S&P pre market prices

Discussion in 'Index Futures' started by jj_jere@hotmail, Dec 21, 2001.

  1. 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?
  2. Pabst


    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.
  3. 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!!
  4. Remember futures (except for the DIA contract) are suspended for15min. prior to the NYSE opening.
    The eminis are not suspended why is that?
  5. elon


    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


    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



    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