CME US Equity Index: OVERNIGHT HOURS PRICE LIMITS 5% and 7%
Getting ready for the volatility through the remainder of 2020. I have amended my #ArbitraryPricePivot tool with a Version 4 by adding in the 5% and 7% limits the #CME gave notification of implementing October 12th. So the normal hard limit of 5% (which is anchored on the #vwap price of basically 4pm EST) is being expanded to 7%. Hello volatility!!!
This indicator has all the same deviations and background highlights from the prior version which are based on the idea of price normally finding the Gaussian limits of 3% to be an extreme, then I added multiples based on those limits, hence the 3.09%^2=6.18%, 3.09%^3=9.27%deviation levels etc etc. Obviously meant for large time frame analysis like Monthly or Quarterly. They are On as default and will need to be toggled Off by unchecking them in order to highlight just the CME Hard Limits 5-7% zone.
CME has two greater Hard Limits of 13 and 20%. I did not add those as hopefully they won't be necessary!!!
You will see a black pivot level which is technically the daily closing value of the vwap. There is technically a minor difference between the 4pm vwap value and the 6pm vwap value. But its normally immaterial or often the same value. Going back to the volatility era in the first quarter of 2020 and you'll see the zones at work.
This indicator has all the same deviations and background highlights from the prior version which are based on the idea of price normally finding the Gaussian limits of 3% to be an extreme, then I added multiples based on those limits, hence the 3.09%^2=6.18%, 3.09%^3=9.27%deviation levels etc etc. Obviously meant for large time frame analysis like Monthly or Quarterly. They are On as default and will need to be toggled Off by unchecking them in order to highlight just the CME Hard Limits 5-7% zone.
CME has two greater Hard Limits of 13 and 20%. I did not add those as hopefully they won't be necessary!!!
You will see a black pivot level which is technically the daily closing value of the vwap. There is technically a minor difference between the 4pm vwap value and the 6pm vwap value. But its normally immaterial or often the same value. Going back to the volatility era in the first quarter of 2020 and you'll see the zones at work.