0:01 And I believe this will be helpful to
0:03 any new traders who want to trade
0:05 futures products. Um understand the
0:07 landscape of each futures product, how
0:09 each futures product behaves differently
0:11 and uh so they have some more context
0:13 when they go and place trades, whether
0:15 it's putting their stop losses in, take
0:17 profits or putting a wing in or
0:19 something like that. So studying daily
0:21 ranges will give you context. And so
0:23 that's the uh the goal for this market
0:25 measure today.
0:27 >> Uh we like it.
0:29 All righty. So let's do it. intraday
0:31 scalping zones. And and by the way,
0:34 we'll we'll we'll be your harshest
0:36 critic on this one, just so you know. Um
0:38 because because when it comes to inday
0:40 scalping zones, that's kind of like um
0:43 this is kind of like something that
0:45 we've been talking about for literally
0:48 for years. So um hang on one second. Let
0:53 me get There you go. All right. So
0:55 we used to do it as a measure of kind of
0:57 whatever the expected move was for the
0:59 day. So like let's just say 1/ half a
1:00 standard deviation to one and a half
1:01 standard deviations. Let's think about
1:04 that way. But we haven't really done a
1:05 lot of work on intraday scalping zones
1:08 for quite some time now. So I think this
1:10 is going to be really cool. Um
1:12 >> and it's also interesting Thomas as
1:15 you're doing this now when
1:18 we're seeing a lot of two-sided markets.
1:21 Um had a massive rally for the past 6
1:24 months. Now it's getting choppy and
1:26 there's a lot of whatever your take is
1:28 on the market or whatever, there are
1:31 some opportunities uh right now that I
1:32 think we haven't seen in a while.
1:34 >> And you're talking to somebody that I
1:35 don't know if you know this, but I grew
1:37 up in this business as a scalper. First
1:38 20 years of my career, I just stood in
1:40 the pit and scalped and like everybody
1:43 else did. So this is kind of my this
1:45 whole scalping thing. I want to cover it
1:47 more, but we haven't on the network.
1:49 Tony was a scalper, too. So let's do
1:51 this. Inday traders rely on speed,
1:54 intuition, and often guesswork. But how
1:56 far do prices really move on these days?
1:58 We analyzed intraday ranges to define
2:01 realistic scalping zones.
2:05 All right, let's go next slide, John.
2:07 Um, so scalping zones are based on
2:10 intraday price ranges from 8:30 to 3:00
2:13 p.m. It's central time. For each symbol,
2:15 we measured the 50th percentile, the
2:18 75th percentile, the 95th percentile,
2:22 and the daily range. Okay.
2:23 >> Yeah. These are the three things I
2:26 decided to use. The 50th percentile
2:27 being like a base case, the 75th
2:29 percentile being some sort of stretch,
2:31 then 95th percentile being some sort of
2:33 outlier or extreme move in the market. I
2:35 also made sure to add a formula at the
2:37 end that kind of shows how I uh
2:38 calculated the daily range as a
2:41 percentage of the open price. So today
2:42 we'd be way outside of this.
2:43 >> That is correct.
2:47 >> Okay, let's go. Next slide.
2:51 So we pulled one minute. OLC is open,
2:55 high, low, close data. We analyze the
2:59 ES, the NASDAQ, and the Russell. Use the
3:00 futures, but it doesn't make a
3:03 difference. Crude oil, gold, silver,
3:05 Bitcoin, and ETH, and the last 12 months.
3:06 months.
3:07 >> That is correct. Yeah. I used it doing I
3:09 used our Jupyter notebooks that we use
3:11 internally for our research for other
3:12 research projects. So I wanted to
3:14 include a snippet just to kind of show
3:15 the viewers kind of what we do in the
3:18 background and kind of how we pull data.
3:20 >> Good little glimpse into the
3:21 >> little glimpse of course. Yeah, I like
3:27 >> All right.
3:28 >> All right, go ahead. I'll let you take it.
3:28 it.
3:30 >> Sure. Yeah, this first plot I I made it
3:31 a little bit more complicated than it
3:32 probably should have been, but let's
3:34 talk about box plots. So what we're
3:36 looking at here that colored in zone is
3:38 an interquartile range. So it's between
3:40 the 75th percentile and the 25th
3:43 percentile range. So right now as you
3:44 can see that red line that is the 95th
3:46 percentile range. That is the outlier
3:48 moves. The orange being the 75th
3:49 percentile and the 50th being the
3:52 median. And so as you can see when we
3:54 look at the first three box plots those
3:56 are the indices they trade at a very
3:59 small the in the IQR the interquartile
4:02 quartile range is much is sh it's lower.
4:05 It's it's not as wide. So those are good
4:06 uh futures products I would recommend
4:08 for small and consistent scalps. And
4:10 then when we look at commodities, you
4:12 kind of get also that small range, but
4:17 not exactly with the CL, but they offer
4:20 some more movement with still a good
4:21 amount of liquidity and volume in those
4:23 in those products. And then we're
4:25 looking at Bitcoin and Ethereum at the
4:27 end, the last two where they see massive
4:30 moves. even their 50% I mean their 50th
4:32 percentile moves the base case is much
4:36 higher than ES's or the S&P 500 futures
4:38 uh 95th percentile move and so those
4:40 would be products I would definitely
4:42 want to position smaller in and uh
4:44 definitely don't have as much volume as
4:45 the the indices
4:47 >> yeah and the markets aren't nearly as tight
4:47 tight
4:49 >> they're not as
4:51 >> what I want to what I want to add here
4:53 is box plots have been around for a
4:57 while but what you see here is a good
5:00 intuitive ative explanation of what they
5:02 represent. So if you've been trading for
5:05 a while, of course ES and NASDAQ equity
5:07 indices a little less volatile than
5:10 something like Bitcoin or Ethereum.
5:13 Okay? And what Thomas has done is shown
5:16 much wider ranges, wider boxes for the
5:19 more volatile things. That's what a box
5:21 plot shows you. Well, literally
5:24 visually. Okay? So you can see here
5:27 obviously crude oil is more volatile
5:30 than gold. Bitcoin is more volatile than
5:34 crude oil etc etc
5:35 let's take a look at the next slide. Sure.
5:37 Sure.
5:40 >> So crypto has the widest intraday
5:42 swings. I don't think that would
5:44 surprise us. Commodities offer solid
5:46 movement and the equity indexes are more
5:49 stable which favors
5:52 scaling in and out with with precision.
5:53 I think an easier way to describe that
5:55 would be I would increase the size of my
5:58 positions if I'm scaling I'm scalping in
6:00 equity indexes compared to cryptocurrency.
6:01 cryptocurrency.
6:03 >> Okay. I that's that's an absolute
6:06 no-brainer. I think that that when it
6:07 comes to scalping, you got to realize
6:09 that 90
6:12 98% of all scalping is done in the ES. I
6:15 mean, some people will scout NASDAQ and
6:17 there are a few firms that will, you
6:18 know, they they'll make markets in
6:20 crypto, so they'll scalp it. There's
6:21 also some market makers that will scalp
6:25 like you know bonds and and some
6:26 customers scalp bonds and crude oil but
6:29 for the most part the equity index
6:32 indices specifically the ES sometimes
6:34 the NASDAQ but specifically the ES are
6:37 the primary vehicle
6:40 let's go next slide
6:43 so the NQ offers the richest daily range
6:45 which I don't think that would surprise
6:48 anybody um the E the ES is usually the
6:51 the ratio ES to NASDAQ is usually
6:53 depending on where we are, you can do it
6:56 3:2 or 2:1. The Russell is more like
6:58 5:2. So, if you're if you're just
7:00 thinking of what the what the ratios
7:04 are, um the Russell ranges are modest
7:06 but consistent. I think that's fair. The
7:09 ES remains steady near $70 per day. Um
7:12 it's 70 handles per day. And yeah, I
7:14 think it's a that's an average.
7:17 >> Scratch, but you you went back to the
7:18 beginning of the year for that average,
7:19 right? that has started. Yeah, the last
7:19 12 months,
7:21 >> right? Last 12 months because right now
7:22 it's a little less than that. Right now
7:26 we've been in the like 60 range. Um
7:34 So volatility peaks in April likely due
7:38 to earnings or macro catalysts. I mean
7:40 this year it was all the tariff stuff
7:43 but after spikes after spikes movements
7:46 tend to compress. Yes. and can use this
7:48 to adjust trade size and expectations
7:51 monthtomonth. Um, yeah, I mean,
7:53 sometimes April's a nothing month. This
7:57 year it happened to be crazy. Uh, but I
7:58 think that's all pretty fair. I mean,
7:59 that's exactly
8:02 >> just to confirm just to confirm some of
8:04 the data here. What you also saw was a
8:07 spike in the VIX right in April because
8:08 like you said with the DAFFs and all
8:11 that jazz and the point is market
8:14 movements and volatility implied
8:17 volatilities are very closely related.
8:21 They're not 100% correlated, but yeah,
8:23 you saw just like we saw a spike in the
8:26 VIX in April, we also saw a spike in the
8:29 scalping ranges
8:31 >> and that mean reversion also is shown
8:33 here as well with that compression after
8:34 that big spike in April. >> Yep.
8:35 >> Yep.
8:39 >> Let's go next slide.
8:41 >> So using scalping zones to structure
8:43 trades. So this I'm curious about. So
8:44 take us through this.
8:45 >> Sure. So let's talk about when the
8:48 markets are in a base CA. I mean that
8:49 particular day of trading is a normal
8:51 choppy day. It's a base case. What I
8:53 recommend or a use case for those days
8:55 would be to fade extreme movements,
8:57 scalp the scalp the reversals and make
9:00 your targets tighter.
9:02 Anything you want to add to that for
9:03 that first case?
9:05 >> So the the 50th percentile just means if
9:09 the expected move is let's say $60, your
9:12 your base case is a $30 handle move. And
9:14 yeah, it'd be 50% of the average
9:16 >> 50%. So fade extremes. Well, that's what
9:18 we are. We're contrarians scalp
9:20 reversals. I mean, that's the same
9:22 thing. It's the contrarian play and the
9:24 tighter targets. I I would totally agree
9:24 with that.
9:25 >> Great. All right. Then the next case
9:28 would be the 75th percentile. So let's
9:30 just say we're in a trending market
9:32 stretching. Um the use case in that
9:34 situation would be to lean into a trend,
9:37 use wider targets, and trail your stops.
9:41 When you say lean into a trend,
9:43 you mean what?
9:47 >> What I mean by leaning into a trend is to
9:47 to
9:49 >> Are you fading that trend or are you
9:50 buying that trend?
9:51 >> I'm buying the trend.
9:53 >> Okay. Cuz we would be we would still be
9:55 fading the trend.
9:58 >> So you'd be so leading into a trend it
10:00 you you in other words on a down day
10:02 today you'd be shorting this down move.
10:04 you would be because this is outside the
10:06 range today because today we're in the
10:09 extreme case. But right if we're inside
10:13 of we're inside of kind of a normal um
10:15 move for the day, we're usually on the
10:17 contrarian side. That's what we that's
10:18 what I think of when I say lean into a
10:21 trend. I agree with the wider targets
10:22 because if you're if you're moving more,
10:24 you want to wide the targets a little bit.
10:24 bit.
10:29 >> Um the trailing stops for us are mental.
10:30 They're not hard stops. They're not
10:32 they're not orders that are resting.
10:33 They're just mental stops. >> Sure.
10:33 >> Sure. >> Okay.
10:34 >> Okay.
10:36 >> And then yeah, for the 95th percentile
10:38 or the extreme market condition or
10:40 outlier breakouts, the use case would be
10:42 to widen your stops and avoid early exits.
10:44 exits.
10:45 >> Yeah. And that's where we that's where
10:47 we stop fading. So the difference for me
10:49 is when you get an extreme move like
10:52 today, I'm less likely to fade it
10:55 intraday. So for a scalp today, normally
10:57 if we were down, let's say 30 handles, I
11:00 would get long. If we're down 50
11:02 handles, I'd still get long. >> Okay.
11:02 >> Okay.
11:04 >> But if we're down 100 handles, I'd get
11:06 short. You know, that seems kind of
11:08 weird, but big moves outside of the
11:10 normal range have a very I feel like
11:12 they have a smaller chance of intraday
11:13 reversal. So, I feel like it's a better
11:15 play to be on the same side of the
11:17 market than to a reversal.
11:18 >> Yeah. Like another way to put it is
11:20 anything within the IQR, the
11:21 interquartile range. Yes.
11:23 >> Fade the scalp
11:25 >> or fade fade the reversal.
11:26 >> That That's what I would do.
11:28 >> Yeah. I don't know about you TV, but
11:31 that's my two cents.
11:35 Um, so next slide.
11:36 What do you got here?
11:38 >> All right. So, you have some
11:40 implications. I added like a bonus
11:42 graphic, a volatility radar. If you look
11:44 at the first three on the on the like
11:46 top from the beginning to the right or
11:50 the first subset of a of a graph, you
11:51 have the indices and you can see that
11:53 their range is very short. They're small
11:56 1.4, 1.8, and 2.2 respectively. Then you
11:58 go to the commodities you have some
12:00 inconsistencies but much greater range.
12:01 And then when you go to the
12:04 cryptocurrency the ETH and the BTC you
12:06 can see that those uh that 68 the
12:08 standard deviation of the daily range is
12:10 much greater. So what are some
12:12 implications from this? You can avoid
12:14 overtrading by anchoring trades to an
12:17 expected range. You can adjust sizing by
12:19 symbols. So do not treat the ES and the
12:22 BTC the same. And don't chase. Know when
12:23 you're in a typical day versus an
12:26 outlier day like today.
12:28 Well, I think one of the really good
12:30 takeaways of this is the don't chase
12:32 rule because what I've learned over the
12:35 years is if you miss it, you miss it.
12:36 Don't chase. >> Yeah.
12:36 >> Yeah.
12:40 >> Um and it's it's easier said than done
12:41 to know when you're in a when you're in
12:43 a typical day versus an outlier day
12:44 because you really don't know. I mean,
12:46 today they were they were kind enough
12:48 early on to give you an outlier day so
12:51 you didn't have to guess, but normally
12:53 it's much harder than that. But the
12:56 don't chase rule is really important.
12:59 >> So the the two things I' I' I'd say
13:00 about this, the nice thing about when
13:02 you're talking about adjusting size,
13:04 what you can do when you're doing this
13:08 at home is the size of the contract and
13:10 the buying power requirements sort of
13:13 even them out so you can see, okay, how
13:15 much does it cost? What's the capital
13:18 requirement to buy an ES versus buying
13:21 BTC, for example?
13:23 you factor in the capital requirements
13:25 and you factor in the volatility and
13:27 that starts to give you a solid number
13:32 of okay I'll buy you know
13:35 five worth of ES and only one worth of
13:38 Bitcoin for example whatever the capital
13:41 is so that's the sort of thing that the
13:43 the way I would do this is look at the
13:45 capital requirements and try to have
13:49 them balanced as far as don't chase one
13:50 of the things that I like to tell people
13:54 is money doesn't care. Your net lick,
13:56 your bank account doesn't really care
14:00 where what symbol it came from. If if
14:02 it's not if you if it's not working out
14:05 in ES or Bitcoin or whatever, don't
14:07 hesitate to look to another product. We
14:09 are product indifferent. Thomas looked
14:13 at seven symbols, awesome symbols, very
14:15 highly traded. But if they're not
14:17 working for you on a particular day,
14:19 either don't think about don't worry
14:21 about taking a day off or go look at
14:24 some other products.
14:32 So key takeaways, each future symbol has
14:33 its own personality. I completely agree
14:36 with that. ES titan tame BTC wild and
14:39 tame. Now just to be fair, nobody really
14:41 trades BTC futures. I I just want to be
14:43 really clear about this. they they
14:46 they're they're a massive contract. So,
14:49 um you know, BTC futures are let's see
14:52 right now they're they're they're
14:56 $500 and there's $600,000 a contract,
14:58 right? It's a lot, right? There's
15:00 $600,000 a contract in notional, but you
15:02 have to put up like over 40% of that.
15:04 So, you're talking about like $250,000
15:06 just to trade a Bitcoin future.
15:09 >> It's it's $232,000
15:12 to buy one of those futures versus
15:14 And and just so you know, only 7,000
15:17 have traded today. So we don't really
15:19 nobody scalps Bitcoin futures. You
15:21 wanted scalping products, you'd scalp
15:24 ES, you'd scalp ZN, you'd scalp NQ, you
15:27 could scalp CL, but those are the if
15:29 you're trading futures, MEES, MNQ, that
15:32 kind of stuff.
15:36 >> 23,000. Bitcoin futures are 10 times the
15:37 requirement of ES.
15:40 >> Yeah, that's the other problem. Yep. Um
15:42 percentiles help define risk adjust risk
15:44 adjusted trade expectations.
15:46 >> So you can't know if a 95th percentile
15:49 day is coming. That's accurate. But when
15:51 price is already there, you know the
15:54 odds of further extensions are low. I
15:55 agree. We're there today. We've already
15:57 seen that happen. Understanding the
16:00 intraday range uh understanding the
16:01 range of intraday moves can benefit
16:04 traders who are looking to scalp or fade
16:06 large moves. Like I said earlier, we're
16:09 we're we will fade half a standard
16:11 deviation, 3/4 of a standard deviation,
16:13 but once we get outside of a standard
16:15 deviation, and you're up till you're 95,
16:18 100%. We're done. We're not fading
16:19 anymore. We're not We can still trade
16:21 it, but we're not fading.
16:23 >> Yeah. And I just think that adding more
16:24 context for traders, especially new
16:27 traders, and adding more filtering when
16:30 you want to execute a trade, I think it
16:31 results in better trading and better
16:34 results. More filter. I think I think
16:36 this is a great presentation and what I
16:38 would suggest is go back to the you know
16:40 go back to Tasty Live website, go to
16:43 this market measure, load up the slides
16:45 and have those
16:49 box plots and that bar graph that Thomas
16:51 created. Just have that up and running.
16:53 If you're going to try and if if you
16:55 don't have the trading experience to
16:57 kind of intuitively understand NASDAQ
17:00 versus ES versus Russell versus Bitcoin,
17:03 have that data in front of you. It is
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