Session range share: currency futures versus the mini index

A familiar target is not a default venue

Editorial reading: treat a round daily point target on a familiar index as an execution filter, not as a reason to sit in that venue by default. Convert the objective into a share of that instrument’s typical session range, then sit only in the clock windows that historically printed enough auction for the order size to be feasible.

The archive records the October 2009 comparison of mini S&P daily movement with currency futures on a mini-S&P-equivalent scale, then maps two-hour euro ranges against a session clock. Those steps are the historical workflow. They are not a live venue recommendation.

The same point target as a share of the daily range

In October 2009 the mini S&P averaged 19.27 points of daily movement, so a five-point daily objective was about 26 percent of that average range. Across 22 October 2009 sessions the mini S&P exceeded 30 points on two days and stayed under 20 points on 12 days.

Australian dollar futures averaged 142.09 points a day, stated as 28.42 mini-S&P-equivalent points, so a five-point mini-S&P-equivalent objective was about 17.5 percent of that average. In the same October sample the Australian dollar posted 10 days of 150-plus points and seven days under 100 points, versus two large days and 12 slow days in the mini S&P.

Among the other currency futures, euro and yen had the largest October average daily movement in mini-S&P-equivalent points, at 33.22 and 31.13. When those averages exceeded 30 mini-S&P-equivalent points, a three-point daily objective was framed as about 10 percent of that average movement.

How often the range printed

Counted in mini-S&P-equivalent points, day counts above 30 versus under 20 were ES 2/12, British pound 5/10, Canadian dollar 8/3, euro 12/1, Swiss franc 1/3, and Japanese yen 10/3.

Editorial reading: a contract whose typical day already covers the objective still has to show that range often enough for the order to be completed. The October counts separate contracts that printed large equivalent days from those that spent most of the sample under 20 equivalent points.

Sit in the clocks that historically printed the auction

The session map used for the case marked Frankfurt 2:00-10:00 am ET, London 3:00-11:00 am ET, New York 8:00 am-4:00 pm ET, Sydney 4:00 am-noon ET, and Tokyo 6:00 pm-2:00 am ET.

For October 2009 euro two-hour windows, the largest average ranges were 11 am-1 pm ET at 108.59 and 8-10 am ET at 107.27. Neither window was identified as a market-open session.

Over October 2008-October 2009, the euro’s highest average 120-minute ranges were 10:00 am-noon, noon-2:00 pm, and 4:00-6:00 am. Each post-open 120-minute window exceeded its corresponding opening period.

Editorial reading: after the objective is restated as a share of typical range, the remaining filter is the clock. The archive’s euro map kept the larger average two-hour ranges in overlapping session hours, including windows that were not the open.