S&P 500 Futures: Monday, Fun Day

The ES traded up to 2991.75 on Globex Monday morning and opened at 2989.50 on the 8:30 CT futures open and went straight down to 2982.50 in the first six minutes.  After a small bump up to 2985.75 it fell down to a lower low at 2980.75 at 9:00 am. After the early low the ES ‘back and filled’ under the vwap and ‘double topped just above at 2987.00 at 10:15 and then got hit by several sell programs pushing the futures all the way down to 2969.50 at 11:36.  After the low, the ES bounced back up to the 2978 area, sold off to a higher low at 2971.75. After a bounce up to 2977.00, the ES traded back down to 2972.00 and traded sideways as the early MiM started to show over $600 million to sell. At 2:15 the ES traded back up to 2979.00, 9.5 handles off the low.

Going into 2:30 the ES was trading at the 2977.00 area as the MiM widened out to $800 million to sell and then rallied a few handles up to 2978.75. On the 2:45 cash imbalance the ES traded 2977.25 as the final MiM showed sell $770 million. The ES traded 2979.00 on the 3:00 cash close and settled at 2978.50  on the 3:15 futures close, down 4.5 handles or -0.15% on the day. 

In the end, I got too bullish into the rally and the China headlines helped push the ES and NQ down.

In terms of the markets overall tone they were a bit weak but not overly. In terms of the day’s overall trade 1.13 million, ES’s traded which is pretty much in line for a Monday.

(MiM) MrTopStep Meter:

The MiM started out at 2:20 pm ET with a decent sell right off the bat at -531M.  Along with that topline number, there was some breadth with 69% of the symbols having sell imbalances.  There was a greater than 2:1 breadth on imbalance dollars allocated to the sell-side also with the dollar imbalance percentage of -67%.  Decent start. 

We watched the imbalance slowly strengthen to the sell-side with total imbalance topping out at 3:40 pm at -770M.   I took a small short at 3:30 pm with that growing MiM only to see it pair off right after I got in and the symbol percentage number (#%) dropping below my 66% value.  I exited with a quarter in my pocket. 

Overall a very strange day with the Russell 2000 gaining 1.1% while the other markets languished around neutral.  I thought perhaps it was OPEX week where I see this decoupling quite a bit, it is not, haven’t seen any explanation on why the smalls were so hot. 

If you have questions about the MiM, email marlin@mrtopstep.com.  

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 Index Futures Net Changes and Settlements:     

 Fair Value: 

• ES SP500 0.38
• NQ Nasdaq 100 1.80
• YM Dow 30 6.97

Today’s Economic Calendar:

JP Morgan’s ‘Volfefe Index’ To Track Trump’s Tweets

Our View:

The U.S. and China are set to resume the tariff negotiations in October, yet there are new tariffs set to go into effect in early October and December. It’s a crazy world we live in and JP Morgan has set up a new index called the ‘Volfefe Index’ to track the effects of Trump’s China tariff tweets. As we all know Trump’s market-moving tweets almost always address trade and monetary policy, with keywords including “China,” “billion” and “products and J.P. Morgan’s “Volfefe Index,” named after Trump’s infamous and still mysterious “covfefe” tweet, explains a measurable fraction of the moves in implied rate volatility for 2-year and 5-year treasuries. Out of the nearly 4,000 non-retweets by Trump occurring during market hours from 2018 to the present, only 146 have moved the markets. I guess the word ‘only’ sticks out as we all know the damage many of his tweets have done. How this all plays out is anyone’s guess. I still think it will be difficult to get a trade deal done unless both sides acquiesce some of their demands. If they don’t come to a deal risk will continue to rise but that said I still believe the S&P will make new all-time highs either soon and into the end of the year. 

Our view, I got a little too bullish yesterday but I am sticking with my long NQ position and will add on the dips like I did yesterday. You can sell the early rallies and buy weakness of just stick with the trend and buy the pullbacks.

PitBull: 

• CLV OSC 15/4 TURNS DOWN ON A CLOSE BELOW  5684

• ESU OSC  29/6 TURNS DOWN ON A CLOSE BELOW 300253

• VIX OSC -28/-4 TURNS UP ON A CLOSE ABOVE 1534

Market Vitals Numbers