Hi Grob, That's good stuff for timing entries. If you could answer a couple of questions: (1) How do you determine what the squeeze and stretch offset values are for the day? Is there a good way of calibrating oneself for the day as early as possible? (2) Is there any significance to the IT trend what the offset values are? You mentioned the values at the beginning of the quarter and the fact that it went +1 today. Is this something that can be used beyond the moment to moment monitoring? As always, thanks for sharing.
Hi Grob, What screen are you watching to see the 'move telegraph'? ES Time &Sales? Can anyone else suggest good tools to watch Market Depth on futures? Thanks, Mike
Grob is referring to the differential between the Dow cash and futures and calibrating that for the day's trading. I use the difference between the INDU and YM. When the differential is relatively large, i.e., "stretched", this telegraphs downward pressure for that moment. When the differential is relatively small or negative, i.e., "squeezed", this telegraphs an upward pressure for that moment. You can watch the bid and ask movement on the ES to confirm the market action at the critical differential values. Grob gave the stretch value for today of around 9. I have today's top at 13:20 coinciding with a differential of 8. Not too shabby.
So basically someone is charting the premium or discount of the futures vs cash, right? I find the comments somewhat strange when an earlier post states that: "When the differential is relatively large, ie., "stretched", this telegraphs downward pressure for that moment. When the differential is relative small or negative, ie., "squeezed", this telegraphs an upward pressure for that moment." Last time I checked, program traders that were looking to execute "arbitrage" type trades would be buying the cash market when PREMIUMS were nice and fat, and selling the cash market when the futures went to very little premium or a DISCOUNT. Timing is everything and buy/sell programs are what drives a lot of the volatility in the marketplace. But when you speak of "that moment" I kind of lose your methodology . . .
How come many peope seem to think daytraders incrEAse volatitlity? Is this the same "logic" (pop-science) as cheap imports from China threaten jobs in America? I am clueless, somebody wants to explain? ps. so my answer is NO
db, big fella, mate â take it easy and stop being a galah. I can't be the only one on this site to note your persistent and angry undertone ... post after post after post after post. Yes life, like trading, is full of imperfections and inconsistencies ... and we'll always need people like you to point out the realities - so well done. But try to enjoy life, it's actually quite good. I would prefer Grob's style (and content) to your BS any day of the week.
I use terms like neutral, squeese and stretch to describe the Dow dynamic. Neutral describes times when there is no tendancy up or down for the moment. A moment is less than five minutes and about three or four moments occur per 5 minutes. The "squeese" and "stretch" work the same, once the moment is either, there will be movement (change) very very shortly (30 to 45 seconds) in the ES emini. A volume burst (on Emini) signals the move. You watch the "small" side of the "Market depth" the see when the move stalls out. The "small" dissappears and neutral (balance on market depth) resumes. For "long" moves the squeese is the rule. For "short" moves the stretch is the indicator. I have noticed this on the waterfall portion of a plaform I am testing. Some might call it a ladder display. The velocity of the stretch presents a very high probability of balance occuring next. It takes practice to see this, and it hadn't occured to me to attempt to measure or spreadsheet it. Michael B.