Big ‘Dead Cat’ Bounce

Index Futures Net Changes and Settlements:

Foreign Markets, Fair Value and Volume:

• In Asia 10 out of 11 markets closed higher: Shanghai Comp -1.42%, Hang Seng +0.42%, Nikkei +1.13%
• In Europe 12 out of 12 markets are trading lower: CAC -0.78%, DAX -1.07%, FTSE -0.92%
• Fair Value: S&P -1.82, NASDAQ +2.33, Dow -32.50
• Total Volume: 2.4mil ESH & 1.2k SPH traded in the pit

Today’s Economic Calendar:

Weekly Bill Settlement, Chain Store Sales, Robert Kaplan Speaks 4:50 AM ET, Patrick Harker Speaks 8:00 AM ET, Jobless Claims 8:30 AM ET, Neel Kashkari Speaks 9:00 AM ET, Bloomberg Consumer Comfort Index 9:45 AM ET, EIA Natural Gas Report 10:30 AM ET, Fed Balance Sheet 4:30 PM ET, Money Supply 4:30 PM ET, Esther George Speaks 9:00 PM ET.

S&P 500 Futures: Short Squeeze #ES 198 Handle Rally, 2529.00 to 2727.00

Traders have been begging for increased volatility for the last two years, and they got what they wished for, in both directions. After making a high at 2877.50 in January, the ES started to buckle going in to the end of the month rebalance, but the real selling didn’t start until the end of last week. And then this week, when the ES collapsed down to 2529.00 on Globex on Tuesday night, down 384.50 handles, or -12%, from it’s all time.

On Tuesday the ES traded all the way back up to 2699.75, and yesterday the it traded all the way back up to 2727.00, up 198 handles from the 2529.00 Globex low in less then two days. The S&P has gone from historically bullish consensus and overbought conditions, to overly bearish and oversold conditions in just four trading sessions.

After making the 2727.00 high yesterday, the futures sold off down to 2685.50, rallied back above the vwap to 2700.25, made a higher low at 2687.00, rallied 20 handles up to 2707.00, and then made a higher low at 2688.25 before making a lower low at 2703.75. The ES then sold off down to 2682.00, and at 2:29 traded back up to 2710.00 as the MiM went from $300 million to sell to $839 to sell, and thats when several late day sell programs showed up.

The final 2:45 imbalance came out sell $2.4 billion, and the ES went from 2707.00 down to 2690.25 in 4 minutes. The benchmark futures continued to sell off, trading down to 2679.00 on the 3:00 cash close sold, and made new lows at 2667.00 before settling at 2668.00 on the 3:15 futures close, down -16.50 handles or -0.61%.

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_{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.}