Saturday, December 31, 2005

S&P Emini Premium to Cash



Recently on my site, I mentioned the S&P emini premium to cash as a valuable market indicator reflecting program trading activity. Below is a chart from the 12/28/05 market that tracks the emini premium relative to separate buy program and sell program levels through the day. When the line is rising, it means that there is buying pressure in the ES as gauged by pricing relative to the buy level criteria. A falling line means the reverse. As we can see from the chart above, divergences between the Premium Line (red) and price (blue) are of interest to the short-term trader. I'll post further details on the Weblog.

3 comments:

Happy Trader said...

How do you make a chart like this?

jazzybc said...

Do you get this chart from neoticker?

Brett Steenbarger, Ph.D. said...

Hello,

I created the chart in Excel. You can create such charts in real time by programming the formulas into Excel and linking the spreadsheet to your real time data feed (DDE link).

Brett