A Micro Look at Moves in the S&P 500 E-Mini Futures (ES) Market

I went back to the start of March and examined one-minute data for the S&P 500 e-mini futures index (ES) to see if moves over the next three minutes of trade were affected by the prior three minutes NYSE TICK value.

I took a three-minute moving average of TICK to identify periods in which there was concentrated buying and selling; the moving average included high, low, and closing TICK values.

When the three minute average TICK was greater than 300, the average high price of ES over the next three minutes exceeded the average low price by about seven tenths of a tick. When the three minute average TICK was less than -500, the average high price of ES over the next three minutes exceeded the average low price by about half a tick. When TICK fell between +300 and -500, there was no difference in price expectations over the next three minutes.

These are very small edges and would require exquisite execution capability to exploit. It does seem, however, that essentially all of the market's rally has come when there has been either concerted buying or selling. The former has led to short term follow through in momentum; the latter has led to short term reversal.
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