Thanks for the daily ES settlement data. However, there appears to be a major discrepancy between the estimated volume for JUN04 on 3/11/04 (1036K), and the prior day's volume reported for the same contract on 3/12/04 (36K). Looks like some leading digits were dropped.
Code: e-mini s&p 500 futures settlement prices as of 03/15/04 05:00 pm (cst) MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ---- STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT MAR04 1117.50 1122.00 1102.50 1106.50A 1106.25 -1300 67K 1119.25 119451 540068 JUN04 1117.25 1118.75 1101.50 1105.25 1105.00 -1300 1037K 1118.00 741242 320891 TOTAL EST.VOL VOL OPEN INT. TOTAL 1105387 860693 860959 What I find interesting about the change in volume and open interest is that the OI does not appear to have predominantly shifted to the June contract as of Friday's close. This would back up what saxon is doing by rolling over his position trade later than last Thursday. Though I would note that today in the March contract the spread was mostly .25/.5 in the morning and .5/.75 in the afternoon. The cost starts getting pretty high at a .75 spread, even for a position trade IMO. Yes looks like the CME website truncated the data.
Code: e-mini s&p 500 futures settlement prices as of 03/16/04 07:00 pm (cst) MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ---- STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT MAR04 1106.50 1114.25 1102.50 1111.25B 1111.50 +525 58K 1106.25 67433 509695 JUN04 1105.00 1113.00 1101.00 1110.50 1110.25 +525 874K 1105.00 37954 354220 TOTAL EST.VOL VOL OPEN INT. TOTAL 933138 1105387 863915 Again, the prior day volume appears to be truncated for the June contract.
Do you think if we all email CME thay will open up the column to a few more digits?.....or perhaps this will require an act of god? Michael B.
Down to 57K volume but OI holding firm on March. It looks like many of those contracts will be held through settlement. Do they only pay half turn if they do that? Code: e-mini s&p 500 futures settlement prices as of 03/17/04 07:00 pm (cst) MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ---- STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT MAR04 1111.75 1126.00 1110.75 1123.75 1123.75 +1225 57K 1111.50 58429 494598 JUN04 1110.25 1125.00 1109.50 1122.50 1122.50 +1225 695K 1110.25 874709 389027 TOTAL EST.VOL VOL OPEN INT. TOTAL 752476 933138 883625 I doubt it - they don't have a great customer service track record.
I'm almost done beating this dead horse thread so please bear with me. Looks like OI finally reached parity on Wednesday. Is it a coincidence that Wednesday was also the slow plodding manufactured uptrend we've grown so accustomed to on these contract expiration weeks? Code: e-mini s&p 500 futures settlement prices as of 03/18/04 07:00 pm (cst) MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ---- STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT MAR04 1123.75 1126.75 1112.75 1124.25 1124.25 +50 54K 1123.75 57211 418317 JUN04 1122.50 1126.50 1111.50 1123.00 1122.75 +25 837K 1122.50 695265 404607 TOTAL EST.VOL VOL OPEN INT. TOTAL 892126 752476 822924