What was the biggest ever GAP for the ES in history ?

Discussion in 'Index Futures' started by fluttrader, Aug 21, 2008.

  1. Gap being the biggest price difference between 2 consecutive trades
  2. The ES wasn't a reality in 1987... but the SP500 had a 70 point down-gap in the crash... It was $500/point then, not $250/point like now. (That was $35,000 per contract, just in case you're a bit slow on the arith...) :D
  3. Any idea when a similar gap took place for the ES ?
  4. There was a 52 point gap up in the ES on 8/17/2007. It happened around 8:20am when the Fed lowered the discount rate.
  5. ganesh6


    How much it gapped down when market reopened after 9/11.
  6. Hardly at all... maybe 17 points or something like that. The market actually finished higher on the day...

    edit: correction... 60 points from close on 9/11... the day session on 9/17 ended mildly higher
  7. Must be a surprise rate cut...

    What about gaps during regular trading hours ?
  8. I remember this like it was yesterday because I had my finger on the trigger to go short. I missed disaster by about 1 second. It wasn't a 52 point gap up, however. It was a 52 point rally. The gap was just a few points but the market took off on a relentless tear. No doubt there were some small gaps within that 52 point move. Something I've never forget.......

  9. That is not a 52 point gap. A very fast move, but not a gap. I have the CME T&S for 8/17/2007. All times are Chicago CDT. At 07:15:01 ES traded 1419.25 and at 07:15:46 was the first of many trades at the high of 1471.50. In those 45 seconds ES traded almost every price between 1419.25 and 1471.50 creating no major gap.

    At 07:15:44 there is a gap from 1465.00 to 1468.00 and 6 trades later a gap from 1469.50 to 1465.00.