Price Action Alerts Tool: Looking at NQ

  • 28 Sep 2020
  • By Jesy Beeson
  • Topics: Data

Traders consider many signals to estimate potential moves in futures prices, in order to position themselves accordingly. One data point that may be useful in this analysis is intraday price moves and trends, now available on CME Group Price Action Alerts. Powered by RedSky, these real-time alerts flag when prices of CME Group core products have moved significantly compared to prior observations. In addition to highlighting current trading activity, these alerts include critical analytics to provide users with trend history, based on 10 years of historical data.

How does it work?

The alerts capture four distinct trading patterns:

  • Moving average: Trades above or below a 20-, 50-, or 200-day moving average
  • Settlement price: Trades 1-5% above or below the prior day’s settlement price
  • Standard deviation: Trades one standard deviation above or below the five-day moving average
  • Extreme price moves: Trades substantially above or below the prior day’s settlement price (thresholds defined by asset class)

Using live trading statistics, one or more of these alerts may be triggered on a given day. For each alert, users can choose to learn more with in-depth analysis detailing how the product has traded in the hours and days following past similar price moves.

The tool determines the most common results for each of the five hours and five days following previous price moves of the same magnitude. The analysis includes the average price change for each, as well as frequency and scale of previous price moves.

Additionally, the tool uses 10 years of historical trading data to identify the most consistent results for each of the five hours and five days following prior moves. This ensures that the analysis includes multiple trading environments, rather than concentrating only on current trends.

Example: E-mini Nasdaq 100 futures

On May 26, a Price Action Alert was issued for E-mini Nasdaq 100 futures ‒ when it traded 2% above the prior day’s settlement price. The tool reported how prices had moved in the hours following a trade of the same magnitude and showed what the most consistent result was for four days following the alert.

Analytics suggested that four days following a trade at 2% above the prior day’s settlement, prices most often (63% of the time) increased from the current level. Four days later, on June 1, E-mini Nasdaq 100 futures closed 2% higher than they did at close on May 26 ‒ part of a longer-term upward trend visible in the chart below.

Many factors must be considered when estimating futures price changes, and previous price moves may be more or less relevant in any given environment. Particularly in light of the COVID-19 pandemic’s impact and subsequent market volatility, historical data must be considered carefully. Long-term trend analysis is a critical tool for any trader, and the Price Action Alerts from CME Group help make these analytics accessible to any users.

More recently, E-mini Nasdaq 100 futures have triggered multiple alerts ‒ seven in total for the week starting Sunday, September 6. This coincides with a significant sell off on the Nasdaq index, providing alert users with real-time updates on how the futures markets are reacting to broader market influences.

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About CME Group

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Sign-up for Price Action Alerts today

Get real-time notifications and analytics for top CME Group products.