Governmental Dysfunction Junction And The S&P 500 #ES #VIX

Index Futures Net Changes and Settlements:

Foreign Markets, Fair Value and Volume:

• In Asia 9 out of 11 markets closed higher: Shanghai Comp +0.41%, Hang Seng +0.41%, Nikkei +0.19%
• In Europe 11 out of 12 markets are trading higher: CAC +0.46%, DAX +1.07%, FTSE +0.28%
• Fair Value: S&P +1.38, NASDAQ +12.21, Dow -9.77
• Total Volume: 1.2mil ESH & 386 SPH traded in the pit

Today’s Economic and Earnings Calendar:

Consumer Sentiment, 10 a.m. Eastern; Baker-Hughes Rig Count, 1 p.m. Fedspeak: Randal Quarles Speaks, 1 p.m. Earnings: Regions Financial, 6 a.m.; SunTrust Banks, 6 a.m.; Citizens Financial Group, 6:30 a.m.; Synchrony Financial, 6:30 a.m.; Kansas City Southern, 8 a.m.; Wipro, 10 a.m.; Schlumberger, 4:05 p.m. (approx.)

S&P 500 Futures: Government Shutdown Looms

Yesterday, the Asian markets closed firm, and the Stoxx 600 was flat. In the U.S., the e-mini S&P 500 futures (ESU17:CME) traded up to 2807.50 on Globex, and ended up opening at at 2802.50 on the 8:30 CT futures open. The days early trade was earmarked by several lower highs and lower lows. The early high of 2806.50 was around 8:45 am, and the low at 2793.50 came in at 11:00 am. The sell programs were all part of the news wire algos reacting to all the headlines concerning who would be blamed if the government could not agree on a one-month spending bill that would keep the government funded through Feb. 16.

The ES trade was the exact opposite of Wednesdays trade, where the ES made several early higher lows before rallying. Yesterday it was all about the lower highs and the selloff that followed. After rallying up to the vwap at the 2801.00 area and doing some ‘back and fill’, the MiM started to show $700 million to buy, and the ES got hit by a big program that pushed the futures all the way up to the 2808.00 area just before 2:00 pm. From there, it dropped all the way back down to the 2797.00 area just before the 2:45 cash imbalance, completing a MrTopStep 10 handle rule. The final move was back up to the 2802.00 area, and on the 2:45 cash close the MiM flipped to sell $485 million. A late headline came out saying Senate Democrats have enough votes to block the government funding bill, and the ES sold off down to 2795.75 on the 3:15 close.

In the end, the S&P did have a few good rallies, but ended the day closing on a big down tick as the headline news ruled the day. Total volume ended up over 1.2 million contracts traded.

The (MiM) MrTopStep Imbalance Meter

Yesterday’s MiM started off so strong, showing us a $1B buy imbalance right out of the chute, but that didn’t last long, and it soon faded toward the sell side, where it finally settled at a small sell. The reveal, at 3:45 pm ET when the MOCs are locked in, showed a list minute input of sell orders that pushed us down to almost -500M. Those last minute sell MOCs have been the pattern for the last week.

Today is OPEX, and we should see come considerable numbers on the MIM. Remember, those numbers are expected, and the liquidity to close the markets is already in the works. Only something extremely unusual will drive a turbulent close.

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