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: