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Tuesday, July 12, 2011

Some statistics for YM, ES, NQ & TF

Below is a Daily chartgrid of YM, ES, NQ & TF. The charts begin from January 1st of this year. Overlayed on each chart is a Fibonacci retracement starting from the lowest price to the highest price this year. Also showing are Bollinger Bands (BB), a 50sma (red), a 200sma (pink), MACD and Full Stochastics.


Here are a few stats on each e-mini relative to their charts.

YM:
  • the high reached this year was 12873 and the low was 11451...the range is 1422 points and has an approximate volatility measurement of 11.05% [(range/high)x100]
  • price is currently above the 38.2% retracement level and has formed quite a bit of support below this level and some resistance above this level
  • price is currently above the slightly falling 50sma, which has just turned down below the 38.2% Fib level
  • price is currently above the mid-point of the BB
  • the rising BB mid-point is below the 50sma
  • the 50 & 200sma's are beginning to move toward each other...the distance between the two appears to be the largest of the 4 e-minis
  • the MACD histogram shows a positive divergence above the zero level from the beginning of the year
  • the MACD moving averages are beginning to converge at their overbought level, but have not crossed
  • the Full Stochastics shows that %K has crossed over %D and has hooked down

ES:
  • the high reached this year was 1373.50 and the low was 1241.25...the range is 132.25 points and has an approximate volatility measurement of 9.63% [(range/high)x100]
  • price is currently just above the 50% retracement level and has formed quite a bit of support below and some resistance above this level
  • price is currently just above the slightly falling 50sma, which is sitting just above the 50% Fib level
  • price is currently above the mid-point of the BB
  • the rising BB mid-point is below the 50sma
  • the 50 & 200sma's are beginning to move toward each other...the distance between the two appears to be the second largest of the 4 e-minis
  • the MACD histogram shows a positive divergence above the zero level from the beginning of the year but was lower in May...however there is a positive divergence once again with this latest ramp up in price
  • the MACD moving averages are beginning to converge at their overbought level, but have not crossed
  • the Full Stochastics shows that %K has crossed over %D and has hooked down
NQ:
  • the high reached this year was 2428 and the low was 2174...the range is 254 points and has an approximate volatility measurement of 10.46% [(range/high)x100]
  • price is currently above the 38.2% retracement level and has formed quite a bit of support below this level and some resistance above this level
  • price is currently above the slightly falling 50sma, which is above the 50% Fib level
  • price is currently above the mid-point of the BB
  • the rising BB mid-point is below the 50sma
  • the 50 & 200sma's are beginning to move toward each other...the distance between the two appears to be the smallest of the 4 e-minis
  • the MACD histogram shows a positive divergence above the zero level from the beginning of the year
  • the MACD moving averages are beginning to converge at their overbought level, but have not crossed
  • the Full Stochastics shows that %K has crossed over %D and has hooked down
TF:
  • the high reached this year was 872.00 and the low was 767.50...the range is 104.5 points and has an approximate volatility measurement of 11.98% [(range/high)x100]
  • price is currently just below the 38.2% retracement level and has formed quite a bit of support below and some resistance above this level
  • price is currently above the slightly falling 50sma, which is sitting just below the 50% Fib level
  • price is currently above the mid-point of the BB
  • the rising BB mid-point is precisely at the 50sma now
  • the 50 & 200sma's are beginning to move toward each other...the distance between the two appears to be the second smallest of the 4 e-minis
  • the MACD histogram shows a positive divergence above the zero level from the beginning of the year but was lower in May...however there is a positive divergence once again with this latest ramp up in price
  • the MACD moving averages are beginning to converge at their overbought level, but have not crossed
  • the Full Stochastics shows that %K has crossed over %D and has hooked down
Conclusions:  All of the 4 e-minis are above their 50% level of their respective sideways-trending ranges...overall relative strength would place the YM first, followed by the NQ, then the TF, and finally the ES. However, the TF has the highest volatility and may be the first to lead a breakout of this trading range. It's interesting to see this divergence forming amongst these e-minis...and possibly something to watch over the coming days/weeks before a clear breakout occurs either above or below this range. We may see further range trading until the 50 & 200sma's merge (or come much closer) and a new trend established away from that point and beyond the boundaries of the current range (the NQ may give the first signal in this regard). As things stands now, there is a slightly better than 50% chance that all 4 e-minis will remain above the middle of this range, provided that buying volumes and momentum return on this timeframe...otherwise, we may see a drop to either their 200sma's or the bottom of their ranges.