Does anyone have a good method for calculating pivot points for SPY that incorporates the overnight highs and lows in the ES?? I also have the problem that I am not sure that the price levels in SPY match up with the front month ES contract, for instance lets say the price of ES is 1336.50 then SPY would be 133.65. I cant afford a data feed for futures right now and I am trying to test some stuff out. Thanks.
Most traders use RTH values for Pivot Point calculation. I have experimented with Pivot Points and they are really not the not the holy grail. You are over estimating the importance of Pivot Points IMHO! Just use HLC for SPY and you are good to go. SPY is a CASH index while ES is futures, so you are comparing Pivots of two different products. Unless you have a live futures feed for ES, stick with SPY for your calculations to stay consistant. I have an excel if you need it, PM me, or use this site. http://www.mypivots.com/Education/tools/pivot-calculator/ Good Trading! surdo
Thanks for the reply Surdo. Im not searching for the grail, just trying to add another setup to the mix. I just feel like overnight and premarket movements in the futures are important data to include in pivot calcs because they indicate uncertanty and volatility, for instance, big moves in Chinese or Japanese markets or big US premarket moves set off by unexpected news. SPY and ES trade the same almost tick for tick during the day (I sit next to a 12 year ES trader), SPX is the S&P 500 cash index, not SPY. Any other ideas anyone?
FWIW; I use the big contract, but works for the E's obviously. www.stocktrading.com/Tradinginfo.htm Don