Premium OP: S&P 500 Futures: End of Month Rebalance and Fed Speak Save the Day

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Market Review

(ESH20:CME) GLOBEX Session(ESH20:CME) Day Session 
High 2980.50Opening Print: 2885.75
Low: 2872.00High 2996.00
Volume: 1.6MLow: 2853.25

ES Settlement: 2951.00
EOM Special Settle

Total Volume: 5.5M

I’m sorry, between trading and trying to clean up my garage for the new freezer I just could not do all the ups and downs of the ES. This is going to be more about the ranges, volume, where I think we are at with the virus and where I think the S&P is headed. What I can say is the intraday swings were some of the largest I have ever seen. Also, something I have not seen since the credit crisis is 1.6 million (ESH19:CME) futures traded on Globex with a high of 2980.50 and a low of 2872.00. On the 8:30 CT futures open the ES traded 2885.75, rallied 41 handles up to the 2927 area in the first five minutes, dropped down to the 2865.50 area at 9:10, a 61 handle drop, rallied a little and then made a low at 2861.50 at 9:30 and then rallied 98 handles up to 2959.50 in just over one hour. The ES then sold off down to the 2900 area then rallied almost 50 handles back up to the 2949 level at 12:00. After a few lower highs the ES sold off 71 handles down to the 2878.50 area in 70 minutes or at 1:09 CT. After that low, the ES rallied 60 handles up to 2938.50 34 minutes later. The ES then got hit by a big sell program and sold off 60 handles down to 2878.25 at 2:44 and that’s when the fun began. From the 2:44 CT low to 3:07 the ES rallied 109 handles up to 2988.00 in 22 minutes. On the 3:30 re-open the ES traded 2971.50 and traded up to2996.00 at 3:50 PM, up 117.50 handles off the 2878.50 2:44 CT low. 

In terms of the ES’s overall tone, I do not think I have ever seen anything like it. The ES was extremely weak but the late day rebalance (sell bonds / buy stocks) combined with the talk that the Fed may lower rates 0.50% ‘spooked’ the shorts and the buy bots totally took over. In terms of the day’s overall trade, total volume was the largest since the height of the credit crisis. Total ES volume was 5.5  million with 1.6 million coming from Globex making total day volume 4.9 million contracts traded on the day session.


Economic Calendar


Closing Prices


In the Tradechat Room

MiM

The MiM on Friday was strong to sell but look at the 3:55 buying that paired most of it off.  There are still some buyers here picking up pieces and prices were pushed higher into the close, up 80 ES points in just minutes.  These moves are unbelievable. Looking forward to calmer days.

Get the skinny when we get it.  Join the MiM. 

HFTAlerts

Our HFT alert triggered a whopping 575 times!  Programs are still very active. Next week a new HFAlert app will be released that will have some interesting stats built-in. Stay tuned.

Chart of the Day

Probability of recession across asset classes:

Chart: JPM


Top Stories on MTS Overnight:


Our View

S&P and Nasdaq Log Worst Week Since October 2008; You Just Can’t Make This Stuff Up

The Dow broke over 1,000 points and then rallied 640 points in the final minutes of the day. The Nasdaq was down 3.5% on the day, its largest daily drop since November 2008 and closed higher on the day. The S&P cash fell 24.54 points or 0.80% to 2954.22. The S&P and Nasdaq logged their worst week since October 2008. The yield on the 10-year Treasury note dropped to a new record low of 1.127% in its largest weekly decline since December 2008 and the two-year yield fell to 0.878% notching its largest weekly decline since 2001. According to Bank of America, $18 billion was pulled from U.S. stock mutual and exchange-traded funds during the week ending Wednesday, the biggest such outflow in nine weeks. The global stock market fell sharply, the STOXX Europe 600 fell 12% last week, its largest one-week fall since October 2008. The VIX jumped to 40.11, the highest close since August 2015. The Nikkei 225 fell 9.6%, its worst weekly loss since October 2016 and South Korea’s KOSPI lost 8:1%, its worst week since 2011. Royal Caribbean Cruises lost 24% for the week and American Airlines Group stock fell toward its worst week on record. U.S. crude oil prices logged their worst week since the financial crisis and Bank of America lowered its estimate for global economic growth. Goldman Sachs Group said it is expecting 0% corporate earnings growth in 2020. I guess if you were looking for a catalyst for a stock market sell-off, the COVID-19 virus has surely provided that. 

Our view, I have to be honest, I just don’t know what’s next. When the PitBull asked me yesterday what I think I told him is that there are two scenarios. The first is that as more cases spread around the world and in the US and supply chains slow it is going to be a big drag on the US economy and the other thing I told him was that the S&P has fallen 15% in seven trading sessions (now down 13.5%) and based on the speed of the decline and the fact that the ‘news is out’ we could see a further push to 3050 or higher. My gut tells me this is not over and that ‘headline risk’ is still front and center. What I will say is I had a great feel for the decline and after such a bashing, I just don’t know. Our leans, my gut says this is far from over but I can’t rule out a further bounce. I will say one thing if the ES gaps higher this morning I am going to sell the open. After that, I want to get a look at the price action and news.


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