Funny how the market didn't budge at all during RTH yesterday and went to the moon once Globex opened. I imagine there are certain "rules" and also arbitrage/hedging which put constraints on index futures during the equity session.
There are no constraints on arb or hedging during RTH or Globex, not by the exchange at least. What would make you think there are?
Clearly, you didn't read properly what I wrote or understand what I meant. You've done that a few times now. Try again and I'll explain if you still don't get it.
There is arbing and hedging done all the time during any session any day etc. As for rules {in quotes} I can only assume since you didn't specify. So what was that again about me not understanding?
The simple answer is that the e-mini S&P 500 does not trade in isolation during the US Equities session where it is arbitraged against the S&P 500 index which it is a derivative of. There's also the huge volume in SPX/ES options to consider which also influences the trading of the e-mini futures. Not to mention that for hedging purposes I imagine the huge volume of the RTH session makes it the prime time window for when to hedge as you can move a lot of volume without impacting price too much. As soon as the e-mini futures gets out of whack - arbitrageurs will sell/buy it to close that gap. During the overnight session there are no or certainly less such constraints.
On the left side of his pics. The profits look wonky because he's getting split fills and his software doesn't show an average price. Looks like the split is floating at 3698.75.