Hey guys, just wondered if anyone had done a study of INTRADAY gaps in the ES tick data for ES? For example, those that occur around FED announcements? I need to consider how large of a gap would occur if I were in a position and the gap jumped over my stop, thus giving me a loss bigger than a planned stop.
Got this done, its around 1-3 points surrounding major announcements that occurr at 10am, 2pm or 2:15 to 2:20. Largest was 7 points at 10am but that happened only once in a year, 2011. 2013 was similar.
don't know if you guys remember this but this sticks out in my mind as the biggest fed related gap in the history of the known universe. http://cnnfn.cnn.com/2001/01/03/economy/fed/ God help the poor soul who was short ES or NQ going into that announcement. can you imagine if you were short like 20 cars and went to take a piss and came back bankrupt?
" Wall Street responded immediately with one of its strongest rallies on record. The Dow Jones industrial average soared almost 300 points to 10,946, while the Nasdaq composite index rocketed 325 points to 2,617. " http://www.elitetrader.com/vb/showthread.php?s=&postid=731021