ES review & plan
Friday's open saw a push through the overnight low, which quickly found buyers to push back into the overnight range and after a brief liquidation break to test the overnight low once more, buyers gained control to push to new highs towards the close before selling off quickly back into value for the day. An excess high has been left so it waits to be seen how secure this is. Volume dropped off to 1.7m, the lowest of the week
The overnight range is 2064.00-2075.00 against Friday's settle of 2067.00.
Volume is likely to drop off going into christmas week and we may see some consolidation of the previous week. If we start to trade below Friday's value area there is a strong risk of a liquidation break through the spike formed on Thursday down to the POC at 2042.75 and then the nVPOC at 2033.75.
Existing home sales are at 9am ct. Crude has been consolidating between $54-59 in the past few days and a breakout of that may also be a short term driver.
ES review & plan
The concerns of the oil price and Ruble collapse have been put on the back burner after Yellen's speech pledging to be patient on interest rate rises was interpreted as dovish. The enormous rally of the past two days has taken no prisoners and caused the maximum pain to shorts. After the huge gap overnight yesterday there was very little downside follow through with just one break lower which saw responsive buyers bring it back into the initial balance range. The afternoon break higher caused another short covering scramble and pressure was put on. Volume was 2.3m contracts and a healthy 4.7 bn shares on NYSE.
Overnight again there has been a continued push higher to new all time highs. Quite incredible considering we were looking at an outside monthly bar to the downside a few days ago and it is now looking the opposite. It is futures and options expiry this morning, which would have been exacerbating these moves due to gamma-delta hedging.
The overnight range is currently 2058.25-2073.75
I plan to sit out until things set up as we could easily see another attack at the shorts forcing to new RTH highs or see an attempt to fill in the weak structure below, beginning with yesterdays afternoon spike.
ES review & plan
Yesterday saw an inside day with value shifting higher after the FOMC announcement. This left 3 days of highs unbreached and lots of buy stops above. Volume was high on the rally as longer timeframe money entered the market after hearing from Janet Yellen that rates aren't going anyway soon....BTFD in full effect!
Overnight the market has busted through the buy stops forcing a huge covering rally. The range as at 05:00 is 2004.50 - 2036.00, up nearly 28 handles at the high. This has left air pockets on the way up in the overnight profile and we should see some back and fill after the open. The size of the gap that is likely on the open reduces the odds significantly that it will be closed today. I suspect this is a breakaway gap prior to new all time highs again.
The composite volume profile shows the HVN (green) and LVN (red) areas of interest.
Some key references from RTH profiles are:
2047.00 nVPOC 11th Dec
2046.25 POC & IBH 11th Dec
2026.25 Open & IBL 11th Dec
2025.50 High & IBH 12th Dec
2012.25 High & IBH 15th Dec
It is likely to be a frantic opening hour as this will force a lot of margin calls on shorts in stocks and futures so I intend to let things settle down and look for a long entry on a decent pullback. 2028.00 is a prominent HVN on the composite profile and has become the overnight VPOC, so this is worth watching how things balance around this level.
ES review & plan
With nearly 50 points of range and 3.3m contracts traded, yesterday was a rollercoaster with the Vix Index reflecting that with it's 19.60-25.20 range The overnight low at 1961.50 was never hit in the RTH but was very near at the close. The huge rally was fuelled by aggressive short covering and never breached the high from Monday. All the gains evaporated as quickly as they'd been made, closing below the opening range.
Value was overlapping lower by the close in volume terms but the POC/VPOC were marginally higher than Monday.
ETH range: 1961.50 low 2011.50 high
RTH range: 1968.50 low 2011.50 high
Open: 1972.75 IBL: 1968.50 IBH: 1987.50 VPOC: 1983.50 POC: 1987.00
Settle: 1965.00 Total Volume 3.3m
NYSE Volume: 4.96 bn shares
Overnight the Russian central bank has intervened to support the Ruble with it's foreign currency reserves. Oil is on the back foot again after the rally yesterday. CPI is due at 07:30 ct and the FOMC announcement at 13:00 ct with the market focused on any change in the 'considerable time' language for holding interest rates where they are.
The overnight range is currently 1966.00 - 1981.25 at 06:30 ct with overnight inventory long. There maybe an attempt to balance prior to the FOMC news and the last 2 days merged RTH profiles shows where most trade has taken place:
The potential for an extended move either way puts these levels in play:
ES review & plan
Further weakness yesterday made new lows for the month and value is shifting lower. Volatility has risen significantly in the wake of a full on currency crisis in Russia and collapsing oil price. The 6.5% rate rise over night in Russia has done nothing to stop the Ruble's collapse and currently is at 80 to the dollar and the worst since the crisis in '98 which led to the country defaulting on it's debt.
Overnight ES futures are weak again, with crude dropping to $54 and weak Chinese PMI. Bond futures and gold have surged and the dollar index is down sharply. Risk off is in full effect and this could get nasty. With quadruple witching on Friday expect wild swings and a thinner order book. Liquidity can disappear very quickly with an increase in volatility, as we saw spectacularly in the treasury market in October.
The overnight range as at 06:50 ct is 1961.50 - 1994.00. Prior settlement was 1983.25 and the low was 1974.50 which are the first major references for the open. Given the geopolitical news and risk off nature, we could gap lower and breakaway lower. The initial target area for consolidation would be around the composite HVN at 1957.00. There is a swing low at 1952.25 then 1937.50.
The FOMC begin their 2 day meeting today and housing starts are due at 07:30 ct.
ES review & plan
The late sell-off started after a failed attempt to push up through the overnight low. The long spike left after the liquidation is the most important area to focus on initially today. If value builds within the spike we will likely see more downside as this area is accepted. If we open above the top of the spike and hold, this is a sign we have an excess low and a rally is likely.
It's a busy calendar this week for economic announcements.
ES review & plan
Volatility is back! Yesterday's opening drive pushed into Wednesday's upper distribution then attempted to trade up to Tuesday's close which Wednesday has failed to do. Buyers failed to close this settlement gap and there was a sharp liquidation back into the overnight range. The Vix closed above 20 and 3.9 bn shares traded on NYSE. The rollover to March and the last week before quarterly options expiry will have added to the volatility.
Despite the sharp sell off, value was overlapping higher relative to Wednesday.
This is the December contract still which is +7 points to March.
The Dec overnight range is currently 2016.50-2031.75. Wednesday's prominent vPOC and settlement at 2026.25 will be an important pivot initially. Failure to hold above there should see continued downside towards the next area of high volume below. If the market can push back into yesterday's range, there is potential for a sizeable rally. The continued weakness in crude is weighing on the market.
ES review & plan
The early attempt to push into Monday's range failed and once the overnight low and single prints from Tuesday were tested and failed, continued downside pressure took out the prior low. There was a heavy sell imbalance on the close. Volume was 2.3m contracts and today is the start of rollover into the March contract (-7 points difference).
This was a double distribution trend day and the different distributions are to be treated as separate auctions. The overnight range is 2023.75-2036.25, which matches the lower distribution. Failure to break the overnight high would increase the odds of a further test lower or at least balancing within this area. A move above the overnight high has initial resistance at the top of the spike at 2040.
ES review & plan
Yesterday saw a decent range and created many opportunities on the back of big falls in China, Greece and Crude. The swings early in the session were quite frantic after such a large gap lower. The lower HVN target of 2036 was hit and the 20th Nov swing low stops were run through 2035.25 to the 2033.25 low. This left an excess low and trade quickly moved back within the initial balance area and one timeframing higher began. Once the initial balance high was broken, the open gap and prior settlement were the next upside objectives, forcing shorts to cover.
The upper distribution closed above Monday's low, which longs will want to hold above.
Volume was 1.8m contracts and 3.9bn shares on NYSE. The Vix index hit 16.6 early in the session, but later drifted lower to finish at 14.9.
The market still remains below the value area created from last week's range, but back within the lower part of the range. If buyers can push back into the value area and through the 2067 vPOC, then new highs are highly likely, especially as the current high shows no excess.
If buyers fail to hold within the range, a move to the top of the single prints in G period and yesterday's initial balance high would be the first targets.
As at 05:00 ct the overnight range is 2055.25-2060.00 on volume of 114k
ES review & plan
Yesterday opened at Friday's pit low, moved down to a tick below the overnight low and rallied to within 2 ticks of Friday's settlement. Cumulative delta had moved lower at the highs, giving a clue that a liquidation break was possible. Once moving away from the morning balance, a liquidation break followed trading back down through the majority of last week's range. Value has shifted lower. Volume was 1.4m contracts and 3.8 bn shares traded on NYSE.
Overnight has continued to be weak, pushing through last week's low (2048.25) This is the next major downside reference. Acceptance below there exposes a thin composite volume profile which could move quickly to the next high volume area around 2036. If prices hold above last week's low, the first target above is yesterday's settlement and vPOC at 2059.75/60.00, then the HVN at 2067.00.
The overnight range is currently 2043.00-2062.25 on volume of 190k at 06:40 ct