A Day of Mourning

Index Futures Net Changes and Settlements:

Foreign Markets, Fair Value and Volume:

• In Asia 11 out of 11 markets closed lower: Shanghai Comp -0.61%, Hang Seng -1.62%, Nikkei -0.53%
• In Europe 12 out of 13 markets are trading lower: CAC -0.86%, DAX -0.80%, FTSE -0.99%
• Fair Value: S&P +0.55, NASDAQ +4.04, Dow +11.02
• Total Volume: 2.69mil ESZ & 951 SPZ traded in the pit

_{As of 8:00 AM EST}

Today’s Economic Calendar:

Today’s economic calendar includes MBA Mortgage Applications 7:00 AM ET, Beige Book 2:00 PM ET, Randal Quarles Speaks 8:15 PM ET.

S&P 500 Futures: #ES Down 3%

After dragging lower for much of the overnight session, the S&P 500 futures opened Tuesday’s cash trading hours at 2782.25, and in the first minutes of the traded up to the high of day at 2887.25. From there, the futures turned lower, selling off down to an early morning low at 2769.50 just before 9:30.

After bouncing up to 2776.75 the ES chopped down to 2762.25 just before 11:00, and then the bottom fell out… Strong selling momentum hit the tape forcing the ES down to 2721.00 for the morning low just before noon. There was an early afternoon bounce up to 2730.75, then the ES began to selloff again, making a low of 2702.00 before 1:00.

Following that low, the futures began to rally, pushing up to 2731.75 heading into the final hour of the day, but then turned late in the day and pulled down to a new session low of 2697.25 as the MOC reveal came out as $1 billion to sell. The benchmark futures went on to print 2703.50 on the 3:00 cash close, and then settled the day at 2702.00, down -88.75 handles, or -3.18%.

In the end, it was a very sick day. In terms of the markets overall tone, it was the worst I have seen in a long time, and I am not talking about October. In terms of the days overall trade, volume was very high, 2.69 million ES contracts traded.

Daily HotSpots

HotSpots are times during the market trading session that for the past XX days have consistently moved in one direction or the other. These HotSpots are published each morning pre-market. The next day, a results post is also published and weekly a summary post.

CAUTION: This data is under development and provided only for research and teaching purposes

If you have questions about HotSpots you can contact us at info@mrtopstep.com.

Lookbacks:

The lookback period (number of days) is set at 21,13,11,8 and 5 days. A heat-map is generated for each of these lookback periods, the best trade from day is scored.
The period of time that has consistently produced the best results becomes the hotspot for that look back. There are also different look-back types like Taylor and Taylor Plus.
Taylor cycles are usually 3-day cycles. A Taylor-5 look-back would use the last 5 trading days skipping back by 3 trading days. Taylor Plus uses calendar days so weekends and none
trading days are counted as part of the skip count. If a lookback period falls on a none trading day, it is not used so a TaylorPlus will continue skipping back until 5 trading days are found for the heatmap calculation.

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

_{Disclaimer: Trading Futures, Options on Futures, and retail off-exchange foreign currency transactions involves substantial risk of loss and is not suitable for all investors. You should carefully consider whether trading is suitable for you in light of your circumstances, knowledge, and financial resources. Any decision to purchase or sell as a result of the opinions expressed in the forum will be the full responsibility of the person(s) authorizing such transaction(s). BE ADVISED TO ALWAYS USE PROTECTIVE STOP LOSSES AND ALLOW FOR SLIPPAGE TO MANAGE YOUR TRADE(S) AS AN INVESTOR COULD LOSE ALL OR MORE THAN THEIR INITIAL INVESTMENT. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.}