Friday Prep

Going into yesterday’s open, the overnight market had traded lower and was attempting to move back up towards the prior day’s low. As stated in yesterday’s note: ‘a move higher that fails to move back inside yesterday’s range is bearish..’.

The first move after the open was a test of the 2924.00-2925.50 zone (marking the lows from the prior two days) and this was immediately rejected, giving a heads up. The first break through last week’s low (2907.50) saw a pause and bounce from the 05-06 zone back up to the overnight low, giving another good opportunity to get on the short side. Once broken through the prior week’s low, the breakout high from January was next target, which saw roughly a 10 point bounce off it. New lows were made in the afternoon with cumulative delta showing a divergence, eventually moving back to vpoc (2907.75), settling at the same level…1 tick above the prior week’s low.

Overnight has ranged between 2900.75-2915.50 so far, ahead of a keenly watched employment report at 07:30 cst. Despite the breakdown in the daily and weekly bars, the monthly remains neutral, inside September’s range currently. It was at least the beginning of some range expansion and volatility, which is a welcome sight with lots of rotation opportunities.

Zones of interest for today below:

Thursday Prep

As mentioned in yesterday’s note, the move higher towards the all time high needed strength and momentum or we could see a short squeeze and false breakout. We got the breakout above the 40-42.50 zone but there was no follow through or sustained momentum. After bouncing between the two zones for much of the day, the break lower was sharp, trapping longs, and left single prints and a double distribution on the day (testing the overnight low in the last half hour), along with a selling tail off the highs.

The fact that ES had held up for so long was surprising as the bond market had taken a pounding, with a breakout higher in yields across the curve after stronger than expect ADP payrolls numbers.

Overnight so far markets globally have sold off, with ES range at 2913.25-2931.75, versus settle at 2931.50. Volume has continued to be heavy in the 10 year, with the cash yield around 3.22% currently. Whether this continues today, ahead of tomorrow’s employment report, remains to be seen.

I’m cautious about getting too bearish until we see acceptance below the 2907-08 zone, as mentioned earlier this week. Clearly, a move higher that fails to move back inside yesterday’s range is bearish but acceptance back inside the range could squeeze shorts.

Zones of interest for today below (showing yesterday’s RTH and the overnight profiles):

Wednesday Prep

The early part of the session yesterday saw a test of the overnight high and reverse lower to 2924 before a short squeeze back to the 2930-31 zone. There was a weak attempt higher, as can be seen in the neutral TICK and negative cumulative delta. This led to a collapse in price and retest of the day’s low late on, before a reversion to the mean (vwap) into the close. The day finished inside the prior day and left with a poor high and low. VPOC and settlement was at 2928.50.

Overnight so far, the range is 2925.75-40.00 so far, close to Monday’s high of 2942.00. Longer time frames remain bullish and short term has been more neutral though is close to breaking out higher once more. Fundamentally I think we’re in for a serious correction, but I have to ignore this when trading intraday and just follow the flows and momentum as they are at present. Until there’s more evidence of a breakdown, I would expect pullbacks to be bought and continuation higher. I mentioned the 2707-08 zone yesterday which I think is pivotal to any potential breakdown.

Zones of interest for today below. The all time high is at 2947.00 - a lot will depend on the underlying strength if it gets there today, though a forced short covering could see a spike leading to a false breakout.





Tuesday Prep

RTH

RTH

The first day of the month/quarter opened on a wide gap higher to the previous day’s high and settle. If we don’t see an early attempt to fill the gap then we’re more likely to see continuation in the direction of the gap. There was a break and hold above the 2936-38 zone, with volume building there and the day’s VPOC left at 2939. However, the underlying sustained momentum turned negative on the TICK quite early on, giving a warning that further continuation was much less likely (see chart above) and this had been a false breakout higher.

Once the market had broken below the vwap and vpoc, with negative underlying momentum, the gap fill attempt was back on following the liquidation break.

Overnight so far has ranged between 2917.50-30.75 versus settlement at 2930.00. There’s a prominent HVN at 2919.00 on the composite volume profile, so watch how price & order flow reacts if it gets back there

The biggest test short term for the ES in my view is if we see a move down to the 2907-08 area which is now looking weak following the multiple attempts to break it. If that area breaks we could see much more selling pile on, but again, context is key relating to price action, order flow and momentum (which is critical if using the zones)

Look out for a short squeeze higher to potentially retest the vpoc from yesterday at 2939.00 if prices hold above the 2930-31 zone. The market remains in the middle of a pretty congested area from the past week or so which means I need to be very selective and patient. Zones of interest for today below:

Monday Prep

Friday’s last day of the quarter saw some quite erratic moves over the afternoon but left a relatively small range and within the balance of the prior days. A prominent VPOC was left at 2919.00.

The quarter and monthly bars were one-time framing higher, with the weekly bar inside the prior week and daily opening below the prior day’s range and moving back inside for almost all of the RTH session.

The 2907-08 area has been tested several times now so if we do seem a break lower the chances have increased of that area breaking on another attempt.

With the news over the weekend regarding the Nafta deal, trade overnight has ranged between 2922.50-2937.75 so far, above Friday’s high and currently looking to gap higher. Friday’s settle was 2919.00 and high at 2925.50. Failure to close the gap early on gives buyers the upper hand and puts the all time high back in sight.

Zones of interest for today:

Thursday Prep

Post-FOMC we saw an attempt to continue higher which rapidly ran out of steam after Powell’s press conference finished. Rapid liquidation and very heavy market on close (MOC) selling on NYSE left a volume distribution at the low end of the day’s trade, settling at 2911.50.

Overnight has retested the 2907.50 low and bounced, currently trading within the single prints left from the afternoon drop. The range is 2907.50-16.25 so far.

The monthly and weekly bars remain bullish for now, though there’s been a clear breakdown on the daily, short term, with high underlying share volume (though approaching quarter end this is expected). The single prints left from yesterday could be retraced if the market can hold above settlement and the top of the volume distribution left. However, my main expectation is for sellers to step in on rallies until proved otherwise. A move back above yesterday’s VPOC would change this expectation as it would have needed significant buying power.

Opening and holding below the 2912 area would be more bearish, and I’d be looking for downward continuation. Last week’s low was 2883.50.

Zones of interest for today are below and US data due here :

Tuesday Prep

The RTH profile above shows the open gap left from the breakout higher at the start of last week. There also hasn't yet been a retest of the 2888.75 January high (back-adjusted).

Overnight, following the labor day holiday, the price action has been pushing lower from a high of 2912.00 to a low of 2891.75 (Friday's low) versus Friday settlement at 2902.00.

I'm using a short term bull/bear zone as 2895.50-97.50 (Thursday RTH low at 95.50 & Friday's open at 97.50). The longer time frame bias remains bullish and short term I'm watching to see how the market reacts at the bull/bear zone. Holding below there could be setting up for a gap fill attempt lower into the 2874.75-77.50 zone. Above the bull/bear, there'll be pressure on the overnight shorts and we could make a move back to settlement and potentially higher into the 2911-13 zone. Above there I would expect more buyers to come into the market and keep momentum going higher. 

Thursday Prep

Pre-market, the primary expectation was for continuation of the dominant trend with the potential to consolidate and/or shake out weak longs before rallying. 

Opening inside the prior range, there was little downside selling pressure, with a move into the overnight support zone. The 5 min footprint chart below shows a failed attempt lower as selling dried up once the prior day's POC (2899.50) had been hit. Once back above the opening range, shorts were squeezed into the overnight high and size stepped in above there to lead the trend higher. 

A P-shaped profile was left on the day, with 3 areas of single prints left on the rally, which is often a sign of short closing where buying is aggressive. These are areas which have a high chance of being revisited once the short rally consolidates. 

The afternoon pullback low was at 2911.25 - holding above or below that level today could be the difference between trend continuation or short term consolidation. Clearly if we do see a break lower, below yesterday's low, then a retest of the breakout of the January ATH at 2888.75 is a probability. However, primary expectations are still bullish/neutral bullish, depending on where the market opens in relation to 2911.25.

Overnight so far the range is 2907.00-16.25 versus settlement at 2914.75, having sold off from the high early in the session.

Today's zones of interest are shown below on the split session profile chart:

Wednesday Prep

New all time highs in yesterday's overnight session didn't get hit during the RTH session, so we now have an RTH high at 2904.25 and Globex ATH at 2906.25. This continues to hold above the prior ATH from January at 2888.75 (back adjusted).

The monthly, weekly and daily bars are all trending higher, and as long as the market doesn't accept back below 2888.75 then the breakout remains valid. If we see a move down to yesterday's weak low, a push through could see buyers step in at the 2892-93.25 zone (Monday's RTH morning pullback low and mid). Monday's open and the prior ATH at 2888.75 could see a buy response but if that fails to hold, there remains a range gap in play from the end of last week to this, which would be the initial target down to the 2874.75-77.25 zone. 

Overnight so far the range is 2897.50-2905.00, holding for the most part above yesterday's VPOC/POC. Continuation of the dominant trend is the primary expectation, with potential to consolidate and attempt to shake out short term longs beforehand. 

Today's zones of interest are below. Overnight support zone: 2897.50-99.50, Overnight resistance zone 2903.25-05.25

Thursday Prep

Given the overnight move yesterday, we knew that the market had got pretty short ahead of the open. The first destination was an exact fill of the range gap followed by a reversal down to test last Friday's low (2708.75) which left a 1 tick failure. Most of the time and volume was spent below the prior day's low until an afternoon squeeze pushed up as high as the prior day's initial balance low forcing a lot of shorts to cover. 

Overnight so far has held the upper half of yesterday's RTH session. The range is currently 2720.25-33.25 on light volume. Rates have been firm with the 10yr back down to 2.98% from the recent high of 3.12%. 

Zones of interest for today are below. The market remains in a range short term. If the 2720-21.50 zone can hold today buyers could dominate and attempt a push to the top of this range again (into 2741-45.50 zone). If the 20-21.50 zone fails I'd look for a buying response at yesterday's VPOC on first test (13-15 zone), though if it runs through there I'd be looking for a run down to the 2700-03.25 zone.