S&P 500 Futures; Low Volume Grind Higher

Commentary, E-mini S&P 500, News, Our View, S&P 500, The Opening Print


While the S&P has been slow coming into the station it seems to have finally started moving toward the seasonal grind higher this week. After making a higher 1991.00 low Friday, Monday’s session produced a 1995.75 low with the ESH16 taking off to the upside in the final minutes of the session. We warned people about what would happen when the big trading firms started to let people take time off for the holidays and how MrTopStep’s ‘thin to win’ would prevail. With two consecutive sessions of lower volume, and tighter ranges, it appears that while it may be early to call, Santa’s sleigh is headed to Wall Street.

Yesterday, bears had ample opportunity to break down price action, first overnight when the ESH traded down to 2007.25, more than 25 handles from the globex high, then shortly after the cash open when the index futures traded nearly 15 handles from the highs in the first hour. However, when the sellers let off above the globex lows, that was all bulls needed to flood in and push the S&P back to the opening print. As the futures were trading sideways, and just started to make new highs going into 12:00 CT, I went on the IMPRO and institutional chat making traders aware that the the typical, ‘thin to win’ rip was about to take place. Check out your charts and do a time and sales compared to the thread below.

ICEchat ( 12:39:17 PM ): (driley) 680k ESH trade / thin to win taking over / nothing but upside buy stops

ICEchat ( 1:00:10 PM ): (driley) Shorts Beware

ICEchat ( 1:01:07 PM ): (driley) as more people leave for the holidays the volume will continue to drop and the ES will go up

ICEchat ( 1:37:25 PM ): (driley) I think the ESH closes on its highs today

Thin to Win

From The MrTopStep’s Trading Rules:

“Thin to win. This term is our shorthand for a situation when the volume is thin, yet the price is moving fast and far. Without the counterweight of other participants, a small group of traders or algorithms can push markets much further than they would otherwise go. While the lack of volume makes it harder to fill large orders, smaller orders can get filled at greater profit if they are lucky or well-timed. And of course, an attractive price can bring in new volume, despite the thinness of the move.”

To download your own copy of the MrTopStep’s Trading Rules click here.

It’s Christmas week and with today’s trade expected to be light, especially after the morning’s economic releases, and given the half day tomorrow with Friday being closed, we are keeping it light this week. Even MrTopStep has to slow down and take in the holiday before kicking off 2016.

In Asia, 9 out of 11 markets closed higher (Shanghai Comp %-0.43), and in Europe 10 out of 12 markets are trading sharply higher (DAX +1.72%). Today’s economic calendar starts with the MBA Mortgage Applications, Durable Goods Orders, Personal Income and Outlays, New Home Sales, Consumer Sentiment, and the EIA Petroleum Status Report.

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Our View: Overnight, the world equity markets continued their rally. with the European markets being especially this morning. If there is any chance for a market move this week it will be on this mornings Durable Goods Orders and New Home Sales, but we aren’t expecting more than a quiet initial reaction. This is the time of the month when the stats start getting seriously firm into the end of the month, thus creating a very difficult environment to short. MrTopStep’s view is that as long as the S&P continues to make higher lows then the path of least resistance is to lean on any intraday pullbacks as an opportunity to buy weakness.

As always, please use protective buy and sell stops when trading futures and options.


    • In Asia 9 out of 11 markets closed higher : Shanghai Comp. -0.43%, Hang Seng +0.96%, Nikkei -0.16%
    • In Europe 11 of 12 markets are trading sharply higher : CAC +1.88%, DAX +1.72%, FTSE +2.06% at 5:00am CT
    • Fair Value: S&P -8.90 , NASDAQ -8.10, Dow -95.64
    • Total Volume: 1.1mil ESH and 5k SPH
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