ES review & plan
Yesterday saw a strong bullish reversal from the prior two days. Underlying share volume is still high at 4.3bn traded on NYSE.
Today has potential for one of the biggest ranges of the year, and I wouldn't be surprised at any of the moves later on given the timing of the announcement around year end option expiry. For example, we may take out Monday's low and turnaround and go back to the composite VPOC or carry on lower until circuit breakers step in or just rally to a new all time high. Either way, volatility will be off the chart I would imagine., alongside evaporating liquidity around the event before the big players step in.
Overnight the range is currently 2035.00-2050.50 versus settle at 2037.00. The composite high volume area between 2070.75-79.75 may be where the market wants to head prior to the statement later, but chances are we'll balance for much of the session.
Short term buyers are in control but the longer time frame structure is more bearish. Yesterday's RTH range was balanced so a break and hold either side of this can be useful to lean on for this morning. My primary expectation this morning is for continuation of the upside to test the high from last Thursday at 2058.75 and then a countermove and then balance before the announcement. After that is any one's guess...
ES review & plan
Generally a balanced day in regular hours after pushing down through the overnight low and leaving a strong buying tail. We had some major liquidity issues in the ES order book yesterday and at one point had nearly a 20 point swing in about 3 mins. The huge expiry in options this week along with the Fed tomorrow is going to make liquidity very thin and volatility high, obviously. NYSE volume was high at 4.5bn shares.
There is still a range and settlement gap above from last Thursday/Friday's regular trading hours. Above, there's a naked VPOC at 2032.00, then 2035.75 was the low and 2041.00 settle for March last Thursday.
A look at the current range shows the move through the prior swing low and reversal. The question now is whether or not the market moves it's way back to the composite VPOC at 2070.50 before the Fed announcement or continues to reject the value area low. Bias has been on the sell side, though we may see some position squaring from the swing time frame.
Overnight has been firm with the range currently 2010.00-2032.75, pushing higher post the CPI data. Settle was 2012.50.
If the market can hold above yesterday's high, the likelihood is for the gap to be filled above, which is being attempted pre-market. RTH levels of interest are marked on the 30 min globex chart below:
ES review & plan
The charts I'm using are still December even though rollover began yesterday. The discount for March was 8.25 points at last night's settle. Futures volume is less relevant at this time because of the roll, but NYSE share volume was down at 3.6bn vs 4.3bn on Wednesday.
The area highlighted above was defended well yesterday and will leave longs trapped below it as we go into today with a gap lower currently and be an area of resistance from underneath.
Sticking with the Dec contract for one more day - overnight so far the market has sold off with a range of 2032.50-56.25. Weakness has been attributed to Oil and Emerging Market currencies.
The negative sentiment going into the open will leave a large gap from yesterday's low currently, so gap rules are in play. We continue to reject the value area low of the current range and we may see an a attempt to test the bottom of it.
Zones for today are below. My main expectation is for more downside but aware that there may be an attempt to fill the gap from yesterday first. If the market can trade and hold above the 2056.00-58 zone then bulls would have regained short term control. Until then I'm using rallies as fade opportunities.
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ES review & plan
Globex
A roller coaster session began with a look and reject below Tuesday's low, pre-market. After the open drive higher, the move through the prior day's balance saw a squeeze and push up to the composite VPOC 2079.00 area. Responsive selling stepped in with a drive lower and weak longs liquidated, with the bulk of volume trading below the prior day's range.
NYSE volume was 4.3bn shares and ES was at 2.6m (with March 380k). However, liquidity in the order book was thin.
A look at the current range with a custom volume profile (left) formed with the swing high and low last month shows how aggressively the 2079.00 composite VPOC (right) was rejected and moved back below value. As I said yesterday, until the market can hold above that area of high volume I think we'll see selling into it.
The next week could be the trickiest time to trade of the year so far, and yesterday may have been a taste of what's to come.
Zones I'm watching for today are below. Overnight so far the range is 2036.00-46.75 versus settle at 2042.00. Short term bias is with shorts unless the market starts trading back inside Tuesday's range again which would trap a lot of shorts from yesterday afternoon that didn't close out.
ES review & plan
Yesterday opened on a gap lower which initially pushed lower to test Friday's RTH low. After a re-test and stop test of the low there was a strong rally which closed the range gap and stopped short of Monday's IB low. This spike saw a quick reversal and the remainder of the day balanced below the prior day's value but above yesterday's open.
There was divergence at the lows with the cumulative delta as seen on Monday.
Volume was nearly 2m contracts yesterday and 4.1bn shares on NYSE. Volume has started to pick up in the March contract with rollover immininent.
There is concern from JPM's star quant analyst who warns of the largest S&P options expiry in many years less than 48 hours after the heavily anticipated FOMC announcement. The article is here.
The Globex chart below shows the current range with custom volume profile. Until longs can dominate above the composite high volume area between 2079.00-88.00, we are likely to see failed rallies.
Overnight so far has ranged between 2052.25-68.50 versus settle at 2058.75, so fairly neutral so far and within yesterday's range.
Zones for today are below and if the market can hold below yesterday's value area I think there's a high chance that the 2040 area gets tested with potential for more downside towards the naked VPOC at 2025.00.
If, however, the market can push and hold above the 2062.75-64.50 resistance zone, there's a chance buyers can squeeze shorts and attempt a push back up to the 2079.00 composite VPOC area.
ES review & plan
Following yesterday's open the market spent much of the day attempting to go lower after the initial sell-off. However, it rotated in an 8-10 point range for much of the session. The aggressive buying began on the initial move down, as can be seen in the divergence in cumulative delta. This continued higher over the day forcing day shorts out on a squeeze into the close.
Volume was 1.6m contracts and 4bn shares traded on NYSE.
The early drag on the market was helped by the big drop in crude which saw the energy sector down nearly 5% at one point.
Overnight crude is weak once more, currently trading at $36.90. The ES range is 2057.25-2081.50 so far versus settle at 2081.00.
The market remains in a range with a negative bias currently. Until the market can regain the ground lost and hold above the 2079.00-86.75 composite high volume area, shorts will continue to press until responsive buyers step in. The zones are areas I'm looking for potential reaction/targets.
ES review & plan
Going into Friday the expectation was not for a total reversal following the move and volume from Thursday. Friday's turnaround would have been fueled by shorts being squeezed after Thursday's heavy sell-off. Volume was 2.25m contracts (vs 2.6m on Thurs) and 4.17bn shares on NYSE (vs 4.2bn on Thurs).
The stronger than expected (with prior revision higher) in NFP and dovish talk from Draghi in the afternoon kept the pressure on shorts and pushed prices back inside the previous balance area and above the composite high volume area between 2079.00-88.00.
Overnight the range is currently 2083.50-95.50 versus settle at 2088.50. Crude is weak and currently below $39 which is having a negative pull on ES in the past hour.
We moved far and fast from the lows of Thursday and a lot of the closed out shorts have removed buying power from the market so we may see a test of various lower levels before advancing further. The upper value range shown above is 2079.00-92.75 and bulls will want to strongly defend the 78/79 area to maintain control up here.
Zones of potential engagement/targets for today are shown below:
ES review & plan
Yesterday's break was triggered following the ECB announcement which sent European yields shooting higher along with a heavily short EURUSD and stocks falling hard (Dax was down 4.75% at one point).
Volume in ES was 2.6m contracts and 4.2bn shares traded on NYSE.
The pockets of low volume highlighted below where the market broke lower are potential areas of resistance/support going into today. The low left yesterday still looks heavy as no sign of a buying tail.
The move away from the upper balance zone and composite VPOC has now moved back within the smaller balance area from a couple of weeks ago. (The 61.8% fib retracement of the 11/15 low to 12/02 high is 2039.25).
Overnight the range is currently 2052.50-62.75 versus settle at 2051.25. (2062.75 was also the 11/18 VPOC). The NFP came in slightly ahead of consensus and the prior month was revised higher.
Zones for today are shown below. The low from yesterday still looks unfinished but we could see some big swings in either direction to take advantage of.
ES review & plan
Following a relatively narrow overnight range yesterday, which had held above the prior day's Initial balance high, the market opened with low confidence and spent much of the first hour and a half rotating around the prior day's HVN. The early low was poor and once the overnight low broke with accompanying weak market internals, the next area of support was tested above the prior day's VPOC. Once this was breached there was a fast liquidation move to make a new low for the week.
Volume was nothing exceptional at 1.7m contracts and 3.9bn shares on NYSE. Cumulative delta held up well despite the move indicating to me that this was more of a rug pull by buyers.
Overnight the range is 2077.75-95.25 versus settle at 2081.50.
Zones remain much the same for today. The market is back inside the short term value area of the past couple of weeks. The composite VPOC is shifting back and forth between 2079.00 to 2086.75. We may see two-sided trade until either the 2094.50 or 2078.50 areas are broken and held above/below.
ES review & plan
There was an open drive and breakout in the first half hour which then reversed and saw weak longs bail, then press down to find support at the upper end of Tuesday's value. Trade remained choppy for much of the day though the overriding factor was that value was clearly higher and bias remained to the long side.
The volume accompanying this breakout was low, however. Just 1.4m contracts and 3.6bn shares on NYSE traded which makes me cautious about chasing higher prices. I'd prefer to see pullback to around 2093 and see signs of strong buying to give more confidence to this break.
Overnight the range is 2098.00-2105.00 versus settle at 2100.00. Zones remain the same apart from where prior resistance has become support. If the rally is strong I wouldn't expect to see the 2092.50-94.50 zone breached and this would be my preferred area to enter long. However, we may not pullback and just hold the 2098.00-2100.00 area before advancing. Below 2092.50 we may rotate back towards the composite VPOC at 2086.75.