The S$P futures pre market price seems to be very accurate compared to the S&P index at the opening. Do traders use pre market prices to value the futures or do they get estimated opening prices from the specialists? JJ
The heavy index arb firms are a major source of liquidity in futures, pre New York opening. They have an "idea" of where the basket will be priced based on both pre-market bid/offers in individual issues and closer to the bell on specialist order imbalances. Remember futures (except for the DIA contract) are suspended for15min. prior to the NYSE opening. Keep in mind the cash index price you see on the bell is not the "actual" value of the index but merely a reflection in price of issues that have traded right out of the gate. That's why you'll often see futures down 5pts. on the NYSE opening while cash takes a couple of minutes to get there. That does not mean there is an arb opportunity, just that the indexes are subject to a late tape in computation.
Remember that the S&P futures trade nearly 24 hours (minus two 15 minute periods), and the after hours trading on the Globex reflects some pretty big players' activity. The institutions use the futures to hedge their buy and sell orders (brokers especially), and this brings the futures into line after the markets open. If you keep the fair value for the day next to the futures chart you will see the immediate movements after the opening bell, and this may help you see the correlations. Happy Holidays!!
Remember futures (except for the DIA contract) are suspended for15min. prior to the NYSE opening. The eminis are not suspended why is that?
While not exactly on the subject, I thought the following from FWN will be of interest to ALL SP and nasdaq traders: Technical Analysis - S&P 500, Nasdaq Futures - Dec 26 By Michael Kahn CME MAR S&P 500 FUTURES 26 DECEMBER 2001 1246.40 -- Aug. 2 high before major drop-off 1193.21 -- 61.8% Fibonacci retracement of the May-September decline 1175.00 -- resistance from Dec. 5,6 highs; rally high to date 1171.27 -- 200-day moving average for continuous contract 1166.00 -- resistance Nov. 27 high 1151.13 -- second pivot point resistance 1149.20 == Monday's high 1149.17 -- first pivot point resistance 1147.23 -- pivot point drawn from Monday's trading 1147.20 >> Monday's close 1145.30 == Monday's low 1145.27 -- first pivot point support 1144.48 -- 20-day moving average 1143.33 -- second pivot point support 1125.13 -- 50-day moving average 1123.90 -- 100-day moving average 1118.50 -- major low March 23 1115.00 -- support from Dec. 14 low 1114.30 -- support from top of former October trading range 1088.50 -- March 23 low for continuous contract 941.00 -- Sept. 21 low -------------------------------------------------------------------------- CME MAR NASDAQ-100 FUTURES 26 DECEMBER 2001 1800.50 -- resistance from Aug. 2 peak 1741.00 -- resistance from Dec. 6 high; rally high to date 1645.00 -- top of former November trading range 1633.40 -- 20-day moving average 1624.30 -- 200-day moving average for continuous futures contract 1605.67 -- second pivot point resistance 1598.00 == Monday's high 1595.33 -- first pivot point resistance 1595.00 -- broken support from Dec. 14 low 1587.67 -- pivot point drawn from Monday's trading 1585.00 >> Monday's settlement 1580.00 == Monday's low 1577.33 -- first pivot point support 1569.67 -- second pivot point support 1559.50 -- key support from bottom of November trading range 1546.60 -- 50-day moving average 1490.51 -- 100-day moving average 1360.00 -- major low of April 3 for continuous futures contract 1350.00 -- support from Oct. 30 low 1125.50 -- Sept. 21 low