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Pascal
Friday is an Option Expiration day. From the indices futures, one can see that the indices futures was nearly unchanged till the pre-market opening at 9 AM ET, when the futures nosedived, and then it began to recover at 4 PM. I would be very interested to see behavior of the big money during the day -the 20DMF plot for the day and your commentary on this.
Thanks
[QUOTE=77seas;30314]Pascal
Friday is an Option Expiration day. From the indices futures, one can see that the indices futures was nearly unchanged till the pre-market opening at 9 AM ET, when the futures nosedived, and then it began to recover at 4 PM. I would be very interested to see behavior of the big money during the day -the 20DMF plot for the day and your commentary on this.
Thanks[/QUOTE]
The main characteristics of options expiration days in terms of MF is the unusual activity in the last minutes of trading. We can see it on XLE for example. The Minute MF shows a spike at the EOD, but we can see that XLE had been very weak during the day. However, the XLE EOD Figure shows a positive divergence simply because only the value at the EOD is used.
Hence, traders who only use EOD values could misunderstand this positive divergence as "buyers moving in," while it is simply due to a very tactical short-term activity.
The 20DMF also shows an EOD spike.
Pascal
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