Part of our weekly Q&A series.
We began the discussion with a look at how to use the profile to discern unexpected market behavior (and what to do when you see this).
Then we opened the floor to questions.
Additional questions asked & answered:
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Crude broke out of a 4-day balance on Wednesday after moving about a weekly ave move in 2 days. thursday failed to accept below Globex low in the IB. Since Wednesday was a trend day moving to fast too far. Expected behavior would be a narrower range balanced type day, which is what played out. Was there anything in the Implied Vol reading before the Thursday open confirming the hypothesis?
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Is the open balance range the first 30 min or the first hour?
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When calculating the expected range for the day, please explain why you use Globex high/low as opposed to RTH for that day
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Do you perform intra-market analysis .. GC, ZB, FX etc.?
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How do you account for dark-pool trading
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What platform do you use to perform backtesting?
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What is the easiest way to get daily imp.vol readings?
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Since low volume areas are typically areas of rejection of prices or are quickly traded through, have you tested, or developed trades, based on using standing limit orders in those areas, with potential stops just under the nearest high volume node?
