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During the last 5 days I have an 8 point average range for the ES.
----- Original Message -----
From: "MT" <mtzianos@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, November 04, 2003 4:50 PM
Subject: Re: Is it just me, or is the market dead?
> Gary Fritz wrote:
> >
> > > Just bringing up a year-old thread, maybe stimulate a discussion.
> > > Very different picture this year though ...
> >
> > Yes indeed. I re-ran that calculation with data (daily SP, not
> > SPY) up through yesterday. (And this time I made sure to use
> > non-adjusted data. :-)
> >
> > Avg Daily Avg
> > Range Price Rng/Price
> > 1998 17.64 1091.53 1.62%
> > 1999 20.85 1333.98 1.56%
> > 2000 26.36 1439.12 1.83%
> > 2002 19.89 994.76 2.00%
> > 2003 14.52 936.73 1.55%
> >
> > So the current ranges are lower in absolute terms and in % of
> > price terms than we've seen since 1997. How low will they go?
> > Who knows. I wouldn't expect them to go back to the pre-1997
> > levels of 0.75% ranges. It's a different world now.
>
> Well, apparently we're in the pre-1997 levels for some time now (since
> mid-summer), if you do a half-yearly study.
>
> MT
>
>
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