老蛇和MFTHT关于SPX/ES的讨论

bucks

原帖再此：http://www.hutong9.net/forum.php ... p;extra=&page=2

觉得很不错，单独贴出来供大家讨论讨论

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老蛇： ES的图，老实说，比SPY的图要清楚，因为含有overnight session，我在考虑，以后可能short-term evil plan最好用ES

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MFTHT:

MM经常搞夜袭，ES更清楚些。尤其是当某一点同时位于ES和SPY的支撑或压力线上时，它的支撑或压力作用会出奇的强，成功率很高。

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老蛇：

哈哈，那还是说明SPY重要啊。因为ES的点，SPY不一定有，但是SPY的点，ES一定有。你这个结论只是说明regular trading hour比overnight重要。

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MFTHT:

美股市场是力量最强的，发现看4小时图做ES，入点一般集中在5:00, 9:00, 和13:00的蜡烛，其他时间的入点很少。

俺的浅显理解：
SPY（SPX）是比ES重要, 本身ES就是SPX的预期，SPX决定ES，但ES对SPX有很强的反作用。

MM很喜欢夜袭，只是利用巧实力在夜里完成高点或低点，真正的硬骨头——突破一般都是在白天完成的。
股价（股指）的运行可以看成箱体运动，但通道运动也很重要。而通道运动要求连续性，这是ES的优势。


有的时候，ES会有独特的视角，比如下面图中的红线，SPX看不太清楚。因为主要做期货，所以我交易时以ES的图为主，同时参考SPX.

第一次和蛇老大聊股票，班门弄斧，大家不要笑话俺。和大佬聊，才能进步。


(这根红线是5/2/2011和3/27/2012ES高点压力连线延长线被突破后的转化)

黄老泻

欧元一日不解体，夜袭一日不停止。

ctcld

S&P E-mini or S&P 500 Futures Contract Explained
The S&P E-mini is an index futures security, is traded worldwide, is a widely monitored benchmark of the US stock market performance, has low trade costs, broad market exposure, has a minimal bid-ask spread and can be profitably traded in either market direction.  Many professional traders trade the S&P E-mini since it's very widely traded meaning it's a quite liquid security. This security is traded electronically with very fast execution. The S&P E-mini futures is offered by CME Group and regulated by the Chicago Mercantile Exchange.
An index is a composite or group of securities bundled as one security.  In the S&P E-mini's case it's a bundle of Standard and Poor's benchmark of 500 large-cap stocks known for their liquidity, size and industry.  It's also a futures contract meaning that this security has a contract period lasting three months and then a new contract is created and traded.  Trading a futures contract allows the use of greater financial leverage relative to a typical ETF or group of stocks.

For qualified accounts with intraday day trading and a with broker margin one E-mini contract can be purchased for as low as $300-500. Those trading on margin should exit or close their position prior to the end of the trading day.  

The S&P E-mini is also 1/5 of the full S&P or larger institutional S&P contract, ticker symbol "SP", trading at $250 per point with 1/10 increments.  If, for example, the S&P 500 E-mini futures contract is trading at 1000 the contract controls $50,000 (as of September 2009).  Restated, with the purchase of one E-mini contract for $500 margin, a trader controls the equivalent of a basket of S&P index stocks worth $50,000.  (This "worth" value varies up and down with the gyrations of the S&P market.) Typical daily price range is about 15-20 points (60-80 ticks) or $750-1,000 per contract.  Of course, if price cycling occurs (or ratcheting movement) or if the day is volatile, overall price movement is greater.

One tick (or the minimal increment) is equal to $12.50.  For each point there are 4 ticks.  So a movement of 4 ticks * $12.50 per point is $50.00 profit/loss per point.  Total round-turn (in and out) trade costs (all costs) usually runs less than $5.00.

The contract rollover months are March (ESH), June (ESM), September (ESU) and December (ESZ) with each month having a symbol suffix value. The base S&P E-mini futures ticker symbol is "ES".  However, a continuous (or continuously quoted) S&P contract, TradeStation symbol "@ES", exists so traders can monitor price action over multiple contract periods.  Click here to view the CME Group's current S&P 500 E-mini calendar.

Trading occurs from Monday and Thursday 5:00 PM through 3:15 PM and from Sunday 5:00 PM Sunday through Monday 3:15 PM.  Conversely, weekdays from 3:16 PM to 4:59 PM the market is closed for system maintenance.  All time is Chicago time or Central time.

Competitive futures contracts are the DOW (symbol YM), the NASDAQ (symbol NQ) and the volatile Russell (symbol ER).  The New Era Trader S&P E-mini trading methodology can be used with these futures contracts but less effectively.

S&P-related Base Index Options Securities*

OEX - a weekly and monthly S&P 100 index option that can be exercised before its expiration date, CBOE
SP - S&P 500 futures options weekly and monthly expiration
XSP  - represents the S&P 500 index but at 1/10th the value
SPX - a monthly S&P 500 index option expiring monthly Thursday close, cash contract
XEO - same as the OEX except this option cannot be exercised until its expiration date.
SPY - monthly S&P 500 ETF 1/10th size of S&P futures contract
*These are dollar denominated securities; Euro-based S&P securities are also available.

S&P TradeStation Charting Symbols (All are CME)
@SP.P - S&P 500 Continuous Full Contract
@ES.D - S&P 500 E-mini Continuous Contract
$SPX.X - S&P 500 Cash Index Daily

yitong

to MFTHT:

You said "发现看4小时图做ES，入点一般集中在5:00, 9:00, 和13:00的蜡烛，其他时间的入点很少".  Is the time eastern time or pacific time? Thanks

MFTHT

yitong 发表于 2012-10-4 05:29 PM
to MFTHT:

You said "发现看4小时图做ES，入点一般集中在5:00, 9:00, 和13:00的蜡烛，其他时间的入点很少 ...

Eastern time.