ES Range Expectations after the FOMC & Presser

9月18日

TradingView keeps crashing when I try to record a video so we're going for a chart only update this time.

Today we're again looking at ES e-mini futures for an expectation of the amount of range we could do on this FOMC data release. We take a look at both the upside and downside to get a view on where the boundaries of normality would be to aid us in framing intraday trades.

The Average Daily Range on ES at the moment is about 75pts (the daily ATR is about the same since the futures don't tend to gap much). So far today we've done 27pts of range... about half of the average of 51pts for the first 4 hours of the day. Volumes are also low (about 60% of normal) as we'd expect going into an FOMC report at 420k vs the average of 682k.

So, what to expect for the FOMC release? I tend to use 50pts above/below the Volume POC (which is dead on the 5700 level today) as my benchmark for larger news events like this and that is the first level above/below... so 5750 or 5650. But if we get carried away (and we could today) then a full ATR move of 75pts actually lines up nicely with previous support and resistance areas. We'll tune back in later to see how this plays out.

9月18日

注释

OK, so within 2mins of the FOMC announcement of a 50bps cut we got quite a good move straight to our 50pt upside target at 5750 (we touched 5756) before retracing much of that back to 5714. So our range expectations were on point. I'll update later in the session to see how the market digests and reacts to the press conference and questions.

9月18日

注释

OK, so at the end of the day we closed on the lows, about 25pts below the pre-FOMC starting point. It got pretty choppy there during the press conference.

So to recap the move from the pre-FOMC price (5700): 55pts up, 25pts down, total range was the 75pts (which is about the avg daily range or ATR.