There may be no going back. The Emini .25 spread has increased the spread on the pit contract as the floor doesn't want to give free money to the arbs. So a .20 spread in the pit may be more realistic than a .10 spread. With their built-in time lag, the pit traders have more control over their spread just like the NYSE specialists who keep their spread fatter than necessary. A better bet would be to trade the Dow mini futures with its smaller potential spread. IMHO.
Thank you Natalie. Yes, that's very important. I just did a correllation test between the closing prices for the year and the ave. daily range (95 - present) and it came out to .83. So it seems to account for about 70% of the volatilty changes that we've seen. Hopefully the SP will stay above 740 (SPX close at end of 96). I must admit I did get nervous when the SP was hanging around 800. Sure hope there's a bull market coming up soon.
Hi Acrary, Thank you for that answer - I've just been looking at 2002 and 2003 and compring them. This chart is of the avarage daily range for each month of 2002 and 2003 to date. As to Bull market, I'm also hoping that the avarage % range will hold up as well so there is some points terms expansion in which to work... Best Natalie
I don't think the pit ever really traded in tenths. That would get you a dirty look, wasting peoples' time trying to squeeze out a stinking dime. The pit trades in .20 and sometimes in .50 point increments.
Unless we can break out of this current range today, we could be looking at the smallest range for the year. Currently only 7.75 ES pts.