❆ ▼❛r❦❡t ❉❡s✐❣♥ P❡rs♣❡❝t✐✈❡ ♦♥ t❤❡ ❍❋❚ ❉❡❜❛t❡✿ ❚❤❡ ❈❛s❡ ❢♦r ❋r❡q✉❡♥t ❇❛t❝❤ ❆✉❝t✐♦♥s ❊r✐❝ ❇✉❞✐s❤✱ ❯♥✐✈❡rs✐t② ♦❢ ❈❤✐❝❛❣♦ ❋❈❆✴▲❙❊ ❈♦♥❢❡r❡♥❝❡ ♦♥ ❋✐♥❛♥❝✐❛❧ ❘❡❣✉❧❛t✐♦♥ ❋❡❜ ✷✵✶✻
❆ ❙✐♠♣❧❡ ■❞❡❛✿ ❉✐s❝r❡t❡✲❚✐♠❡ ❚r❛❞✐♥❣ ◮ ▼② r❡s❡❛r❝❤ ✐❞❡♥t✐✜❡s ❛ s✐♠♣❧❡ str✉❝t✉r❛❧ ✢❛✇ ✐♥ t❤❡ ❞❡s✐❣♥ ♦❢ ♠♦❞❡r♥ ✜♥❛♥❝✐❛❧ ❡①❝❤❛♥❣❡s ◮ ❍❋❚ ❤❛s ❜♦t❤ ♣♦s✐t✐✈❡ ❛♥❞ ♥❡❣❛t✐✈❡ ❛s♣❡❝ts ✕ ♠❛♥② ♦❢ t❤❡ ♥❡❣❛t✐✈❡ ❛s♣❡❝ts ❛r❡ s②♠♣t♦♠s ♦❢ t❤✐s str✉❝t✉r❛❧ ✢❛✇ ◮ ❚❤❡ ✢❛✇ ✐s t❤❛t tr❛❞✐♥❣ ♦❝❝✉rs ✐♥ ✏❝♦♥t✐♥✉♦✉s t✐♠❡✑ ◮ ❖r❞❡rs ♣r♦❝❡ss❡❞ ♦♥❡✲❛t✲❛✲t✐♠❡ ✐♥ ♦r❞❡r ♦❢ r❡❝❡✐♣t ✭s❡r✐❛❧✮ ◮ ■♥ ❛ r❛❝❡✱ s♦♠❡♦♥❡ ✐s ❛❧✇❛②s ✜rst ✭❡✈❡♥ ✐❢ ❜② ❛ ♥❛♥♦s❡❝♦♥❞✮ ◮ ❙♦❧✉t✐♦♥✿ tr❛❞❡ ✐♥ ✏❞✐s❝r❡t❡ t✐♠❡✑ ◮ ❚✐♠❡ ✐♥ ✉♥✐ts ♦❢ ❡✳❣✳ ✶✵✵♠s ♦r ✶✵♠s✳ ✭✈❡r② ❢❛st✱ ❜✉t ❛ ❧♦♥❣ t✐♠❡ ❢♦r ❛ ❝♦♠♣✉t❡r✮ ◮ ❖r❞❡rs ♣r♦❝❡sss❡❞ ❛❧❧✲❛t✲♦♥❝❡ ❛t ❡♥❞ ♦❢ t✐♠❡ ✐♥t❡r✈❛❧✱ ✉s✐♥❣ ❛♥ ❛✉❝t✐♦♥ ✭❜❛t❝❤ ♣r♦❝❡ss✐♥❣✮ ◮ ❇❡♥❡✜ts ♦❢ ❞✐s❝r❡t❡✲t✐♠❡ tr❛❞✐♥❣✱ ❛❦❛ ✏❢r❡q✉❡♥t ❜❛t❝❤ ❛✉❝t✐♦♥s✑ ◮ ❊♥❤❛♥❝❡s ❧✐q✉✐❞✐t②✿ ❝♦♠♣❡t✐t✐♦♥ ♦♥ s♣❡❡❞ ✲❃ ♣r✐❝❡ ◮ ❊❧✐♠✐♥❛t❡s ❧❛t❡♥❝② ❛r❜✐tr❛❣❡✳ ❙t♦♣s t❤❡ ❧❛t❡♥❝② ❛r♠s r❛❝❡ ◮ ❙✐♠♣❧✐✜❡s t❤❡ ♠❛r❦❡t ❝♦♠♣✉t❛t✐♦♥❛❧❧② ✕ ❢♦r ❡①❝❤❛♥❣❡s✱ r❡❣✉❧❛t♦rs✱ ❛❧❣♦s✱ ✐♥✈❡st♦rs ✭❙♦✉r❝❡✿ ❇✉❞✐s❤✱ ❈r❛♠t♦♥ ❛♥❞ ❙❤✐♠✱ ✷✵✶✺✱ ◗✉❛rt❡r❧② ❏♦✉r♥❛❧ ♦❢ ❊❝♦♥♦♠✐❝s ✮
❚❤❡ ❈❛s❡ ❢♦r ❋r❡q✉❡♥t ❇❛t❝❤ ❆✉❝t✐♦♥s ❆ s✐♠♣❧❡ ✐❞❡❛✿ ❞✐s❝r❡t❡✲t✐♠❡ tr❛❞✐♥❣✳ ✶✳ ❊♠♣✐r✐❝❛❧ ❢❛❝ts✿ ❝♦♥t✐♥✉♦✉s ♠❛r❦❡ts ❞♦♥✬t ✏✇♦r❦✑ ✐♥ ❝♦♥t✐♥✉♦✉s t✐♠❡ ◮ ▼❛r❦❡t ❝♦rr❡❧❛t✐♦♥s ❝♦♠♣❧❡t❡❧② ❜r❡❛❦ ❞♦✇♥✳ ◮ ❋r❡q✉❡♥t ♠❡❝❤❛♥✐❝❛❧ ❛r❜✐tr❛❣❡ ♦♣♣♦rt✉♥✐t✐❡s✳ ◮ ▼❡❝❤❛♥✐❝❛❧ ❛r❜s ✕❃ ❛r♠s r❛❝❡✳ ❆r♠s r❛❝❡ ❞♦❡s ♥♦t ❝♦♠♣❡t❡ ❛✇❛② t❤❡ ❛r❜s✱ ❧♦♦❦s ❧✐❦❡ ❛ ✏❝♦♥st❛♥t✑✳ ✷✳ ❘♦♦t ✢❛✇✿ ❝♦♥t✐♥✉♦✉s✲t✐♠❡ tr❛❞✐♥❣ ◮ ▼❡❝❤❛♥✐❝❛❧ ❛r❜s ❛r❡ ✏❜✉✐❧t ✐♥✑ t♦ t❤❡ ♠❛r❦❡t ❞❡s✐❣♥✳ ❙♥✐♣✐♥❣✳ ◮ ❍❛r♠s ❧✐q✉✐❞✐t②✳ ◮ ■♥❞✉❝❡s ❛ ♥❡✈❡r✲❡♥❞✐♥❣✱ s♦❝✐❛❧❧② ✇❛st❡❢✉❧✱ ❛r♠s r❛❝❡ ❢♦r s♣❡❡❞✳ ✸✳ ❙♦❧✉t✐♦♥✿ ❢r❡q✉❡♥t ❜❛t❝❤ ❛✉❝t✐♦♥s ◮ ❈♦♠♣❡t✐t✐♦♥ ♦♥ s♣❡❡❞ ✕❃ ❝♦♠♣❡t✐t✐♦♥ ♦♥ ♣r✐❝❡✳ ◮ ❊♥❤❛♥❝❡s ❧✐q✉✐❞✐t② ❛♥❞ st♦♣s t❤❡ ❛r♠s r❛❝❡✳ ◮ ❙✐♠♣❧✐✜❡s t❤❡ ♠❛r❦❡t ❝♦♠♣✉t❛t✐♦♥❛❧❧②
❚❤❡ ❈❛s❡ ❢♦r ❋r❡q✉❡♥t ❇❛t❝❤ ❆✉❝t✐♦♥s ❆ s✐♠♣❧❡ ✐❞❡❛✿ ❞✐s❝r❡t❡✲t✐♠❡ tr❛❞✐♥❣✳ ✶✳ ❊♠♣✐r✐❝❛❧ ❢❛❝ts✿ ❝♦♥t✐♥✉♦✉s ♠❛r❦❡ts ❞♦♥✬t ✏✇♦r❦✑ ✐♥ ❝♦♥t✐♥✉♦✉s t✐♠❡ ◮ ▼❛r❦❡t ❝♦rr❡❧❛t✐♦♥s ❝♦♠♣❧❡t❡❧② ❜r❡❛❦ ❞♦✇♥✳ ◮ ❋r❡q✉❡♥t ♠❡❝❤❛♥✐❝❛❧ ❛r❜✐tr❛❣❡ ♦♣♣♦rt✉♥✐t✐❡s✳ ◮ ▼❡❝❤❛♥✐❝❛❧ ❛r❜s ✕❃ ❛r♠s r❛❝❡✳ ❆r♠s r❛❝❡ ❞♦❡s ♥♦t ❝♦♠♣❡t❡ ❛✇❛② t❤❡ ❛r❜s✱ ❧♦♦❦s ❧✐❦❡ ❛ ✏❝♦♥st❛♥t✑✳ ✷✳ ❘♦♦t ✢❛✇✿ ❝♦♥t✐♥✉♦✉s✲t✐♠❡ tr❛❞✐♥❣ ◮ ▼❡❝❤❛♥✐❝❛❧ ❛r❜s ❛r❡ ✏❜✉✐❧t ✐♥✑ t♦ t❤❡ ♠❛r❦❡t ❞❡s✐❣♥✳ ❙♥✐♣✐♥❣✳ ◮ ❍❛r♠s ❧✐q✉✐❞✐t②✳ ◮ ■♥❞✉❝❡s ❛ ♥❡✈❡r✲❡♥❞✐♥❣✱ s♦❝✐❛❧❧② ✇❛st❡❢✉❧✱ ❛r♠s r❛❝❡ ❢♦r s♣❡❡❞✳ ✸✳ ❙♦❧✉t✐♦♥✿ ❢r❡q✉❡♥t ❜❛t❝❤ ❛✉❝t✐♦♥s ◮ ❈♦♠♣❡t✐t✐♦♥ ♦♥ s♣❡❡❞ ✕❃ ❝♦♠♣❡t✐t✐♦♥ ♦♥ ♣r✐❝❡✳ ◮ ❊♥❤❛♥❝❡s ❧✐q✉✐❞✐t② ❛♥❞ st♦♣s t❤❡ ❛r♠s r❛❝❡✳ ◮ ❙✐♠♣❧✐✜❡s t❤❡ ♠❛r❦❡t ❝♦♠♣✉t❛t✐♦♥❛❧❧②
▼❛r❦❡t ❈♦rr❡❧❛t✐♦♥s ❇r❡❛❦ ❉♦✇♥ ❛t ❍✐❣❤ ❋r❡q✉❡♥❝② ❊❙ ✈s✳ ❙P❨✿ ✶ ❉❛② 1170 1180 ES Midpoint SPY Midpoint 1160 1170 1150 1160 1140 1150 Index Points (SPY) Index Points (ES) 1130 1140 1120 1130 1110 1120 1100 1110 1090 1100 09:00:00 10:00:00 11:00:00 12:00:00 13:00:00 14:00:00 Time (CT)
▼❛r❦❡t ❈♦rr❡❧❛t✐♦♥s ❇r❡❛❦ ❉♦✇♥ ❛t ❍✐❣❤ ❋r❡q✉❡♥❝② ❊❙ ✈s✳ ❙P❨✿ ✶ ❤♦✉r ES Midpoint SPY Midpoint 1140 1150 1130 1140 Index Points (SPY) Index Points (ES) 1120 1130 1110 1120 1100 1110 13:30:00 13:45:00 14:00:00 14:15:00 14:30:00 Time (CT)
▼❛r❦❡t ❈♦rr❡❧❛t✐♦♥s ❇r❡❛❦ ❉♦✇♥ ❛t ❍✐❣❤ ❋r❡q✉❡♥❝② ❊❙ ✈s✳ ❙P❨✿ ✶ ♠✐♥✉t❡ ES Midpoint SPY Midpoint 1120 1126 1118 1124 Index Points (SPY) Index Points (ES) 1116 1122 1114 1120 13:51:00 13:51:15 13:51:30 13:51:45 13:52:00 Time (CT)
▼❛r❦❡t ❈♦rr❡❧❛t✐♦♥s ❇r❡❛❦ ❉♦✇♥ ❛t ❍✐❣❤ ❋r❡q✉❡♥❝② ❊❙ ✈s✳ ❙P❨✿ ✷✺✵ ♠✐❧❧✐s❡❝♦♥❞s ES Midpoint SPY Midpoint 1120 1126 Index Points (SPY) Index Points (ES) 1119 1125 1118 1124 1117 1123 13:51:39.500 13:51:39.550 13:51:39.600 13:51:39.650 13:51:39.700 13:51:39.750 Time (CT)
❆r❜ ❉✉r❛t✐♦♥s ♦✈❡r ❚✐♠❡✿ ✷✵✵✺✲✷✵✶✶ ▼❡❞✐❛♥ ♦✈❡r t✐♠❡ ❉✐str✐❜✉t✐♦♥ ❜② ②❡❛r
❆r❜ P❡r✲❯♥✐t Pr♦✜ts ♦✈❡r ❚✐♠❡✿ ✷✵✵✺✲✷✵✶✶ ▼❡❞✐❛♥ ♦✈❡r t✐♠❡ ❉✐str✐❜✉t✐♦♥ ❜② ②❡❛r
❆r❜ ❋r❡q✉❡♥❝② ♦✈❡r ❚✐♠❡✿ ✷✵✵✺✲✷✵✶✶ ❋r❡q✉❡♥❝② ♦✈❡r t✐♠❡ ❋r❡q✉❡♥❝② ✈s✳ ❱♦❧❛t✐❧✐t②
❈♦rr❡❧❛t✐♦♥ ❇r❡❛❦❞♦✇♥ ❖✈❡r ❚✐♠❡✿ ✷✵✵✺✲✷✵✶✶
▲❛t❡♥❝② ❆r❜ ❛♥❞ ❆r♠s ❘❛❝❡ ❛r❡ ✏❈♦♥st❛♥ts✑ ♦❢ t❤❡ ▼❛r❦❡t ❉❡s✐❣♥ ❚♦ s✉♠♠❛r✐③❡✿ ◮ ❈♦♠♣❡t✐t✐♦♥ ❞♦❡s ✐♥❝r❡❛s❡ t❤❡ s♣❡❡❞ r❡q✉✐r❡♠❡♥ts ❢♦r ❝❛♣t✉r✐♥❣ ❛r❜s ✭✏r❛✐s❡s t❤❡ ❜❛r✑✮ ◮ ❈♦♠♣❡t✐t✐♦♥ ❞♦❡s ♥♦t r❡❞✉❝❡ t❤❡ s✐③❡ ♦r ❢r❡q✉❡♥❝② ♦❢ ❛r❜ ♦♣♣♦rt✉♥✐t✐❡s ◮ ❙✉❣❣❡sts ✇❡ s❤♦✉❧❞ t❤✐♥❦ ♦❢ ❧❛t❡♥❝② ❛r❜✐tr❛❣❡ ❛♥❞ t❤❡ r❡s✉❧t✐♥❣ ❛r♠s r❛❝❡ ❛s ❛ ✏❝♦♥st❛♥t✑ ♦❢ t❤❡ ❝✉rr❡♥t ♠❛r❦❡t ❞❡s✐❣♥
❆♥❛❧♦❣② t♦ ❯❑ ▼❛r❦❡ts ❋❚❙❊ ✶✵✵ ❋✉t✉r❡s ✈s✳ ❊❚❋ ❊✉r♦ ❙t♦①① ✺✵ ❋✉t✉r❡s ✈s✳ ❊❚❋
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