ES review & plan
We got the move away from balance to the upside yesterday and pushed above the breakdown area from 09/09 (together with a sharp sell off in bonds). Longs will want to hold above at least the bottom of the lower distribution or risk a move back into the prior balance. A move above yesterday's high could see an attempt to push above the 1983.00 swing high - lots of stops to run ahead of tomorrow's FOMC announcement. I'm using 1956.00-58.00 as a bull/bear zone today.
Overnight has a range of 1962.75-72.75 versus settlement at 1970.00 ahead of CPI at 07.30 ct.
Expectations in order for today are either:
1. Continued upside and a push above the 1983 swing high.
2. Failed break higher and balance within yesterday's value.
3. No break higher and an attempt to push back towards yesterday's overnight high at 1952.00
ES review & plan
Sellers took control after the open, continuing the drop from the overnight high. Value built below the overnight low and continues to build within the past few days. This continuing inside day action will add to the energy when we see a break from balance.
Overnight the range is currently 1935.25-49.50 versus settlement at 1944.00. There's been little reaction so far to the Retail Sales, which were weaker than expected though with prior revisions up. Industrial Production is due at 8.15am ct.
Below is a micro-composite volume profile of the past few days of balance which shows the VPOC at 1943.50.
For longs, the initial key level to hold above is yesterday's overnight low, which became resistance yesterday, at 1946.50. This is also the VAH of the micro-composite.
Shorts will need to hold below the mcVPOC and attempt a press down below yesterdays VAL at 1938.75.
Quad witching on Friday is going to potentially lead to some very strong directional moves if there is a break from balance with option gamma hedging exacerbating the action.
ES review & plan
Friday opened and looked to be attempting a push lower below the prior low towards the open gap. Shorts did not have the fire power and we saw a covering rally breakout after the first two hours. Longs regained control after a deep pullback to the breakout level and closed above the overnight high. NYSE volume was low at 3.2bn shares.
Overnight has seen a move higher initially through Friday's high, though this has sold off as we get closer to the open. The range currently is 1946.50-64.25 versus settlement at 1950.25.
For today, initial support I'm using is 1950.25-51.75, then 1946.00-48.00, 43.00-44.00, 38.00-40.00 and 35.25-36.25 as longs major inflection point.
Initial resistance is at 1957.25.00-58.25, then 61.50-63.50.
Following Friday's action and the move higher overnight I have a neutral bias. The lack of economic news today may keep trade quiet and I'm going to wait for the market to give more information on who's in control.
It's clearly a huge week for markets with FOMC on Thursday. On the longer timeframe, the chart below shows anticipated areas on breaks above and below the current balance.
ES review & plan
ESZ15
December charts & levels going forward - ESZ15
Yesterday's action was concentrated in the lower breakdown area from the previous day, failing to regain much ground for longs but also failing to breakdown any further to close the open gap below.
Overnight has seen balanced trade with a range of 1927.50-49.25, within yesterday's RTH range. Balance area trading rules apply for today, as per Jim Dalton, assuming we open within yesterday's balance. Yesterday's overnight high (1957.75) remains a big hurdle for longs if there is a break from balance. A break from balance to the downside puts the open gap and naked VPOC/POC from 09/04 as a target (1912.50/09.75).
ES review & plan
We saw a rejection of the top of the current range before the open and failure to hold the micro bull/bear zone at 1981.75-83.75. This put the gap and the overnight low in the sights as key targets for shorts. The extension lower into the lower gap was unexpected and is a sign of things to come potentially, with the longer time frame shorts dominant. The day's profile leaves several anomalies and single print areas to repair.
Volume was very high in the ES at 4.2m, though just 3.6bn shares traded on NYSE.
Overnight there has been a bounce accompanied with some very erratic algo moves. The range is currently 1933.00-1967.25 versus settlement at 1942.75.
Ideally, I'm looking to short a move back up to the 1965.50-67.25 zone if we see one as I think the continuation lower to at least fill the gap is on for today. However, we may see the 1959.25-60.25 zone bring sellers in first so will be reading order flow and momentum at that zone to potentially join. A hold above the overnight high, which is a breakdown level yesterday morning, would put longs back in control short term.
The major bull/bear remains the December low at 1946.00 (back-adjusted).
Today is rollover though I'm sticking with Sep for now. We've got Jobless Claims and Import & Export Prices at 7.30 ct.
Globex with daily profiles & monthly VWAP + bands
ES review & plan
Bulls managed to hold on to the important December low at 1946.Volume was 1.87m contracts and 3.5bn shares traded on NYSE.
Within the range from December, the next upside objective for longs is the bottom of the narrower range highlighted below at 2023.00. Longer time frame shorts can still step in and regain control under here. However, short term value is still to the upside though the increasing gaps could see some back and fill.
A look at yesterday's profile shows a rejection of the gap below once the market had pulled back to the 1946 area. This is the intermediate bull/bear zone for now.
Going into today we have had another strong move overnight, currently ranging between 1964.00-1992.00 versus settlement at 1965.75. The prominent VPOC from 08/28 and single prints rejecting that area on 08/31 could act as a micro bull/bear zone today (1981.75-83.75).
With another large gap potentially today, I'm expecting an attempt to close this under the micro bull/bear. This would put the overnight low at 1964.00 the main target.
ES review & plan
The market is beginning to form an area of balance where we may see two-sided trade. The composite volume profile shows the 1938 high volume node as a pivot the market has been trading around. The key level for either side to control though is the December '14 low, which represents the break of the years range.
Volume on Friday was a healthy 2.1m contracts on ES, though underlying share volume was low at 3.1bn trading on NYSE.
continuous back adjusted
Overnight has seen a strong move higher following better than expected GDP from the Eurozone. The range is currently 1930.00-1961.00 versus settlement at 1921.75 and Friday's RTH high at 1930.75. Gap rules for today and currently we're looking at a 20 point gap which is less likely to fill, especially with the bullish sentiment overall. However, even if it does and value remains above Friday, we could see a late move in the direction of the gap.
regular trading hours
Due to the size of the gap we may see a volatile open. I'm expecting some attempt to push into it but will be looking for long opportunities on exhaustion moves lower at key areas mainly.
Market & Volume Profiles for RTH (with Friday's overnight high/low)
ES review & Plan
regular trading hours
regular trading hours (RTH)
Yesterday opened with a drive lower within Tuesday's range down to support at the high volume area around the VPOC. Overall it was balanced with value overlapping higher.
Cumulative delta had remained positive for the full globex session, even after the push to the low, giving a clue that buyers were dominant and we could expect an attempt at least to break into the gap above. This happened in the last 30 mins of trade with shorts forced to cover aggressively.
Overnight saw an immediate stop run through the RTH high into the gap. The range is 1944.25 to 1968.75 versus settlement at 1947.00. The top chart shows expected market moves and reactions at the upper value area highlighted.
ES review & plan
regular trading hours
Yesterday's sell off had already made a large move ahead of the open and inventory was heavily short from overnight. There was a brief rally up to the 1938-40 resistance zone mentioned yesterday, before sellers regained control. The late flush lower saw very aggressive/forced selling which pushed under 1900. This rebounded to settle above the overnight low at 1916.00. Volume was 2.8m contracts and 4.3bn shares traded on NYSE.
There is still a gap above which maybe filled if buyers can force through yesterday's high and cause a short covering move back up to yesterday's overnight high at 1966.25. However, we may balance within yesterday's range (black box above). A move lower, underneath yesterday's value, gives shorts the opportunity to push down into the 1865-70 composite low volume area.
ES review & plan
Continuous back-adjusted contract
Yesterday's action left a reasonably balanced profile below the prior day's value area. Volume dropped off (UK bank holiday also) on the final day of the month, to settle at 1969.25.
Overnight, China released deteriorating and contracting data on the manufacturing index and PMI. The range so far is 1966.25 (1 tick below yesterday's VAL) down to 1914.50 We may see some short inventory correction after the open given the size of the gap potentially. The overnight move has gone down back through the thin regular trading hours rally profile from 08/26 and single prints from 08/27.
A key zone on the composite volume profile for bulls to get back above is the 1938-40 high volume area. Under there, shorts have the upper hand in my view and we have more downside potential initially back to the low volume 1862-67 area.
Regular Trading Hours