Headline News & Algos driving prices higher

Commentary, News, Our View, The Opening Print

 S&P 500 Futures: Headline News Algos Win Again

The ES popped up to 2967.00 on Globex after the headline about the US and China setting up new tariff talks for October. The first print of the 8:30 CT futures open 2966.50, down ticked and then the ES went right into a big buy program that pushed the futures all the way up to 2986.75, up 20 handles at 9:20 am CT. After the high, the ES ‘stutter stepped’ down to 2973.50 at 11:23 am. After the low, the ES rallied back up to 2978.50 and then sold back off to a new afternoon low at 2972.00, 1 handle above the vwap. 

After 2:00 the ES was trading 2981.00 and dropped 10 handles down to 2971.90 as the MiM started to show 1.2B to sell. At 2:45 the ES traded 2976.50 as the cash imbalance showed 1.1 billion to sell. On the 3:00 pm cash close the ES traded 2973.75, a sell-off in line with the large sell imbalance, from 2:34 high of 2981. A 7 handle short opportunity.  ES and settled at 2972 on the 3:15 futures close. 

In the end, it was all about the headline news. In terms of the ESs overall tone, the markets remain firm. In terms of the day’s overall volume, 1.6 million futures traded which is on par for what we call “Crazy Thursday”. 


(MiM) MrTopStep Meter:

The MiM reveal at 3:50 pm ET, when the MOC orders become real, was about 1.2B to the sell-side.  A pretty strong bias in both symbols and dollars committed sent the ES futures down about 8 points from that 3:30 pm ET high to the close. 

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

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Jobs Friday Meets The Week One Options Expo

Our View:

This week has been packed with economic reports and today is the jobs number. Many think the August jobs number may come in lower than expected due to an end of the summer lull and the ongoing trade wars. The non-farm is expected to be 158,000 jobs, down from July’s 164,000 but still above the 140,000 three-month average. The unemployment rate is expected to remain steady at 3.7% and under 4% for the last 17 months. 

Our view, the ES rallied above 2980 late in the day and sold off x handles going into the close to close at a six dollar discount to the S&P 500 cash. One has to wonder if the selling was some type of jobs Friday front run. Our lean is for lower prices early and a rally. I do not think all the shorts have covered yet. 


Today’s Economic Calendar:

FRIDAY, SEPT. 6

8:30 am

Nonfarm payrolls

Aug.

 

170,000

164,000

8:30 am

Unemployment rate

Aug.

 

3.7%

3.7%

8:30 am

Average hourly earnings

Aug.

 

0.3%

0.3%

12:30 pm

Jerome Powell speaks

 

 

 

 


Index Futures Net Changes and Settlements:        

SymbolNameLastPrev ChangePrev %ChgPrev OpenPrev HighPrev LowVolume
ESU19S&P 500 E-Mini2,972.0033.50.01142,938.002,986.502,936.501,612,831
NQU19Nasdaq 100 E-Mini7,855.50132.750.01727,722.007,886.757,717.25471,512
QRU19Russell 2000 E-Mini1,507.0023.60.01591,483.301,525.501,482.60164,270
YMU19Dow Futures E-Mini26,7013290.012526,37226,84426,355222,256

Future Fair Values:

 

Sell Programs

No Programs

Buy Programs

Index

Sell

Active (SA)

Sell

Threshold (ST)

Fair Value

(Premium) (FV)

Buy

Threshold (BT)

Buy

Active (BA)

S&P

500 (TM)

-3.22      

-1.74      

0.27      

3.05      

5.09      

NASDAQ

100 (SM)

-11.59      

-5.18      

3.61      

14.26      

22.03      

Dow Jones

Ind. Avg. (SM)

-30.66      

-15.92      

4.01      

22.55      

36.26      

Courtesy Indexarb.com


 


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.

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Danny Riley (3132 Posts)

Danny Riley has worked in the futures and options industry for 38 years, including the CBOT’s bond room, where he worked for several of the Market Wizards. He went on to build the largest volume desk in the S&P 500 Index Futures, serving some of the largest banks and hedge funds, the UBS program trading business, and some of the world's top individual traders. As a leader and co-creator of the MrTopStep IM-Pro Trading Room, he shares trading ideas and breaking market news live from the floor with our other professional traders and new traders eager to experience the power of collective intelligence. Join us today and get the edge only social trading can give you.


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