> > Has anyone created a strategy that uses a statistic measuring > the difference of bid and ask? I want to develop a mean reverting strategy > that would use this. I believe when the bid ask spread expands the market > is experiencing and increase in volatility. > > Since you mention the ES, from what I've seen the bid/ask spread very rarely exceeds one tick during the regular trading hours. I have not analyzed the Fed days specifically, but what I'd expect is that while you may see the widening of the spread in the minutes surrounding the announcements, it would be very short-lived.
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