Update: Euro futures price action

As promised, I updated my analysis of the Euro futures work I performed over the weekend to include a rolling analysis of price action changes. As discussed in my prior post: Euro Futures Analysis: October 2015, my original price action analysis only looked at the first and last trade of each hour, and ignored all other trades that took place within the hour. This new rolling analysis examines each trading minute’s hour-over-hour price change (close – open) for every trading day in October 2015.

This first chart averages each minute’s hour-over-hour price change for every trading day in October 2015 to model how the hour-over-hour price change shifts over the course of the trading day.

[The hour-over-hour price change for the 800 minute is calculated as the close at 800 – the open at 801. Remember, this graph depicts shifts between rates of change, not price levels. So areas shaded green represent periods of positive price changes, and red represents periods of negative price changes.]

6erolling min

Broader trends are more easily apparent in the hourly chart. [In the hourly chart, 800 on the X-axis corresponds to the average hour-over-hour price change for every minute during the eight o’clock hour (800 to 859).] 

The pattern that emerges is closely in line with the results of my prior analyses. Broadly speaking:

  • 4:00am until 9:59am: overnight trend reverses, EUR moves lower and rate of price declines accelerates
  • 10:00am until 10:59am: trend reverse to the highest positive price changes for day, EUR moves higher
  • 11:00am until 3:59pm: trend reverses to the lowest negative price changes for day, EUR moves lower
  • 4:00pm until 3:59am: trend reverses, EUR moves higher overnight

6erolling hourlyThe takeaway from this analysis for a Euro bear is straightforward: 

  1. Cover shorts/take profits during the 3pm hour
  2. Expect positive price moves after-hours from 4pm to 4am
  3. Look to add exposure opportunistically overnight, ahead of 4am
  4. Cover shorts/take profits ahead of 10am, around 9:45am
  5. Look to add exposure during the 10-11am hours, ahead of 11:15am

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