Condition: Intraday Movement

1. Overview

The Entry and Exit Condition Intraday Movement allows you to open or close trades only when an Underlying has moved a specific amount since the US market open. The difference between the price at US market open (9:30 Eastern Time) and the current price at the Entry/Exit time is always used as the reference.

2. How It Works

• Reference point is the price at 9:30 Eastern Time (US market open).
• The Intraday Move is calculated as the difference between this reference price and the current price at the Entry time.
• The value can be positive or negative, depending on price movement.

Example: If the SPX opens at 6,000 points at 9:30 and is at 6,050 points at 11:00, the Intraday Movement is +50 points (or +0.833%).

3. Configuration

The setup screen looks like this:

1. Select the Underlying (e.g., SPX, VIX).
2. Select the Indicator Intraday Movement.
3. Define the calculation basis:
   • Points: absolute point movement since opening price.
   • Percentage: percentage change relative to the opening price.
4. Select the Operator (>, >=, <, <=).
5. Enter the Threshold value.

Example: SPX Intraday Movement >= 1.00% means the trade is only opened if the SPX has risen at least 1% since the open.

4. Use as Filter or Trigger

• Filter: one-time check at the defined Entry time.
• Trigger: the condition is checked continuously within a time window and executes the trade (Entry or Exit) as soon as the threshold is reached.

More information on Filter and Trigger logic: Entry & Exit Conditions (and Filter/Trigger Logic)

5. Special Considerations for VIX

• For the VIX, the reference is not set to the pre-market open, but to the first value after US market open (from 9:30 ET onward).
• Typically, the first VIX value appears around 9:31 or 9:32, sometimes later.
• This means a trade at 9:31 or 9:32 may not be executed if no VIX value is yet available.

6. Examples

The following examples refer to Entry Conditions. They could equally be defined as Exit Conditions.

6.1 SPX Intraday Movement ≥ -0.5% (in percentage)

• Condition: The Intraday Move can be at most 0.5% negative (equivalent to Move Down Max 0.5%)
• Meaning: The trade is opened as long as the SPX has not fallen more than 0.5% since the open.

6.2 VIX Intraday Movement < 1 (in points)

• Condition: The VIX may have risen less than 1 point since market open.
• Meaning: The trade is only not opened if it rises 1 point or more.

7. Summary

• Intraday Movement measures the price difference since 9:30 ET.
• Configurable in points or percentage.
• Usable as Filter or Trigger.
• For VIX, special caution is warranted since the first value is often not available until after 9:30.
• Typical use cases: Limiting the maximum downside range for SPX or controlling volatility movement for VIX.