Globex vs. Floor Pivots

When working with Session Pivots, we often get the question: “Should I use Globex or Floor Pivots?” The short answer to this is that both Globex pivots (ETH) and floor pivots (RTH) can be used for most instruments.

Still, there are some exceptions where either ETH or RTH pivots do not make sense. In the case of currency futures, the most active market is London, so it does not make sense to calculate pivots based on the New York RTH session. Being truly global markets however, with no centrally located exchange, ETH pivots are most appropriate for FOREX and currency futures.

For all other futures, such as equity index futures, interest rate futures and futures derived from physical commodities, both approaches can be used.

However, equity index futures and bond futures are relatively illiquid overnight as they clearly relate to regional markets. U.S. stocks & bonds are tied to the U.S. economy and European stocks & bonds are tied to the Euro economy. Both in the U.S. and Europe, the underlying markets  – the stock & bond markets –  are closed overnight. Accordingly, RTH pivots are the most logical choice for instruments such as ES, YM, NQ, ZB, ZN, FDAX and FGBL.

For futures contracts based on physical commodities RTH pivots were clearly preferable until around 2000 / 2005. However, significant changes have taken place since then. There is no longer floor trading for physical commodities and the markets have become more international. Brent Crude is now as liquid as WTI crude and crude volume has surged during European trading hours.

For crude oil there are frequently strong moves during the European session, and these will not be taken into account, when calculating RTH pivots. Therefore, traders now increasingly use full session Globex pivots. Even Mark Fisher – former NYMEX trader and author of the book “The Logical Trader” – has switched from RTH to ETH pivots.

One reason is that the GLOBEX pivots are easier to calculate. Full session high, low and settlement are published on the CME website as official high and low. Data feeds such as DTN/IQ also come with the full session high and low as well. Simplicity suggests to use the GLOBEX pivots as they are easily available.

The following 2 charts show ETH and RTH pivots for crude oil. Both the ETH and the RTH levels are used by some traders as exit points, making them useful for identifying support & resistance. In the end, there is no clear winner as to which levels work the best, and it’s up to the individual trader to make the decision.

CL 12-15 (15 Min) 09_11_2015 ETH CL 12-15 (15 Min) 09_11_2015 RTH