Monday’s trade started with a 10-handle drop overnight, 1.2k SPUs and 220k ESUs traded in Globex, no economic releases and an opening range 6.5 handles lower at 1680.00 to 1679.70. After a small downtick the SPU made its low of 1679.20 and then rallied exactly 9 handles up to the 1688.00 area. From there it sold off a few handles and then retested the level, making a 1688.20 early high. After that high the SPU sold off down to the 1685.50 area, bounced a little and then sold off down to 1683.50.
While the S&P was moving around, the lack of overall trade on the floor was astounding. We did not hear a peep from the usually busy 10-Year Note options. The currencies had an early spurt, crude had a nice bounce, and the grains are up across the board. Other than a few big bean options orders and a few S&P options the desk is dead. The mad rush for the summer end vacation is on and you can see it everywhere.
At 12:45 the ESU was hanging at the 1685.00 – 1685.50 area and then got hit by a few sell programs that pushed the futures to 1682.75 and then back up to the 1684.50 area and then back down to the 1683.00 area. After a few attempts at taking out the lows, the S&P started moving moving back up. Just before it did we put this out:
[quote style=”1″]MrTopStep : (13:50:13): that was your 1683.00 retest , desk think the we are at or near the low. [/quote]
Not long afterwards the ESU popped up to the 1687.00 area. The MrTopStep Imbalance Meter (MIM) started out showing 50 – 50 , moved up to 60% buys then up to 63% buys and eventually to +70% buys and over $200mil to buy. The ESU traded up to 1687.50 just as the 2:45 cash imbalance showed MOC buy $150 million and then sold off down to 1686.00 just after. On the 3:00 cash close the ESU traded 1686.50 and then went on to settle at 1687.10 on the 3:15 futures close, up .60 handles on the day.
In the end there was a lot of up and down movement but there was no volume. Last week we saw the lowest volume for the S&P since 2006, and this week will be the same.
