06/15/12 session playback at 600x speed

Playback of the OMXS30 index futures session 06/15/12 at 600 times speed (510 minutes as 51 seconds). Red vertical line (middle left) and turquoise profile (right) represents volume traded since 06/07/12. Red streamer profile (right) represents volume traded since 05/16/12. Light blue vertical line (middle) and multi coloured profile (right) represents volume traded since 09/23/11 (last swing low). Lower panes marked VB (volume breakdown) represents the bid/ask transaction ratio (Delta). This is a rare session since the range traded the first hour (In Balance) held for the whole session which only occured 3 out of 205 trading days during the period 08/18/11-06/08/12 (Chart by Investor/RT, Linn Software, Inc. www.linnsoft.com).

Simple IB breakout study

IB High Breakout Only = 35.6%, 

IB Low Breakout Only = 29.8%, 

Breakout to Both Sides = 33.2%, 

No Breakout = 1.5% 

(205 days ending 06/08/12)

Simple gap study

how often gap (1 pt or more) filled when opening in previous day range - 40/65 (.615)
(205 days studied - 08/18/11 -- 06/08/12)
 - when opening out of range
 - when opening above an up days range (up day defined as close greater than open) - 20/36 (.556)
 - when opening below an up days range - 1/1
 - when opening above a down days range - 2/4
 - when opening below a down days range - 17/26 (.654)

Contracts available on eSignal Extended Intraday History

OMXS30 V2008-OMF
OMXS30 X2008-OMF
OMXS30 Z2008-OMF
OMXS30 F2009-OMF
OMXS30 G2009-OMF
OMXS30 H2009-OMF
OMXS30 J2009-OMF
OMXS30 K2009-OMF
OMXS30 M2009-OMF
OMXS30 N2009-OMF
OMXS30 Q2009-OMF
OMXS30 U2009-OMF
OMXS30 V2009-OMF
OMXS30 X2009-OMF
OMXS30 Z2009-OMF
OMXS30 F2010-OMF
OMXS30 G2010-OMF
OMXS30 H2010-OMF
OMXS30 J2010-OMF
OMXS30 K2010-OMF
OMXS30 M2010-OMF
OMXS30 N2010-OMF
OMXS30 Q2010-OMF
OMXS30 U2010-OMF
OMXS30 V2010-OMF
OMXS30 X2010-OMF
OMXS30 Z2010-OMF
OMXS30 F2011-OMF
OMXS30 G2011-OMF
OMXS30 H2011-OMF
OMXS30 J2011-OMF
OMXS30 K2011-OMF
OMXS30 M2011-OMF
OMXS30 N2011-OMF
OMXS30 Q2011-OMF
OMXS30 U2011-OMF
OMXS30 V2011-OMF
OMXS30 X2011-OMF
OMXS30 Z2011-OMF
OMXS30 F2012-OMF
OMXS30 G2012-OMF
OMXS30 H2012-OMF
OMXS30 J2012-OMF
OMXS30 K2012-OMF
OMXS30 M2012-OMF
OMXS30 N2012-OMF
OMXS30 Q2012-OMF
OMXS30 U2012-OMF
OMXS30 V2-OMF (current)

Split Ratios for Calendar Spread Gaps (09/14/2011 -- 06/13/2012)

Date/Time (CET)                     Price (Old Contract) Price (New Contract)

09/14/2011 17:30                        886.25                886.50

10/19/2011 17:30                        942.75                944.00

11/16/2011 17:30                        960.50                961.50

12/14/2011 17:30                        940.50                942.00

01/18/2012 17:30                        1026.50              1011.00

02/15/2012 17:30                        1066.25              1084.50

03/14/2012 17:30                        1116.50              1098.50

04/18/2012 17:30                        1036.00              1018.50

05/16/2012 17:30                        988.75                990.25
06/13/2012 17:30                        976.75                978.00
07/13/2012 17:30                        976.75                978.00 
06/18/2012 17:30                        1032.00                1034.00
** Closing prices two calendar days (Wednesday) before expiration day (third Friday of month)