Intraday Stats - Posted on Wednesday, July 1, 2009, 12:45 PM GMT +1

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Jul Wednesday 1

Trading the Odds on Wednesday – July 1, 2009 – intraday setup –

With the ES (E-MINI S&P 500) currently trading at 923.50 (up +8, +0.90%) at time of writing (06:30 AM CET), I thought it would be interesting to check if the pre-opening strength in the ES (E-MINI S&P 500) might provide a favorable trading opportunity (probably on the short side of the market), building upon those setups which were triggered on Tuesday’s close (see my posting Trading the Odds on Wednesday – July 1, 2009).

Table I below shows the ES’ (E-MINI S&P 500) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on those sessions (in this event Wednesday, July 1) immediately following those 175 sessions where the following setup had been triggered: the ES (E-MINI S&P 500) posted an outside bar on a session where the ES (E-MINI S&P 500) closed lower at least -0.50% on the day . (outside bar = Tuesday’s session completely engulfs Monday’s session, means Tuesday’s high is greater than the previous session’s high, and Tuesday’s low is lower than the previous session’s low)

2009-07-01-ES-S3i-12009-07-01-ES-S3i-2


Concerning setup’s S3 (the ES (E-MINI S&P 500) posted an outside bar on a session where the ES (E-MINI S&P 500) closed lower at least -0.50% on the day ) intraday stats on the then following session it is especially remarkable that the ES (S&P 500 E-MINI) managed to leave an unfilled opening up gap greater than +0.80% (intraday low at least +0.80% above the previous session’s close) on only 3 out of 175 occurrences even in the event it had opened significantly higher.

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Bottom line:

With respect to Wednesday’s session and based on the respective probabilities and odds concerning those setups which were triggered on Tuesday’s close, the outlook concerning the ES’ (E-MINI S&P 500) performance is not only slightly negative, but the pre-opening strength in the ES (S&P 500 E-MINI) might provide a favorable shorting opportunity already before the open.

Successful trading,

Frank

P.s.: I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: Short ES (E-MINI S&P 500) at time of writing.

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