Index Futures Net Changes and Settlements:
|S&P 500 (ESH19:CME)
|Nasdaq 100 (NQH19:CME)
|Russell 2000 (RTYH19:CME)
Foreign Markets, Fair Value and Volume:
- In Asia 10 out of 11 markets closed lower: Shanghai Comp -1.15%, Hang Seng -2.77%, Nikkei -0.31%
- In Europe 10 out of 13 markets are trading lower: CAC -1.27%, DAX -0.19%, FTSE -0.55%
- Fair Value: S&P +0.48, NASDAQ +13.63, Dow -24.92
- Total Volume: 1.4mil ESH & 289 SPH traded in the pit
Today’s Economic Calendar:
Today’s economic calendar includes Redbook 8:55 AM ET, PMI Manufacturing Index 9:45 AM ET.
S&P 500 Futures: The End Of Year Rebalance That Wasn’t
Chart courtesy of @TradingFibz – $ES_F MML levels below to watch.
After rallying in the overnight session, the S&P 500 futures opened Monday’s final trading day of the year at 2503.50, and would rally up to the morning high at 2510.00 in the first 10 minutes. From there, the futures turned lower, printing the early morning high at 2499.50, and after an eight handle bounce, began to fail with a continual push lower throughout the mid-morning down to 2482.75, before bouncing into midday.
The afternoon saw a continuation of the late morning bounce, as the ES reached an afternoon high of 2509.50 just after 12:30, and then turned lower chopping its way down to a higher low of 2486.75 just after 1:30. After the mid-afternoon low was made the ES rallied up to 2502.00 heading into the final hour.
In the last hour of 2018 the ES began to rally, but failed at 2505.50, and then sold into the close down to 2488.25. After that, the futures rallied in the closing seconds up to 2510.00, printed 2509.50 on the 3:00 close, and went on to trade to a new high of day at 2513.00, before settling the day at 2508.25, up +22.25 handles, or +0.90%.
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 firstname.lastname@example.org.
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.
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.