at 4:45, they had to immediately reflect dismal forecasts from AMD, AAPL and CIEN, which sent them plunging. All day NQ has been trading in a reasonable and standard 4-8 point fair value range above NDX ----- the problem you're having is that you are viewing the change in NQ from its extreme and artificially high level established very briefly at yesterrday's close.
This is because of the spike in NQ futures that occured after the cash closed. The final mark in the futures was way out of line with the final mark in the cash so when they came back in line this am the futures change today reflects that spike close.
they'll probably write books about that one... (NOT) there are combinations of events that seem almost impossible to stage, that cause huge discrepancies between the close of one session and the begininning of another session. most books I've read, recommend only day trading the EMini's. Those well capitilized enough to afford the full futures couldda/wouldda/shouldda been hedged to prevent or (mitigate) their losses. hope they were....
Thanks for the detailed explanation. For some reason I thought CME used 4:00pm settlement prices for the close instead of 4:15pm so that would explain the gap after ORCL then AAPL's release.