Review & Plan Jan 15th
Jan 14th
Yesterday was the highest volume day of the year in both ES and on NYSE. Just over 3m contracts traded and 5.2bn shares traded on NYSE.
The average Globex range for the year is now 50 points and 2.5m volume.
Overnight has seen most of the gains given back as Crude has collapsed again, currently down 5% at $29.50.
The ES range is so far 1871.50-1921.00, which has been in a steady downtrend all session. Globex VWAP is around 1893 versus settlement at 1914.50, so we have a market net short overnight going into the open.
Zones for today and expected moves/reactions.
Review & Plan Jan 14th
Yesterday we saw an overnight market which had balanced above prior value. On the open there was a look above the prior day's range, failure and reverse. This rejection is also around the value area low of the August to date range shown above.
Market internals trended negatively all day and some rapid liquidation moves left a stretched profile with several anomalies. Volume was high at 2.88m contracts and 5.02bn shares on NYSE. It was the largest Globex range so far this year at 68.50 points. The daily average is now 49.25 points since Jan 4th. Open interest has been steadily increasing each day.
Below shows the breakdown yesterday covered the naked VPOC at 1880.50 and reached the 127.2% extended retracement. A test of yesterday's lows could see a flush down to the next nVPOC at 1866.00, near a composite HVN at 1868.50, and the 161.8% level at 1861.50 which coincides with a composite LVN. We may see responsive buying step in around there for a short term bounce and attempt to fill in some of the areas shown above.
Overnight so far the range has been 1874.50-1897.75 with volume still high.
The bull/bear zone I'm using today is 1881.50-1884.50. Above the 1904.00-05.75 zone we could see shorts scramble to cover and rally up towards yesterday's overnight low at 1922.25. Below the bull/bear zone a move down to the 1858.25-60.75 may see responsive buyers step in. 1861.50 is the 161.8% ext. retracement level.
Review & Plan Jan 13th
The market continues to trade on high volume with 2.42m contracts trading and 4.87bn shares on NYSE. The aggressive downside moves from the beginning of the year have seen some equally aggressive short covering rallies in the past couple of days. A 50% pullback of the year to date swing high to low is at 1953.50. Crude has been a major market driving force and we saw a big reversal from the lows once it breached $30 yesterday. Financials were the best performing sector yesterday.
Yesterday's moves
Overnight the market has continued higher, balancing above yesterday's value area. Crude is $1 higher at $31.50.
The range is currently 1922.25-1946.50 versus settlement at 1925.00
I'm looking for higher prices today though my bull/bear zone is 1930.50-32.75. If we begin to trade beneath there then I'm looking for at least a test of the overnight low. The average range this year has been 46 points for the full session - overnight so far has been 24.25.
Zones of interest and anticipated moves for today:
Review & Plan 12th Jan
After the open and a failure to hold above the overnight high, the opposite globex extreme became the target. Despite the push through the prior day poor low and hitting the overnight low, the POC/VPOC did not migrate lower. The afternoon rally was extremely fast, fueled by short covering, particularly when back inside the prior day's range and above the pullback highs shown above.
Volume was 2.48m contracts and 4.58bn shares traded on NYSE. The impact on the market by the drop in crude was the main drag yesterday:
Overnight has seen continuation of the rally from yesterday's lows. The range is currently 1899.00-1937.50. There's a naked VPOC at 1939.00. The recent downside has left the market stretched and we are seeing late shorts forced out. A 50% pullback of the high to low regular trading hours range this year is at 1953.50.
I'm bearish on the market overall but I think the market needs to rally to get shorts interested at higher levels. The overnight action has the market net long in the day time frame and will open currently on a gap higher. Zones for today:
Review & Plan Jan 8th
Yesterday was the highest volume day we've seen for some time with 2.9m ES contracts trading and over 5bn shares trading on NYSE.
A squeeze of overnight shorts went for the open gap but once that failed, sellers stepped in and went for the overnight low and the gap from the beginning of October.
Year to date performance of the underlying S&P sectors shows defensives not surprisingly outperforming cyclicals:
The 4 hour globex chart below shows the area the market is attempting to fill in around the value area low of the range since the August lows.
Overnight the market has rallied from a globex low of 1928.50 (yesterday's RTH low) to a high of 1960.50 on decent volume so far.
Non farm payrolls are due at 07:30 ct
Zones for today are below. If we see a NFP number in line then we may balance within yesterday's range. The overall bias is still to the downside but we may see some sharp pullbacks before there is another attempt to push lower.
Review & Plan Jan 7th
The start of this year's breakaway gap lower saw an initial attempt to close it on Tuesday but failed to hold gains yesterday after gapping lower again. Once this range gap from Tuesday was closed, the sell-off continued to the overnight low.
Overnight has seen sharp falls across Europe following a Chinese market downside trading halt, Saudi-Iran tensions and Crude continuing lower.
The range is currently 1931.00-1991.00 on high volume of over 500k two hours before the open.
A look at the daily globex chart shows the extension lower and we may see a (short term) responsive move off the 161.8% level and high volume area. This is not a day for catching falling knives though - the short and intermediate trend is lower and I'm looking for shorting opportunities on pullbacks.
The 4hr chart shows the range since the August low was made. If longer term value buyers are interested, this is the area we may see a reaction. If prices do not hold above the composite high volume (black box on right), then we could see a push down to the next low volume area and swing low at the end of September.
A closer look at the area trading overnight shows the large range day from Oct 2nd when NFP was much weaker than expected and therefore rate hike expectations were pushed back.
The market will likely open on a very large gap lower, which has a low odds of closing on the day. Liquidations and margin calls will likely dominate the opening, so expect low liquidity and high volatility.
The zones I'm using for today can be seen against the overnight market profile chart below:
Happy New Year!
Just a quick note to say apologies for the lack of reports over the Christmas period, but I've been taking some time away from the screens to spend with family.
Thank you to all my subscribers for following my daily reports this year, and I'll be back with normal service next week.
Wishing you all a happy, healthy and prosperous 2016!
ES review & plan
Regular Trading Hours
After Friday's open the market rejected the prior day's range after the gap fill, setting up for the move lower. Although the direction was down and we did see a move to the 2091.75-93.75 zone, there were some big intra-day reversals making it challenging from the short side until the last hour of trade.
This has good potential for marking an intermediate low given the nature of the move on year end expiry, setting up for an attempt by bulls to push for all time highs again. This is just a gut feeling and not a view I'm going to hold on to if we hold below Friday's value area for long. There's potential for shorts to be squeezed aggressively once back inside Thursday's range. There's strong resistance around the 2038 area as the first major defense area for shorts, where the breakdown occurred on Thursday.
The daily chart shows the move back down towards the bottom of the range after the rejection of the composite VPOC. If Friday's low is taken out we have potential for a heavy liquidation move down to the next area of high volume at 1952 then 1921, in my view.
Globex Daily
The current range with the custom volume profile (left) shows the market remains below the VAL and longer term buyers may see a good value opportunity.
Globex 240 min
The zones remain the same for today and I'm trying not to have an bias and keep a flexible mind to trade from either side using the zones as potential targets/reaction areas.
Globex 30 min
ES review & plan
Yesterday opened after the overnight high had hit and rejected the composite VPOC. The open briefly looked above and failed the FOMC high giving a strong heads up for the likely direction to expect. The market one time framed lower all morning, consolidated before a short squeeze and then continued in the direction of the open gap into the close.
Volume was high with 2.1m contracts and 4.3bn shares trading on NYSE. It is Quad Witching this morning so the open and close might be a bit lively today.
Overnight has continued the bearish move, trading further into the gap from last Friday. Settlement was 2001.25 and the naked VPOC on Friday was 2001.00, so I'm expecting this to be targeted with potential for a move down to 1991.75-93.73. Below that the 1980.00 naked VPOC would be the next target.
We are likely to open on a gap lower, so if the downside objectives are hit and we see strong response from buyers, then the gap above and single prints from yesterday's spike lower would be targets above, or vice-versa with the order of things.
The range is currently 2012.00-2029.50 versus settlement at 2024.75
Areas of potential support and resistance today I'm using are shown below:
ES review & plan
RTH 30 min Market & Volume Profiles
RTH 30 mins with Volume Profiles
The heavily anticipated announcement from the Fed did not bring a huge range in the end. The initial down move post news stopped at the prior day's open, reversed and didn't look back.
The daily chart shows the move back up to the composite VPOC and acceptance within the lower part of the composite high volume area (HVA).
Short term remains bullish and a move higher to the top of this HVA could bring in responsive sellers. Once through that area, there's a good chance of seeing a new all time high fairly quickly. If the market fails to push into the HVA, weak longs could liquidate and shorts step in for another move down. We still have a large gap between Monday and Tuesday's RTH range (see above chart).
Daily Globex
Overnight so far the market has continued higher with a range of 2056.00-72.75. Short term bias is bullish with value shifting higher, but this is an area the market may slow until it is either rejected below or above.
I'm using 2063-64 as overnight support into the open, and below that am cautious with longs. Below the overnight low, we could see more short term liquidation to find support.