Stocks & Commodities V. 27:3 (43): Q&A by Don Bright
Product Description
Q&A by Don Bright
BEFORE THE OPEN
Don, I was wondering if you could answer this. I have heard that there is a data source that tells you the estimated opening of NYSE stocks before the open. Have you heard this? Thanks. — Sky123987
I’ve not heard of any particular site, but I can tell you what we use. We see premarket imbalances (excess shares) of opening-only orders, and NYSE specialists sometimes publish an estimated opening price range as well. We also look at the electronic communications network’s (ECN) trading levels, premarket. This helps considerably with our opening-only order strategy by allowing us to adjust bid and offer prices. We also calculate estimated opening stock prices based on fair value– adjusted futures trading ranges as well. We take the closing price of the Standard & Poor’s 500 spot price (SPX), add or subtract the fair value number (basically the cost of carry to expiration date, minus dividends), and then compare where this number related to the emini futures (CME/ Globex) premarket. Hope this helps!
BEFORE THE OPEN
Don, I was wondering if you could answer this. I have heard that there is a data source that tells you the estimated opening of NYSE stocks before the open. Have you heard this? Thanks. — Sky123987
I’ve not heard of any particular site, but I can tell you what we use. We see premarket imbalances (excess shares) of opening-only orders, and NYSE specialists sometimes publish an estimated opening price range as well. We also look at the electronic communications network’s (ECN) trading levels, premarket. This helps considerably with our opening-only order strategy by allowing us to adjust bid and offer prices. We also calculate estimated opening stock prices based on fair value– adjusted futures trading ranges as well. We take the closing price of the Standard & Poor’s 500 spot price (SPX), add or subtract the fair value number (basically the cost of carry to expiration date, minus dividends), and then compare where this number related to the emini futures (CME/ Globex) premarket. Hope this helps!
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